C Options History — January 2013

In January 2013, C traded between $41.24 and $42.91. ATM implied volatility averaged 26.1%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.1% (HV 20d: 25.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2013-01-17: Highest Volume — 307,006 contracts
  • 2013-01-17: Largest IV drop — 14.4% change
  • 2013-01-09: Highest IV Rank — 16.7%
  • 2013-01-09: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.17$41.24$42.91$41.25$42.16
Max Pain$41.25$40.00$45.00$41.00$42.00
ATM IV26.1%21.9%30.1%29.9%23.4%
Expected Move7.5%6.2%8.6%8.6%6.7%
HV 20d25.1%19.5%31.3%31.3%19.5%
HV 60d31.4%29.4%33.3%33.2%29.4%
IV Rank7.7%0.0%16.7%16.1%4.3%
IV Percentile5.2%0.0%16.3%13.1%3.2%
Term Structure0.3%-1.1%1.6%-0.4%1.4%
VWIV26.5%22.0%30.2%30.2%25.7%
Skew 25d2.9%1.8%5.0%5.0%3.6%
Skew 10d6.1%4.1%10.5%10.5%7.7%
Call IV 25d24.8%20.9%28.7%27.8%22.0%
Put IV 25d27.8%23.5%32.8%32.8%25.6%
Bid-Ask Spread %4.032.856.884.943.17
Gamma HHI0.110.090.170.130.10
Net GEX56.7M33.6M72.0M66.2M40.0M
Net DEX-2.79B-3.78B-1.57B-3.24B-1.66B
Net VEX-13.6M-14.1M-12.8M-13.0M-14.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.481.230.490.87
Total Volume139,892.38170,276307,006153,69180,230
Total OI2,522,653.1431,820,1753,097,2202,705,5032,001,824

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$41.25$41.0029.9%8.6%31.3%16.1%30.2%5.0%-0.4%66.2M-3.24B-13.0M0.494.94102,88150,8101,511,7921,193,711
2013-01-03$41.39$40.0028.5%8.2%31.3%11.7%28.9%4.4%-0.1%70.2M-3.22B-12.8M0.573.17115,09165,1211,496,9181,206,887
2013-01-04$42.43$41.0028.1%8.1%25.4%10.4%27.8%3.5%-0.3%64.2M-3.72B-12.9M0.596.88130,33777,3221,530,5581,228,984
2013-01-07$42.47$41.0029.1%8.4%25.3%13.6%29.0%3.0%-0.7%66.7M-3.57B-12.9M0.924.4572,09766,5311,515,9751,233,380
2013-01-08$42.46$41.0029.3%8.4%25.1%14.2%29.5%2.9%-1.0%67.3M-3.58B-13.2M0.484.5176,20136,2441,539,1321,266,628
2013-01-09$42.04$41.0030.1%8.6%25.0%16.7%30.0%2.9%-1.1%67.6M-3.38B-13.5M0.703.38126,43987,8861,576,7881,280,096
2013-01-10$42.83$0.0029.2%8.4%25.0%13.9%29.2%2.4%-0.9%72.0M-3.78B-13.7M0.803.7888,11570,0551,619,5031,310,465
2013-01-11$42.34$45.0029.3%8.5%25.7%14.2%29.5%2.1%-1.0%65.0M-3.50B-13.8M0.614.6496,83259,4131,633,8461,339,765
2013-01-14$42.22$40.0028.8%8.2%25.5%12.7%28.5%2.4%0.4%66.0M-3.45B-13.8M0.833.6542,82135,7281,634,4251,330,653
2013-01-15$42.57$40.0028.1%8.0%25.5%10.3%28.1%2.3%0.3%67.4M-3.62B-13.6M0.744.7560,82244,9501,641,3041,345,270
2013-01-16$42.48$40.0029.0%8.3%22.2%13.2%28.5%3.0%-0.2%66.8M-3.58B-14.0M1.103.9075,01182,5311,664,5171,364,695
2013-01-17$41.24$40.0024.8%7.1%25.1%0.0%24.7%2.5%0.6%44.4M-2.87B-13.3M0.955.99157,539149,4671,647,7651,389,971
2013-01-18$41.66$40.0023.4%6.7%25.2%0.0%24.2%1.8%0.6%34.8M-3.05B-13.7M0.854.4187,58074,3721,662,9331,434,287
2013-01-22$41.78$41.0022.5%6.5%24.6%0.0%22.8%2.0%1.5%43.8M-1.64B-13.3M1.062.8557,26360,7921,001,599818,576
2013-01-23$42.02$41.0022.2%6.4%23.6%0.0%22.0%2.4%1.6%48.8M-1.73B-13.5M0.983.0353,69852,8601,019,552838,366
2013-01-24$42.80$42.0021.9%6.2%24.0%0.0%22.3%2.5%0.9%58.2M-2.03B-13.8M0.802.9976,58561,0151,037,672858,269
2013-01-25$42.91$42.0022.1%6.3%24.1%0.5%23.9%2.6%0.9%68.5M-2.04B-14.0M1.233.0444,85555,3591,054,203887,388
2013-01-28$42.34$43.0023.4%6.8%24.5%4.1%23.9%3.5%1.1%41.8M-1.76B-13.9M1.084.4052,50456,6601,035,639885,647
2013-01-29$42.16$42.0022.7%6.5%24.4%2.3%23.2%3.3%1.2%37.8M-1.67B-14.0M1.182.9438,27845,1691,050,637907,083
2013-01-30$41.95$42.0023.0%6.6%24.3%3.0%24.6%3.3%1.3%33.6M-1.57B-14.1M1.023.7834,81535,4611,059,721919,292
2013-01-31$42.16$42.0023.4%6.7%19.5%4.3%25.7%3.6%1.4%40.0M-1.66B-14.1M0.873.1742,90737,3231,070,271931,553