C Options History — August 2012

In August 2012, C traded between $26.18 and $30.73. ATM implied volatility averaged 31.9%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.2% (HV 20d: 33.1%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.74.

Notable Days

2012-08-21: Highest Volume — 210,713 contracts
2012-08-16: Largest IV spike — 25.9% change
2012-08-01: Highest IV Rank — 17.3%
2012-08-30: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.02	$26.18	$30.73	$26.78	$29.71
Max Pain	$29.61	$27.00	$30.00	$27.00	$30.00
ATM IV	31.9%	24.8%	44.3%	44.3%	30.1%
Expected Move	9.3%	8.5%	9.8%	9.8%	9.5%
HV 20d	33.1%	25.5%	39.8%	35.0%	25.5%
HV 60d	39.5%	35.9%	42.4%	40.5%	35.9%
IV Rank	6.5%	0.0%	17.3%	17.3%	5.7%
IV Percentile	11.8%	0.0%	46.0%	46.0%	5.6%
Term Structure	2.7%	0.8%	4.0%	0.8%	3.0%
VWIV	33.2%	30.1%	35.5%	35.0%	34.2%
Skew 25d	4.2%	3.4%	5.3%	4.3%	4.0%
Skew 10d	8.3%	5.1%	11.1%	8.4%	8.3%
Call IV 25d	31.2%	28.6%	33.4%	33.4%	32.3%
Put IV 25d	35.5%	32.2%	37.8%	37.7%	36.3%
Bid-Ask Spread %	2.91	2.04	8.37	2.77	4.24
Gamma HHI	0.09	0.08	0.33	0.08	0.08
Net GEX	23.5M	-5.4M	73.2M	2.5M	25.9M
Net DEX	-49.6M	-624.9M	883.5M	678.7M	-241.0M
Net VEX	-11.6M	-12.5M	-10.0M	-10.6M	-12.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.28	1.50	0.69	0.59
Total Volume	92,299	39,692	210,713	85,600	64,364
Total OI	2,827,679.174	2,597,903	2,954,506	2,830,770	2,821,638

Daily Data (23 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
2012-08-01	$26.78	$27.00	44.3%	9.8%	35.0%	17.3%	35.0%	4.3%	0.8%	2.5M	678.7M	-10.6M	0.69	2.77	50,787	34,813	1,568,503	1,262,267
2012-08-02	$26.18	$27.00	34.9%	9.7%	34.4%	7.7%	34.1%	4.7%	1.7%	-5.4M	883.5M	-10.0M	0.80	8.37	46,668	37,146	1,574,482	1,269,921
2012-08-03	$27.40	$27.00	31.5%	8.8%	37.5%	4.2%	31.6%	3.6%	3.1%	4.1M	473.0M	-10.8M	0.38	3.81	112,452	42,583	1,590,177	1,281,525
2012-08-06	$28.56	$30.00	36.9%	9.3%	39.8%	9.7%	33.5%	5.3%	1.8%	14.9M	136.5M	-11.3M	0.99	2.56	70,147	69,430	1,558,718	1,273,521
2012-08-07	$28.89	$30.00	36.6%	9.5%	39.5%	9.5%	34.5%	4.8%	2.2%	19.7M	-9.7M	-11.7M	0.69	3.15	90,222	62,253	1,601,929	1,292,431
2012-08-08	$28.86	$30.00	30.2%	9.4%	39.5%	2.9%	32.9%	4.8%	2.3%	17.8M	21.8M	-11.6M	0.66	3.15	75,560	49,734	1,587,602	1,304,751
2012-08-09	$28.86	$30.00	28.2%	9.2%	38.1%	0.9%	34.0%	4.4%	2.6%	21.5M	-40.1M	-11.7M	0.97	2.26	27,468	26,663	1,626,890	1,311,196
2012-08-10	$28.90	$30.00	26.1%	9.0%	34.0%	0.0%	32.3%	4.3%	3.0%	25.0M	-50.4M	-11.8M	0.77	2.04	26,674	20,479	1,637,033	1,304,560
2012-08-13	$28.78	$30.00	28.2%	9.0%	34.1%	2.3%	31.5%	4.3%	2.9%	22.7M	-10.4M	-11.5M	1.03	2.16	21,935	22,669	1,639,300	1,288,745
2012-08-14	$28.77	$30.00	25.4%	9.0%	33.5%	0.0%	31.4%	3.5%	3.1%	22.6M	-12.0M	-11.4M	0.45	2.46	70,734	32,069	1,626,039	1,294,138
2012-08-15	$28.74	$30.00	24.8%	9.0%	33.2%	0.0%	32.2%	3.9%	3.4%	23.3M	-15.2M	-11.5M	0.49	2.35	26,724	12,968	1,656,482	1,298,024
2012-08-16	$28.82	$30.00	31.2%	9.0%	32.2%	6.9%	31.7%	3.6%	3.7%	24.5M	-40.8M	-11.5M	0.53	2.34	51,595	27,273	1,643,244	1,288,254
2012-08-17	$29.03	$30.00	29.6%	8.5%	30.0%	5.2%	30.1%	3.6%	4.0%	73.2M	-129.4M	-11.4M	0.75	2.12	49,609	37,418	1,651,557	1,288,577
2012-08-20	$29.98	$30.00	30.3%	8.7%	29.7%	5.9%	31.6%	4.0%	3.2%	24.7M	-280.7M	-11.7M	0.77	2.56	69,856	53,932	1,474,218	1,123,685
2012-08-21	$30.73	$30.00	31.8%	9.1%	29.8%	7.4%	32.6%	3.4%	3.2%	31.8M	-624.9M	-12.4M	0.46	2.37	143,887	66,826	1,502,193	1,144,458
2012-08-22	$30.49	$30.00	33.0%	9.5%	30.1%	8.8%	33.6%	4.0%	2.6%	34.5M	-550.8M	-12.5M	0.67	2.17	61,401	41,389	1,553,375	1,159,903
2012-08-23	$29.59	$30.00	33.0%	9.5%	32.7%	8.8%	35.1%	4.5%	3.0%	26.7M	-189.9M	-12.2M	1.37	2.77	51,382	70,607	1,562,434	1,164,503
2012-08-24	$29.83	$30.00	33.0%	9.5%	30.5%	8.7%	35.5%	4.7%	2.6%	25.5M	-256.4M	-12.3M	1.50	2.91	26,516	39,705	1,575,645	1,187,049
2012-08-27	$29.69	$30.00	33.1%	9.5%	30.4%	8.8%	34.1%	4.8%	2.6%	24.6M	-200.8M	-12.0M	0.77	2.41	24,158	18,578	1,550,450	1,187,097
2012-08-28	$29.34	$30.00	34.0%	9.7%	30.9%	9.8%	32.8%	4.3%	3.1%	22.0M	-94.5M	-11.6M	0.28	2.44	51,765	14,459	1,557,220	1,186,517
2012-08-29	$29.91	$30.00	33.6%	9.6%	30.7%	9.3%	34.1%	4.4%	2.9%	30.9M	-350.8M	-12.1M	0.65	3.31	35,513	23,083	1,586,775	1,190,448
2012-08-30	$29.65	$30.00	34.2%	9.8%	29.4%	10.0%	34.6%	4.4%	2.4%	26.9M	-235.5M	-12.1M	0.67	2.25	41,514	27,869	1,589,304	1,199,843
2012-08-31	$29.71	$30.00	30.1%	9.5%	25.5%	5.7%	34.2%	4.0%	3.0%	25.9M	-241.0M	-12.2M	0.59	4.24	40,413	23,951	1,607,768	1,213,870