C Options History — May 2012 In May 2012, C traded between $26.00 and $33.60. ATM implied volatility averaged 42.7%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 12.0% (HV 20d: 30.7%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2012-05-17 : Highest Volume — 303,359 contracts2012-05-30 : Largest IV spike — 17.1% change2012-05-18 : Highest IV Rank — 32.4%2012-05-18 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $28.73 $26.00 $33.60 $33.60 $26.51 Max Pain $31.77 $30.00 $34.00 $34.00 $30.00 ATM IV 42.7% 31.1% 54.2% 32.5% 44.0% Expected Move 12.1% 8.4% 15.5% 8.4% 12.8% HV 20d 30.7% 27.0% 34.8% 34.0% 33.5% HV 60d 35.3% 34.1% 36.5% 34.4% 35.7% IV Rank 21.4% 10.6% 32.4% 11.9% 19.7% IV Percentile 46.6% 17.9% 63.5% 22.2% 47.6% Term Structure 1.4% -1.4% 2.8% 1.7% 2.6% VWIV 42.7% 29.5% 53.6% 29.5% 46.6% Skew 25d 8.3% 4.3% 13.8% 5.5% 7.4% Skew 10d 16.7% 8.2% 29.3% 11.2% 13.3% Call IV 25d 38.9% 27.8% 47.8% 27.8% 43.5% Put IV 25d 47.2% 33.3% 61.6% 33.3% 50.9% Bid-Ask Spread % 5.12 3.51 10.61 5.79 3.70 Gamma HHI 0.09 0.07 0.19 0.07 0.09 Net GEX -11.6M -26.5M 4.9M 4.9M -9.4M Net DEX 954.5M 75.3M 1.54B 75.3M 1.09B Net VEX -10.6M -11.7M -9.5M -11.3M -11.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.52 1.70 0.65 0.74 Total Volume 161,871.682 75,020 303,359 82,872 102,689 Total OI 2,538,848.773 2,225,380 2,827,882 2,225,380 2,808,580
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2012-05-01 $33.60 $34.00 32.5% 8.4% 34.0% 11.9% 29.5% 5.5% 1.7% 4.9M 75.3M -11.3M 0.65 5.79 50,298 32,574 1,109,046 1,116,334 2012-05-02 $32.70 $34.00 31.1% 8.7% 34.8% 10.6% 30.4% 4.3% 1.9% -3.4M 326.3M -10.8M 0.72 10.61 65,334 46,882 1,124,650 1,121,773 2012-05-03 $32.48 $34.00 32.7% 9.7% 32.8% 12.1% 33.3% 6.1% 1.0% -4.1M 390.8M -11.3M 0.84 4.38 44,785 37,756 1,156,594 1,141,546 2012-05-04 $31.60 $33.00 33.8% 9.9% 33.8% 13.1% 34.4% 7.1% 2.2% -8.5M 617.5M -10.9M 1.09 4.31 55,746 60,726 1,170,000 1,149,854 2012-05-07 $31.67 $33.00 38.7% 10.0% 33.1% 17.8% 35.3% 7.1% 2.2% -7.6M 544.6M -10.8M 0.84 5.72 84,305 71,013 1,154,806 1,153,584 2012-05-08 $31.32 $33.00 40.2% 10.3% 31.4% 19.2% 35.9% 7.0% 2.0% -9.2M 618.8M -10.7M 0.92 4.80 45,521 42,103 1,174,981 1,162,938 2012-05-09 $30.45 $33.00 38.2% 11.0% 31.3% 17.3% 39.1% 6.3% 0.7% -14.2M 832.6M -10.2M 1.37 4.27 71,293 97,512 1,193,858 1,171,425 2012-05-10 $30.65 $32.00 38.3% 11.0% 28.7% 17.4% 39.4% 7.3% 0.7% -15.5M 785.4M -10.7M 1.10 3.51 46,692 51,263 1,224,195 1,220,442 2012-05-11 $29.35 $32.00 39.9% 11.4% 29.8% 18.9% 39.3% 6.0% 0.8% -16.8M 1.11B -10.0M 1.67 4.17 111,804 187,258 1,233,653 1,227,213 2012-05-14 $28.14 $32.00 42.9% 12.3% 31.0% 21.7% 43.4% 7.4% 0.9% -19.3M 1.28B -9.6M 0.93 4.39 102,626 95,178 1,244,468 1,244,913 2012-05-15 $27.79 $32.00 44.3% 12.7% 27.0% 23.1% 46.1% 9.7% 0.9% -18.5M 1.32B -9.5M 0.76 4.53 172,493 130,278 1,266,476 1,259,994 2012-05-16 $26.92 $32.00 46.1% 13.2% 27.5% 24.8% 47.2% 10.1% 1.6% -18.8M 1.44B -9.7M 0.52 4.11 164,836 85,920 1,355,920 1,313,684 2012-05-17 $26.41 $32.00 52.0% 14.9% 27.5% 30.4% 51.9% 11.8% -1.4% -15.2M 1.48B -9.8M 1.58 5.25 117,388 185,971 1,446,996 1,326,624 2012-05-18 $26.01 $31.00 54.2% 15.5% 27.0% 32.4% 53.6% 13.8% -0.5% -26.5M 1.54B -9.7M 1.70 5.49 111,930 190,660 1,469,996 1,357,886 2012-05-21 $26.25 $31.00 49.1% 14.1% 28.0% 27.6% 48.3% 10.5% 0.5% -13.7M 1.20B -10.0M 0.83 4.80 92,507 76,555 1,273,527 1,230,995 2012-05-22 $26.92 $31.00 46.7% 13.4% 30.4% 25.4% 47.3% 8.7% 2.0% -10.3M 1.04B -11.0M 0.60 5.13 121,727 73,227 1,320,603 1,266,363 2012-05-23 $27.15 $30.00 47.6% 13.6% 30.5% 26.2% 49.6% 9.3% 1.2% -7.9M 954.0M -11.7M 0.61 7.12 91,343 55,408 1,389,591 1,293,492 2012-05-24 $26.66 $30.00 47.1% 13.5% 29.9% 25.8% 49.0% 9.4% 1.8% -6.9M 1.03B -11.3M 0.85 5.53 66,662 56,398 1,423,215 1,305,563 2012-05-25 $26.47 $30.00 44.2% 13.6% 30.0% 23.0% 48.0% 10.0% 2.1% -10.8M 1.09B -11.1M 0.71 4.86 43,783 31,237 1,426,737 1,322,805 2012-05-29 $27.02 $30.00 44.4% 12.2% 32.1% 23.2% 44.3% 8.9% 2.8% -9.6M 1.02B -11.1M 0.56 6.47 61,123 34,397 1,418,566 1,308,492 2012-05-30 $26.00 $30.00 52.0% 13.3% 32.0% 28.7% 47.3% 9.1% 2.8% -12.9M 1.20B -10.6M 0.99 3.70 47,271 46,705 1,450,113 1,322,182 2012-05-31 $26.51 $30.00 44.0% 12.8% 33.5% 19.7% 46.6% 7.4% 2.6% -9.4M 1.09B -11.0M 0.74 3.70 58,860 43,829 1,469,237 1,339,343
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