C Options History — October 2012

In October 2012, C traded between $32.75 and $38.43. ATM implied volatility averaged 32.6%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 3.7% (HV 20d: 28.9%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-10-16: Highest Volume — 347,398 contracts
  • 2012-10-04: Largest IV drop — 17.1% change
  • 2012-10-09: Highest IV Rank — 18.1%
  • 2012-10-01: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.99$32.75$38.43$32.75$37.39
Max Pain$31.57$31.00$33.00$31.00$32.00
ATM IV32.6%28.9%38.3%38.3%32.2%
Expected Move9.1%8.3%10.1%10.1%9.0%
HV 20d28.9%21.1%33.5%29.3%33.5%
HV 60d29.9%28.8%31.1%30.7%29.2%
IV Rank11.2%6.5%18.1%14.5%11.5%
IV Percentile17.6%3.2%45.2%45.2%15.5%
Term Structure0.3%-1.1%1.4%-0.5%0.8%
VWIV32.6%29.5%35.5%35.5%31.1%
Skew 25d4.3%2.5%5.8%3.7%3.8%
Skew 10d9.2%5.2%12.8%6.7%8.3%
Call IV 25d30.1%26.6%33.5%33.5%29.9%
Put IV 25d34.4%30.8%37.3%37.3%33.8%
Bid-Ask Spread %3.021.716.812.176.81
Gamma HHI0.100.090.110.090.10
Net GEX69.2M46.8M91.0M46.8M69.9M
Net DEX-2.63B-4.12B-1.32B-1.32B-2.75B
Net VEX-14.1M-15.5M-13.5M-13.5M-15.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.561.261.261.14
Total Volume157,48856,923347,39893,13080,701
Total OI3,034,1672,822,0083,290,1462,827,5423,085,490

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$32.75$31.0038.3%10.1%29.3%14.5%35.5%3.7%-0.5%46.8M-1.32B-13.5M1.262.1741,20651,9241,696,2711,131,271
2012-10-02$33.26$31.0036.3%10.0%29.5%12.3%34.7%4.0%-0.4%52.5M-1.46B-13.5M0.621.7135,22821,6951,682,4661,139,542
2012-10-03$34.06$31.0037.9%9.7%30.2%15.8%33.7%2.5%-0.2%60.5M-1.86B-13.6M0.682.2684,39157,5231,693,3281,141,056
2012-10-04$34.96$31.0031.4%9.6%27.7%8.0%34.3%3.4%-1.1%71.0M-2.40B-13.9M0.742.07103,63777,1531,755,1571,157,529
2012-10-05$34.77$31.0030.7%9.2%26.4%9.2%32.9%4.4%0.2%64.0M-2.32B-13.8M0.702.3793,63165,6121,770,4061,194,050
2012-10-08$34.78$31.0035.2%9.3%26.1%16.3%33.9%5.8%-0.1%65.4M-2.24B-13.7M0.742.5655,64841,0931,761,0351,184,269
2012-10-09$34.60$31.0036.4%9.3%25.1%18.1%33.3%4.9%0.0%64.7M-2.18B-13.7M0.612.3679,42048,1511,773,0161,197,213
2012-10-10$35.14$31.0035.9%9.5%25.3%17.4%34.6%5.1%-0.2%68.1M-2.42B-14.1M0.563.2265,73937,0571,803,8331,225,449
2012-10-11$35.52$31.0033.0%9.5%21.1%12.8%33.8%4.6%-0.3%71.6M-2.61B-14.2M0.582.6298,44857,1341,819,9801,233,121
2012-10-12$34.75$31.0032.9%9.4%22.4%12.7%34.0%4.7%0.1%67.4M-2.20B-14.0M0.984.88103,444101,8701,858,6241,255,080
2012-10-15$36.66$32.0029.9%8.6%28.0%8.0%31.2%4.2%0.5%85.9M-3.26B-14.0M0.593.59202,316119,2151,875,9901,267,541
2012-10-16$37.25$32.0029.7%8.5%28.2%7.6%30.1%3.8%0.6%91.0M-3.59B-13.6M0.713.15202,606144,7921,897,3621,294,196
2012-10-17$38.43$32.0029.3%8.4%29.8%7.1%30.4%3.7%0.5%88.4M-4.12B-14.0M0.591.75170,52799,8371,911,9131,340,855
2012-10-18$38.42$32.0028.9%8.3%29.2%6.5%29.5%4.2%0.5%85.7M-4.05B-13.8M0.892.85101,52590,1401,915,2821,367,954
2012-10-19$37.16$32.0029.8%8.5%32.3%7.8%29.9%4.2%1.0%74.2M-3.26B-14.1M0.893.0890,94080,6001,902,9241,387,222
2012-10-22$37.72$32.0029.2%8.4%32.2%6.8%30.9%4.2%1.0%69.9M-2.91B-14.1M1.032.9750,50551,9281,703,4311,209,019
2012-10-23$36.89$32.0031.6%9.0%32.6%10.6%32.1%5.0%1.0%63.1M-2.51B-14.4M1.222.9650,64261,9931,720,0511,230,315
2012-10-24$37.30$32.0031.9%9.2%32.0%11.1%32.5%4.8%0.8%68.0M-2.71B-14.5M0.812.8587,94070,8391,734,2881,246,022
2012-10-25$37.41$32.0031.9%9.2%31.9%11.2%32.4%4.8%1.4%72.0M-2.76B-15.4M0.952.9750,17647,5531,771,1841,290,167
2012-10-26$36.60$33.0031.2%9.2%33.1%10.0%32.9%4.6%1.2%52.0M-2.35B-15.5M0.884.2670,40162,0681,784,9731,308,632
2012-10-31$37.39$32.0032.2%9.0%33.5%11.5%31.1%3.8%0.8%69.9M-2.75B-15.3M1.146.8137,69743,0041,782,9101,302,580