C Options History — June 2012

Name: C Options Analytics - June 2012
Creator: Options Analysis Suite

In June 2012, C traded between $24.82 and $28.86. ATM implied volatility averaged 45.5%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 0.2% (HV 20d: 45.7%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2012-06-15: Highest Volume — 195,822 contracts
2012-06-11: Largest IV spike — 41.9% change
2012-06-04: Highest IV Rank — 32.0%
2012-06-04: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.18	$24.82	$28.86	$25.39	$27.41
Max Pain	$27.29	$26.00	$30.00	$30.00	$27.00
ATM IV	45.5%	37.9%	56.5%	52.5%	37.9%
Expected Move	13.3%	11.5%	15.3%	15.0%	12.0%
HV 20d	45.7%	35.1%	51.0%	35.4%	48.2%
HV 60d	37.7%	35.4%	40.1%	35.7%	40.1%
IV Rank	21.2%	13.7%	32.0%	28.1%	13.7%
IV Percentile	47.8%	28.2%	68.3%	61.5%	28.2%
Term Structure	-0.3%	-1.8%	1.2%	1.2%	-0.1%
VWIV	46.9%	41.4%	53.6%	51.9%	41.4%
Skew 25d	10.5%	7.5%	13.8%	8.8%	8.1%
Skew 10d	21.1%	14.6%	29.0%	16.4%	16.2%
Call IV 25d	41.6%	36.6%	48.5%	48.5%	37.6%
Put IV 25d	52.0%	45.6%	61.1%	57.3%	45.7%
Bid-Ask Spread %	4.45	2.39	6.92	5.04	5.27
Gamma HHI	0.08	0.07	0.13	0.08	0.08
Net GEX	-1.1M	-12.8M	10.3M	-12.1M	1.6M
Net DEX	691.6M	171.2M	1.36B	1.30B	604.2M
Net VEX	-11.5M	-12.4M	-9.7M	-10.3M	-11.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.49	1.61	0.87	0.53
Total Volume	118,372.476	34,559	195,822	156,043	134,271
Total OI	2,789,648.429	2,503,750	3,103,577	2,831,092	2,632,618

Daily Data (21 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
2012-06-01	$25.39	$30.00	52.5%	15.0%	35.4%	28.1%	51.9%	8.8%	1.2%	-12.1M	1.30B	-10.3M	0.87	5.04	83,403	72,640	1,486,272	1,344,820
2012-06-04	$24.82	$29.00	56.5%	15.3%	35.1%	32.0%	53.6%	13.8%	-0.4%	-12.8M	1.36B	-9.7M	0.61	6.92	80,367	49,079	1,493,448	1,343,197
2012-06-05	$25.75	$29.00	52.7%	14.3%	38.9%	28.3%	50.1%	12.6%	-0.5%	-9.4M	1.19B	-10.4M	1.03	5.26	95,512	98,276	1,514,540	1,352,347
2012-06-06	$27.14	$26.00	43.8%	13.5%	44.9%	19.5%	48.5%	11.8%	-0.3%	-4.1M	836.2M	-11.7M	0.74	6.15	77,410	56,925	1,566,599	1,413,856
2012-06-07	$26.91	$27.00	43.0%	13.6%	44.2%	18.7%	45.9%	11.0%	-0.9%	-3.1M	872.4M	-11.5M	0.72	3.91	62,321	44,784	1,584,089	1,404,390
2012-06-08	$27.77	$27.00	39.6%	13.0%	46.0%	15.4%	46.1%	11.0%	-1.0%	-1.7M	617.7M	-12.1M	0.51	3.91	74,744	38,269	1,606,535	1,417,797
2012-06-11	$26.48	$27.00	56.2%	14.9%	46.5%	31.8%	52.7%	12.5%	-1.8%	-4.1M	956.6M	-11.4M	1.61	4.16	53,810	86,648	1,621,738	1,408,840
2012-06-12	$27.62	$27.00	43.0%	13.4%	47.2%	18.7%	49.7%	12.5%	-0.7%	-816.1K	668.7M	-12.1M	0.70	3.82	62,420	43,437	1,621,462	1,435,008
2012-06-13	$27.67	$27.00	42.8%	13.6%	47.0%	18.5%	49.5%	13.0%	0.3%	1.4M	593.2M	-12.3M	1.24	4.25	42,351	52,484	1,631,349	1,431,283
2012-06-14	$27.91	$27.00	47.0%	13.5%	45.6%	22.6%	48.9%	12.1%	-0.3%	1.8M	500.2M	-12.4M	0.77	4.28	60,156	46,493	1,637,981	1,440,690
2012-06-15	$28.31	$27.00	47.3%	13.6%	45.1%	23.0%	51.6%	12.4%	-0.6%	4.6M	383.4M	-12.4M	0.84	6.02	106,476	89,346	1,658,418	1,445,159
2012-06-18	$27.55	$27.00	44.1%	12.6%	45.9%	19.8%	45.3%	10.9%	-0.6%	4.6M	480.8M	-11.6M	0.82	5.52	49,532	40,593	1,328,309	1,175,441
2012-06-19	$28.50	$27.00	42.3%	12.1%	47.2%	18.0%	41.6%	10.2%	0.2%	9.0M	257.3M	-12.1M	0.71	3.34	58,475	41,588	1,348,281	1,190,888
2012-06-20	$28.86	$27.00	40.2%	11.5%	46.7%	15.9%	42.8%	9.0%	0.9%	10.3M	171.2M	-12.3M	0.97	3.70	68,402	66,650	1,359,951	1,203,399
2012-06-21	$27.83	$27.00	44.6%	12.8%	48.7%	20.3%	44.6%	10.3%	-0.5%	3.0M	423.5M	-12.0M	0.95	3.61	55,868	53,316	1,376,565	1,220,355
2012-06-22	$27.99	$27.00	41.4%	11.9%	48.2%	17.1%	42.3%	7.8%	0.9%	-6.8M	380.3M	-11.8M	1.10	3.08	39,736	43,871	1,380,511	1,218,438
2012-06-25	$26.75	$27.00	45.9%	13.2%	51.0%	21.6%	46.2%	8.4%	-0.5%	-1.3M	723.6M	-11.0M	0.80	3.49	45,657	36,408	1,337,445	1,196,836
2012-06-26	$26.73	$27.00	44.6%	12.8%	50.4%	20.3%	43.6%	7.5%	-0.6%	-1.0M	723.1M	-10.8M	0.76	2.71	40,836	31,081	1,353,259	1,210,456
2012-06-27	$27.10	$27.00	44.1%	12.6%	48.6%	19.8%	44.1%	7.7%	-0.6%	1.2M	638.9M	-11.2M	0.49	2.39	23,124	11,435	1,369,982	1,220,379
2012-06-28	$26.39	$27.00	45.5%	13.1%	49.2%	21.2%	45.3%	8.0%	-0.2%	-3.0M	831.0M	-10.6M	0.94	6.62	86,611	81,017	1,377,564	1,222,122
2012-06-29	$27.41	$27.00	37.9%	12.0%	48.2%	13.7%	41.4%	8.1%	-0.1%	1.6M	604.2M	-11.1M	0.53	5.27	87,919	46,352	1,389,489	1,243,129