C Options History — September 2012

In September 2012, C traded between $29.70 and $34.79. ATM implied volatility averaged 35.7%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 7.1% (HV 20d: 28.6%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2012-09-13: Highest Volume — 228,635 contracts
2012-09-12: Largest IV drop — 30.3% change
2012-09-11: Highest IV Rank — 24.9%
2012-09-26: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.82	$29.70	$34.79	$29.70	$32.72
Max Pain	$29.63	$28.00	$31.00	$30.00	$31.00
ATM IV	35.7%	32.3%	48.1%	36.7%	32.5%
Expected Move	10.0%	9.2%	10.5%	10.1%	10.1%
HV 20d	28.6%	21.0%	32.6%	21.3%	29.3%
HV 60d	33.3%	31.0%	35.3%	35.3%	31.0%
IV Rank	11.6%	8.0%	24.9%	12.7%	8.2%
IV Percentile	28.8%	10.7%	65.5%	32.9%	11.9%
Term Structure	0.3%	-0.8%	2.4%	1.9%	-0.4%
VWIV	35.6%	32.7%	37.8%	36.2%	36.0%
Skew 25d	4.4%	2.8%	5.6%	5.4%	4.8%
Skew 10d	8.4%	4.6%	10.9%	9.7%	9.6%
Call IV 25d	33.3%	30.5%	35.3%	34.0%	33.5%
Put IV 25d	37.7%	34.9%	40.4%	39.4%	38.3%
Bid-Ask Spread %	2.38	1.76	4.34	4.34	2.57
Gamma HHI	0.10	0.08	0.12	0.08	0.09
Net GEX	53.6M	26.9M	69.3M	26.9M	40.9M
Net DEX	-1.58B	-2.78B	-221.2M	-221.2M	-1.18B
Net VEX	-12.9M	-13.6M	-11.8M	-11.9M	-12.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.30	1.27	0.72	0.30
Total Volume	128,627.684	57,132	228,635	57,132	191,184
Total OI	2,930,386.053	2,585,176	3,176,120	2,812,289	2,722,995

Daily Data (19 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
2012-09-04	$29.70	$30.00	36.7%	10.1%	21.3%	12.7%	36.2%	5.4%	1.9%	26.9M	-221.2M	-11.9M	0.72	4.34	33,258	23,874	1,605,122	1,207,167
2012-09-05	$29.77	$30.00	35.3%	9.8%	21.0%	11.3%	34.6%	5.6%	2.4%	29.7M	-246.2M	-11.8M	0.87	2.99	31,558	27,596	1,620,774	1,217,115
2012-09-06	$31.12	$30.00	33.8%	9.2%	25.9%	9.6%	32.7%	4.4%	2.3%	44.7M	-829.5M	-12.3M	0.40	2.49	136,868	54,351	1,626,663	1,230,553
2012-09-07	$32.07	$28.00	35.6%	10.0%	27.5%	11.6%	36.1%	5.1%	0.7%	59.4M	-1.38B	-13.1M	0.48	2.26	153,535	74,205	1,694,188	1,243,769
2012-09-10	$31.83	$28.00	38.8%	9.7%	27.8%	15.0%	35.7%	5.1%	0.9%	53.0M	-1.18B	-12.9M	0.91	2.18	59,357	54,023	1,678,974	1,246,644
2012-09-11	$32.66	$29.00	48.1%	10.3%	28.5%	24.9%	37.8%	5.4%	0.0%	57.4M	-1.58B	-13.2M	0.60	2.50	103,680	62,119	1,704,112	1,265,793
2012-09-12	$33.05	$29.00	33.5%	10.3%	28.5%	9.3%	35.6%	4.7%	-0.0%	64.5M	-1.79B	-13.6M	0.45	2.10	99,731	45,044	1,763,258	1,289,367
2012-09-13	$34.45	$29.00	36.2%	10.4%	30.8%	12.2%	37.3%	4.5%	-0.8%	69.1M	-2.56B	-13.4M	0.54	1.76	148,505	80,130	1,798,222	1,302,923
2012-09-14	$34.79	$29.00	34.6%	9.9%	30.7%	10.5%	35.8%	3.5%	-0.4%	66.6M	-2.78B	-13.4M	0.65	2.19	129,363	84,199	1,831,009	1,329,676
2012-09-17	$34.06	$30.00	35.8%	10.3%	32.6%	11.8%	36.6%	3.8%	0.0%	67.5M	-2.28B	-13.4M	0.89	2.33	43,082	38,132	1,806,828	1,327,379
2012-09-18	$33.94	$30.00	34.4%	9.9%	31.5%	10.3%	35.2%	2.8%	0.2%	67.1M	-2.22B	-13.2M	0.73	2.09	49,268	35,723	1,808,722	1,338,250
2012-09-19	$34.18	$30.00	34.7%	9.9%	30.8%	10.5%	34.6%	3.6%	-0.7%	69.3M	-2.35B	-13.1M	0.78	2.36	39,260	30,694	1,816,888	1,343,604
2012-09-20	$33.81	$30.00	34.7%	10.0%	31.0%	10.6%	36.2%	3.9%	-0.4%	67.0M	-2.16B	-13.0M	0.91	2.19	78,258	71,418	1,823,283	1,348,349
2012-09-21	$33.67	$30.00	32.3%	9.3%	28.3%	8.0%	32.8%	3.9%	0.3%	65.6M	-2.10B	-12.9M	0.63	2.02	48,977	31,091	1,850,783	1,325,337
2012-09-24	$33.49	$30.00	33.6%	9.6%	28.6%	9.4%	33.7%	4.0%	0.2%	45.2M	-1.50B	-12.9M	0.45	2.02	41,099	18,675	1,528,606	1,056,570
2012-09-25	$32.86	$30.00	34.9%	10.0%	29.7%	10.8%	35.8%	3.3%	-0.3%	42.4M	-1.26B	-12.7M	1.16	2.58	46,380	53,609	1,540,210	1,061,545
2012-09-26	$32.51	$30.00	36.6%	10.5%	29.7%	12.6%	37.3%	5.1%	-0.6%	37.6M	-1.08B	-12.8M	0.73	2.17	83,135	61,043	1,547,874	1,081,654
2012-09-27	$32.97	$30.00	35.5%	10.2%	29.4%	11.4%	36.4%	5.4%	-0.2%	43.9M	-1.31B	-12.9M	1.27	2.16	35,831	45,671	1,586,266	1,106,863
2012-09-28	$32.72	$31.00	32.5%	10.1%	29.3%	8.2%	36.0%	4.8%	-0.4%	40.9M	-1.18B	-12.9M	0.30	2.57	146,827	44,357	1,597,284	1,125,711