C Options History — November 2012

In November 2012, C traded between $34.57 and $38.47. ATM implied volatility averaged 31.9%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.4% (HV 20d: 36.3%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2012-11-16: Highest Volume — 230,564 contracts
2012-11-05: Largest IV spike — 29.1% change
2012-11-06: Highest IV Rank — 36.4%
2012-11-15: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.02	$34.57	$38.47	$37.95	$34.57
Max Pain	$33.55	$32.00	$37.00	$33.00	$36.00
ATM IV	31.9%	27.3%	44.8%	32.4%	28.4%
Expected Move	8.9%	7.8%	9.9%	8.5%	8.2%
HV 20d	36.3%	32.6%	42.0%	33.5%	32.6%
HV 60d	31.6%	28.3%	33.2%	28.3%	32.4%
IV Rank	12.8%	4.6%	36.4%	11.8%	6.6%
IV Percentile	18.9%	1.2%	73.4%	16.3%	5.2%
Term Structure	1.7%	-0.7%	3.9%	1.1%	3.3%
VWIV	31.8%	27.6%	36.7%	29.9%	30.2%
Skew 25d	5.3%	4.1%	7.8%	4.2%	4.3%
Skew 10d	12.1%	8.9%	18.8%	9.0%	10.3%
Call IV 25d	28.9%	25.8%	31.8%	28.4%	27.9%
Put IV 25d	34.2%	30.3%	38.9%	32.6%	32.2%
Bid-Ask Spread %	4.77	3.07	8.73	5.01	5.34
Gamma HHI	0.11	0.07	0.35	0.11	0.07
Net GEX	57.5M	28.9M	101.0M	77.6M	28.9M
Net DEX	-1.84B	-3.34B	-864.7M	-3.04B	-864.7M
Net VEX	-14.1M	-15.2M	-12.7M	-15.0M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.47	1.19	0.75	1.17
Total Volume	120,764.476	58,777	230,564	99,314	137,974
Total OI	3,115,212.524	2,854,147	3,366,238	3,102,766	3,011,416

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
2012-11-01	$37.95	$33.00	32.4%	8.5%	33.5%	11.8%	29.9%	4.2%	1.1%	77.6M	-3.04B	-15.0M	0.75	5.01	56,854	42,460	1,784,547	1,318,219
2012-11-02	$37.60	$33.00	33.9%	8.9%	33.3%	14.2%	31.4%	4.1%	0.5%	75.2M	-2.89B	-15.0M	0.47	4.78	59,541	27,724	1,808,429	1,326,903
2012-11-05	$37.32	$32.00	43.7%	9.8%	32.6%	34.5%	34.8%	5.3%	0.9%	73.8M	-2.71B	-15.2M	1.16	3.07	43,198	49,972	1,815,116	1,313,604
2012-11-06	$38.47	$32.00	44.8%	9.1%	33.8%	36.4%	32.9%	5.3%	1.0%	91.6M	-3.34B	-14.8M	0.97	3.08	67,566	65,660	1,833,831	1,342,226
2012-11-07	$36.05	$32.00	34.1%	9.8%	42.0%	17.0%	36.0%	5.8%	1.0%	54.0M	-1.96B	-14.9M	0.99	4.51	106,720	105,197	1,850,289	1,363,037
2012-11-08	$36.00	$32.00	32.6%	9.6%	41.9%	14.2%	32.6%	6.0%	1.2%	51.5M	-1.97B	-14.9M	0.63	3.98	84,370	53,089	1,871,104	1,396,794
2012-11-09	$35.93	$32.00	31.7%	9.7%	41.6%	12.5%	35.1%	6.6%	1.2%	51.3M	-1.88B	-15.2M	1.09	4.01	65,421	71,164	1,891,497	1,412,552
2012-11-12	$36.42	$32.00	30.3%	9.3%	41.7%	10.0%	33.0%	6.1%	1.4%	65.5M	-2.25B	-14.4M	1.13	3.80	33,994	38,458	1,878,862	1,418,093
2012-11-13	$36.16	$32.00	29.2%	9.1%	41.0%	8.0%	32.3%	5.9%	1.3%	60.5M	-2.09B	-14.5M	1.13	3.89	52,868	59,606	1,886,708	1,429,272
2012-11-14	$35.02	$32.00	34.3%	9.6%	37.8%	17.3%	35.4%	6.1%	1.3%	44.2M	-1.46B	-14.4M	0.99	4.64	69,842	69,277	1,895,783	1,452,966
2012-11-15	$35.21	$0.00	34.4%	9.9%	37.3%	17.6%	36.7%	6.4%	-0.0%	48.4M	-1.58B	-14.4M	1.05	4.91	79,746	83,689	1,893,154	1,455,767
2012-11-16	$34.98	$36.00	33.6%	9.7%	35.1%	16.1%	36.6%	7.8%	-0.7%	101.0M	-1.38B	-14.2M	0.90	7.87	121,232	109,332	1,899,341	1,466,897
2012-11-19	$36.10	$33.00	30.5%	8.7%	37.4%	10.4%	30.8%	5.6%	2.4%	49.4M	-1.66B	-14.1M	0.86	3.79	62,887	53,965	1,601,872	1,252,275
2012-11-20	$36.00	$33.00	28.8%	8.3%	35.6%	7.3%	29.5%	5.0%	2.2%	52.7M	-1.63B	-13.9M	0.80	3.99	47,547	38,221	1,632,771	1,276,511
2012-11-21	$35.77	$33.00	27.3%	7.8%	35.1%	4.6%	28.2%	4.5%	3.3%	49.1M	-1.48B	-13.4M	0.99	3.20	36,343	35,960	1,619,833	1,286,941
2012-11-23	$36.03	$33.00	27.8%	8.0%	34.5%	5.5%	30.4%	5.1%	-0.2%	60.3M	-1.63B	-13.4M	0.98	5.13	29,670	29,107	1,633,625	1,300,455
2012-11-26	$35.57	$37.00	28.6%	8.2%	34.4%	7.0%	29.1%	5.0%	2.9%	47.2M	-1.40B	-13.3M	1.06	6.51	41,283	43,859	1,629,235	1,291,051
2012-11-27	$35.04	$36.00	28.3%	8.1%	34.6%	6.4%	28.2%	4.2%	3.5%	40.8M	-1.16B	-13.1M	0.53	8.73	58,002	30,809	1,639,490	1,303,068
2012-11-28	$35.07	$36.00	28.2%	8.1%	34.0%	6.2%	27.6%	4.5%	3.9%	38.8M	-1.09B	-12.9M	0.64	6.17	109,625	69,608	1,623,040	1,312,726
2012-11-29	$35.21	$36.00	27.6%	7.9%	32.9%	5.1%	27.9%	4.5%	3.5%	46.6M	-1.25B	-12.8M	1.19	3.84	43,108	51,106	1,662,500	1,337,663
2012-11-30	$34.57	$36.00	28.4%	8.2%	32.6%	6.6%	30.2%	4.3%	3.3%	28.9M	-864.7M	-12.7M	1.17	5.34	63,506	74,468	1,659,843	1,351,573