C Options History — February 2013

In February 2013, C traded between $41.15 and $44.50. ATM implied volatility averaged 25.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.3% (HV 20d: 22.4%). Max pain ranged from $36.00 to $44.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.91.

Notable Days

2013-02-12: Highest Volume — 198,295 contracts
2013-02-25: Largest IV spike — 23.6% change
2013-02-25: Highest IV Rank — 31.5%
2013-02-25: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.94	$41.15	$44.50	$43.02	$41.97
Max Pain	$40.75	$36.00	$44.50	$42.00	$42.00
ATM IV	25.7%	22.2%	32.8%	22.2%	27.8%
Expected Move	7.4%	6.4%	9.4%	6.4%	8.0%
HV 20d	22.4%	19.1%	27.8%	20.7%	27.8%
HV 60d	26.5%	24.9%	29.6%	29.6%	27.2%
IV Rank	10.9%	0.7%	31.5%	0.7%	16.9%
IV Percentile	10.3%	0.8%	44.4%	0.8%	12.3%
Term Structure	0.8%	-0.8%	2.8%	1.3%	-0.1%
VWIV	26.0%	22.6%	33.7%	22.6%	28.5%
Skew 25d	3.5%	2.7%	4.8%	3.4%	4.8%
Skew 10d	7.1%	5.9%	10.4%	6.8%	10.4%
Call IV 25d	24.2%	20.8%	30.9%	20.8%	25.8%
Put IV 25d	27.7%	24.2%	35.0%	24.2%	30.6%
Bid-Ask Spread %	3.65	2.68	5.88	2.71	3.94
Gamma HHI	0.13	0.09	0.28	0.28	0.09
Net GEX	49.4M	19.9M	95.9M	95.9M	32.4M
Net DEX	-1.77B	-2.47B	-938.1M	-2.05B	-1.22B
Net VEX	-14.5M	-15.6M	-13.7M	-14.1M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.53	1.62	0.74	0.76
Total Volume	117,151.158	68,201	198,295	122,079	68,201
Total OI	2,075,120.263	1,946,722	2,199,506	2,028,682	2,199,506

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
2013-02-01	$43.02	$42.00	22.2%	6.4%	20.7%	0.7%	22.6%	3.4%	1.3%	95.9M	-2.05B	-14.1M	0.74	2.71	70,081	51,998	1,085,717	942,965
2013-02-04	$42.21	$42.00	24.4%	7.0%	20.1%	7.1%	24.0%	3.2%	0.9%	42.3M	-1.67B	-14.1M	1.10	3.09	42,656	47,068	1,067,760	920,981
2013-02-05	$42.92	$42.00	23.0%	6.6%	21.0%	3.0%	23.2%	3.8%	1.6%	53.9M	-1.96B	-14.2M	0.79	3.02	50,249	39,917	1,084,241	940,703
2013-02-06	$43.05	$42.00	23.2%	6.6%	21.0%	3.6%	23.5%	3.4%	1.8%	55.3M	-1.97B	-14.3M	0.84	2.88	46,030	38,819	1,084,985	951,970
2013-02-07	$42.87	$0.00	24.8%	7.1%	20.7%	8.4%	25.3%	3.4%	0.3%	56.7M	-1.90B	-14.4M	1.62	2.68	43,826	71,125	1,099,350	964,502
2013-02-08	$42.68	$44.00	23.5%	6.7%	19.7%	4.6%	24.5%	3.0%	0.7%	46.6M	-1.82B	-14.3M	1.01	2.86	43,031	43,357	1,104,602	990,826
2013-02-11	$43.15	$36.00	23.9%	6.9%	19.6%	5.7%	24.7%	3.0%	2.8%	54.6M	-1.98B	-14.2M	0.76	3.76	46,170	35,304	1,094,165	978,707
2013-02-12	$44.35	$36.00	25.4%	7.3%	21.6%	10.1%	25.5%	3.0%	1.3%	69.8M	-2.47B	-14.1M	0.53	3.23	129,212	69,083	1,103,613	987,740
2013-02-13	$44.00	$36.00	23.7%	6.8%	21.8%	5.1%	24.0%	2.7%	2.0%	75.2M	-2.31B	-14.1M	1.02	4.43	80,866	82,565	1,112,894	1,003,904
2013-02-14	$44.32	$37.00	24.1%	6.9%	21.9%	6.2%	24.7%	3.3%	0.6%	71.0M	-2.41B	-13.9M	0.76	4.06	54,517	41,278	1,101,213	1,007,095
2013-02-15	$43.84	$37.00	24.3%	6.9%	19.1%	6.7%	24.5%	3.3%	0.6%	72.0M	-2.15B	-14.2M	1.00	3.58	49,047	49,037	1,107,336	1,034,298
2013-02-19	$44.50	$44.00	24.2%	7.0%	19.4%	6.6%	24.5%	2.8%	1.6%	44.4M	-2.17B	-13.7M	0.76	3.82	74,051	56,394	1,016,441	930,281
2013-02-20	$43.22	$44.50	27.4%	7.9%	22.6%	15.9%	27.2%	3.1%	0.2%	33.3M	-1.67B	-14.6M	1.22	3.59	53,923	65,976	1,048,983	965,085
2013-02-21	$42.35	$44.00	28.6%	8.2%	23.8%	19.2%	28.5%	3.3%	0.1%	23.0M	-1.28B	-14.8M	0.84	4.10	85,014	71,765	1,057,668	989,561
2013-02-22	$42.79	$44.00	26.6%	7.6%	23.2%	13.3%	27.6%	3.2%	-0.2%	35.7M	-1.48B	-14.7M	1.05	3.94	48,512	50,931	1,084,650	1,014,953
2013-02-25	$41.15	$40.00	32.8%	9.4%	27.0%	31.5%	33.7%	4.1%	-0.8%	21.4M	-945.7M	-15.2M	1.14	5.88	66,912	76,157	1,067,823	998,981
2013-02-26	$41.29	$40.00	30.8%	8.8%	26.7%	25.7%	30.1%	4.8%	0.2%	19.9M	-938.1M	-15.4M	0.74	3.65	99,153	72,940	1,088,498	1,034,188
2013-02-27	$42.16	$41.00	27.5%	7.9%	27.8%	15.9%	27.2%	4.7%	1.0%	35.4M	-1.29B	-15.3M	0.59	4.13	69,795	40,912	1,113,996	1,047,104
2013-02-28	$41.97	$42.00	27.8%	8.0%	27.8%	16.9%	28.5%	4.8%	-0.1%	32.4M	-1.22B	-15.6M	0.76	3.94	38,689	29,512	1,140,288	1,059,218