C Options History — July 2012

In July 2012, C traded between $25.24 and $27.65. ATM implied volatility averaged 37.2%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 1.8% (HV 20d: 39.0%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2012-07-16: Highest Volume — 219,984 contracts
  • 2012-07-27: Largest IV spike — 26.7% change
  • 2012-07-31: Highest IV Rank — 14.8%
  • 2012-07-05: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.48$25.24$27.65$27.46$27.13
Max Pain$27.67$27.00$29.00$27.00$27.00
ATM IV37.2%31.8%41.9%35.9%41.9%
Expected Move10.6%9.2%12.5%12.2%9.9%
HV 20d39.0%34.7%47.2%47.2%34.9%
HV 60d39.6%37.6%40.8%40.1%40.5%
IV Rank10.1%4.5%14.8%11.7%14.8%
IV Percentile25.7%5.6%39.7%24.6%39.7%
Term Structure0.7%-2.5%3.9%-1.9%1.1%
VWIV38.0%33.7%44.1%41.2%37.2%
Skew 25d5.2%3.4%6.9%6.9%4.4%
Skew 10d9.7%6.2%13.8%13.8%8.0%
Call IV 25d35.1%30.0%41.4%38.3%33.5%
Put IV 25d40.3%35.4%46.8%45.2%38.0%
Bid-Ask Spread %5.122.447.785.537.49
Gamma HHI0.100.070.130.080.08
Net GEX-3.9M-14.2M6.5M2.1M3.7M
Net DEX842.5M451.8M1.22B584.0M586.8M
Net VEX-10.1M-11.1M-9.0M-11.0M-10.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.411.870.670.82
Total Volume115,375.85747,919219,98464,36277,309
Total OI2,771,231.9052,606,6412,978,0002,646,1812,785,673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$27.46$27.0035.9%12.2%47.2%11.7%41.2%6.9%-1.9%2.1M584.0M-11.0M0.675.5338,58425,7781,400,6951,245,486
2012-07-03$27.65$27.0031.8%11.3%45.7%4.5%43.1%5.9%-2.2%4.0M550.0M-11.0M1.872.9916,71231,2071,411,8081,253,500
2012-07-05$26.84$27.0039.9%12.5%43.2%12.8%44.1%5.4%-2.5%-2.8M771.8M-10.5M1.085.3549,08453,1071,416,1551,258,207
2012-07-06$26.36$29.0036.4%11.9%43.6%9.3%41.7%6.6%-0.3%-4.3M908.1M-10.1M0.594.0575,84444,6501,435,9131,278,192
2012-07-09$26.11$29.0041.1%11.6%41.9%14.0%40.5%6.0%0.9%-8.6M997.8M-9.7M0.563.2346,21225,9141,414,9251,267,615
2012-07-10$25.88$28.0039.8%11.4%38.6%12.7%40.6%5.3%0.6%-9.6M1.04B-9.6M0.834.8832,29326,9521,441,0891,284,072
2012-07-11$25.87$28.0041.9%11.1%35.1%14.8%38.6%6.0%1.1%-9.4M1.05B-9.4M0.615.5655,20133,7171,449,5251,289,890
2012-07-12$25.28$28.0040.9%11.7%35.7%13.8%39.8%6.2%0.1%-12.4M1.22B-9.0M0.714.1561,17343,4971,478,3231,301,737
2012-07-13$26.65$28.0037.9%10.9%40.9%10.7%38.8%4.3%-0.3%-3.2M810.5M-10.1M0.765.08116,86888,8551,494,1541,316,066
2012-07-16$26.81$28.0036.0%10.3%40.6%8.8%37.5%4.5%0.9%-1.9M825.0M-9.9M0.636.63135,37584,6091,496,7171,329,565
2012-07-17$27.38$28.0035.0%10.0%40.3%7.8%35.3%4.6%1.2%6.5M596.9M-10.6M0.816.0052,35342,5421,577,9691,356,644
2012-07-18$27.10$28.0034.1%9.8%38.4%6.9%35.8%5.3%1.4%3.0M709.9M-10.4M1.555.4543,67367,8631,580,8931,362,172
2012-07-19$26.59$28.0034.2%9.8%38.4%7.0%36.0%5.1%1.0%-5.1M917.2M-9.9M0.995.9260,72860,3091,559,6471,366,300
2012-07-20$25.87$28.0033.9%9.7%37.5%6.7%35.0%4.1%2.2%-10.7M1.18B-9.5M1.487.7856,81584,3201,584,0711,393,929
2012-07-23$25.34$28.0035.6%10.2%37.8%8.5%35.4%5.3%1.5%-14.2M1.10B-9.2M0.866.6785,13872,9051,386,5411,220,100
2012-07-24$25.24$27.0036.0%10.3%34.7%8.8%35.0%6.1%2.2%-14.1M1.11B-9.3M0.444.37104,58346,3711,429,3921,254,227
2012-07-25$25.79$27.0034.4%9.9%35.7%7.1%38.8%5.5%2.4%-7.7M918.3M-10.1M1.083.7555,78060,2711,483,2321,273,855
2012-07-26$26.28$27.0032.1%9.2%36.1%4.9%33.7%5.4%3.9%-5.2M797.2M-10.3M1.007.3160,25560,2931,495,8061,275,714
2012-07-27$27.30$27.0040.7%9.8%37.4%13.6%34.1%3.7%1.1%2.4M451.8M-11.1M0.412.98123,54850,3601,522,6721,251,586
2012-07-30$27.14$27.0040.9%10.0%34.9%13.8%35.4%3.4%1.0%5.5M561.8M-11.0M0.992.4436,02335,8221,531,1691,240,644
2012-07-31$27.13$27.0041.9%9.9%34.9%14.8%37.2%4.4%1.1%3.7M586.8M-10.8M0.827.4942,44334,8661,527,4341,258,239