C Options History — December 2012

In December 2012, C traded between $34.22 and $40.17. ATM implied volatility averaged 31.4%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 0.1% (HV 20d: 31.3%). Max pain ranged from $34.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2012-12-05: Highest Volume — 295,171 contracts
2012-12-13: Largest IV spike — 13.6% change
2012-12-28: Highest IV Rank — 40.5%
2012-12-28: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.04	$34.22	$40.17	$34.22	$39.56
Max Pain	$36.61	$34.00	$41.00	$36.00	$41.00
ATM IV	31.4%	27.9%	37.7%	30.4%	34.9%
Expected Move	9.0%	8.0%	10.9%	8.7%	10.0%
HV 20d	31.3%	29.4%	38.4%	32.6%	29.6%
HV 60d	32.5%	31.3%	33.2%	32.5%	32.5%
IV Rank	18.3%	6.0%	40.5%	10.2%	31.7%
IV Percentile	22.1%	2.8%	63.1%	13.5%	49.6%
Term Structure	0.8%	-0.8%	2.8%	2.6%	-0.6%
VWIV	32.2%	29.8%	39.4%	31.9%	34.4%
Skew 25d	4.4%	3.3%	5.7%	5.3%	5.7%
Skew 10d	9.5%	7.4%	13.4%	13.4%	11.2%
Call IV 25d	29.8%	27.2%	35.7%	28.8%	32.8%
Put IV 25d	34.3%	30.9%	41.0%	34.1%	38.4%
Bid-Ask Spread %	4.39	3.35	5.53	4.48	4.03
Gamma HHI	0.14	0.07	0.22	0.07	0.11
Net GEX	68.9M	28.3M	104.1M	28.3M	50.1M
Net DEX	-2.38B	-3.68B	-715.6M	-715.6M	-2.32B
Net VEX	-12.9M	-13.4M	-12.3M	-12.5M	-13.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.33	1.53	0.77	0.39
Total Volume	127,232.45	40,053	295,171	112,819	146,709
Total OI	2,965,981.2	2,570,890	3,154,814	2,999,053	2,622,866

Daily Data (20 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
2012-12-03	$34.22	$36.00	30.4%	8.7%	32.6%	10.2%	31.9%	5.3%	2.6%	28.3M	-715.6M	-12.5M	0.77	4.48	63,834	48,985	1,654,315	1,344,738
2012-12-04	$34.29	$35.00	30.5%	8.7%	32.7%	10.4%	31.7%	4.4%	2.3%	29.7M	-746.3M	-12.4M	0.98	3.90	57,589	56,591	1,668,719	1,357,008
2012-12-05	$36.46	$35.00	31.4%	9.0%	38.4%	11.9%	31.9%	3.3%	1.7%	64.5M	-1.90B	-13.4M	0.37	3.92	216,218	78,953	1,681,654	1,376,210
2012-12-06	$37.02	$0.00	29.7%	8.5%	31.0%	9.0%	30.2%	3.9%	2.1%	83.7M	-2.17B	-13.4M	0.67	5.18	75,918	50,602	1,717,395	1,384,287
2012-12-07	$37.64	$37.00	28.1%	8.0%	31.4%	6.0%	30.0%	3.6%	2.5%	75.7M	-2.53B	-13.2M	1.53	3.98	71,767	110,005	1,708,507	1,394,691
2012-12-10	$37.19	$36.00	29.7%	8.5%	31.8%	8.9%	31.6%	4.5%	1.7%	66.7M	-2.11B	-13.1M	0.96	3.58	39,277	37,873	1,676,295	1,394,495
2012-12-11	$37.00	$36.00	28.8%	8.3%	31.6%	7.3%	30.4%	3.8%	2.8%	67.7M	-2.08B	-12.8M	1.10	3.35	40,892	45,173	1,686,194	1,385,455
2012-12-12	$37.53	$36.00	27.9%	8.0%	31.8%	8.5%	29.8%	3.9%	2.4%	76.9M	-2.36B	-12.7M	1.37	3.48	35,662	48,904	1,688,692	1,394,172
2012-12-13	$37.29	$0.00	31.6%	9.0%	29.4%	19.1%	31.3%	4.6%	0.8%	69.7M	-2.16B	-13.0M	0.78	4.90	40,051	31,219	1,690,861	1,403,665
2012-12-14	$37.60	$37.00	30.2%	8.5%	29.4%	15.7%	30.9%	4.4%	1.6%	72.6M	-2.35B	-12.8M	0.81	4.28	27,816	22,399	1,694,125	1,408,777
2012-12-17	$39.15	$34.00	30.0%	8.8%	32.0%	15.2%	31.3%	4.5%	-0.2%	94.7M	-3.18B	-12.5M	0.40	5.53	124,190	49,262	1,677,328	1,387,454
2012-12-18	$39.46	$34.00	30.8%	9.0%	30.5%	19.0%	31.3%	4.1%	-0.2%	104.1M	-3.40B	-12.3M	0.33	4.95	183,111	61,175	1,701,353	1,395,053
2012-12-19	$39.45	$34.00	32.8%	9.4%	30.4%	25.0%	33.0%	3.7%	-0.8%	97.9M	-3.43B	-12.8M	0.44	4.60	94,134	41,740	1,742,192	1,412,622
2012-12-20	$40.17	$34.00	32.1%	9.2%	30.5%	22.9%	32.6%	4.8%	0.1%	92.4M	-3.68B	-12.6M	0.55	4.96	79,315	43,446	1,701,087	1,411,472
2012-12-21	$39.49	$34.00	33.0%	9.4%	31.5%	25.8%	32.9%	4.5%	0.4%	90.3M	-3.28B	-13.0M	0.94	5.14	96,297	90,858	1,705,727	1,427,402
2012-12-24	$39.38	$40.00	33.2%	9.5%	31.0%	26.3%	32.2%	4.6%	-0.8%	58.2M	-2.39B	-12.8M	1.12	3.85	18,862	21,191	1,447,479	1,150,930
2012-12-26	$39.55	$40.00	32.1%	9.2%	30.1%	22.8%	32.6%	4.5%	-0.6%	56.0M	-2.43B	-12.5M	0.98	4.12	36,386	35,542	1,418,877	1,152,013
2012-12-27	$39.25	$40.00	34.0%	9.8%	30.4%	29.0%	35.4%	5.2%	-0.4%	54.2M	-2.25B	-12.9M	0.85	5.03	67,650	57,352	1,433,057	1,167,093
2012-12-28	$39.01	$40.00	37.7%	10.9%	30.7%	40.5%	39.4%	5.3%	-0.7%	44.8M	-2.16B	-13.2M	0.83	4.64	53,359	44,342	1,459,221	1,196,143
2012-12-31	$39.56	$41.00	34.9%	10.0%	29.6%	31.7%	34.4%	5.7%	-0.6%	50.1M	-2.32B	-13.3M	0.39	4.03	105,606	41,103	1,441,047	1,181,819