C Options History — March 2013

In March 2013, C traded between $42.11 and $47.60. ATM implied volatility averaged 25.9%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.3% (HV 20d: 28.3%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2013-03-08: Highest Volume — 291,690 contracts
2013-03-18: Largest IV spike — 15.2% change
2013-03-25: Highest IV Rank — 18.0%
2013-03-25: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.39	$42.11	$47.60	$42.11	$44.24
Max Pain	$44.08	$42.00	$47.00	$42.00	$44.00
ATM IV	25.9%	22.2%	28.2%	28.0%	27.0%
Expected Move	7.4%	6.1%	8.1%	8.0%	7.7%
HV 20d	28.3%	24.4%	31.2%	27.7%	24.4%
HV 60d	25.3%	24.5%	27.2%	27.0%	25.2%
IV Rank	11.6%	0.7%	18.0%	17.4%	14.6%
IV Percentile	11.6%	0.8%	21.0%	13.9%	15.1%
Term Structure	0.9%	-0.9%	2.8%	0.4%	0.0%
VWIV	26.2%	21.7%	28.6%	28.3%	26.9%
Skew 25d	3.5%	2.3%	4.6%	4.5%	3.3%
Skew 10d	7.5%	4.9%	11.6%	10.0%	6.5%
Call IV 25d	24.5%	20.5%	26.3%	25.8%	25.4%
Put IV 25d	28.1%	23.1%	30.6%	30.3%	28.6%
Bid-Ask Spread %	3.04	1.51	5.20	4.89	4.17
Gamma HHI	0.10	0.08	0.14	0.11	0.09
Net GEX	43.9M	6.2M	79.3M	28.5M	22.9M
Net DEX	-2.17B	-3.65B	-1.07B	-1.30B	-1.07B
Net VEX	-15.8M	-16.6M	-14.6M	-15.7M	-16.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.40	1.54	0.63	0.63
Total Volume	133,693.6	69,161	291,690	100,826	98,508
Total OI	2,176,868.55	1,902,782	2,426,643	2,216,811	2,081,260

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
2013-03-01	$42.11	$42.00	28.0%	8.0%	27.7%	17.4%	28.3%	4.5%	0.4%	28.5M	-1.30B	-15.7M	0.63	4.89	61,731	39,095	1,147,820	1,068,991
2013-03-04	$42.94	$43.00	27.9%	8.0%	27.7%	17.2%	27.4%	4.6%	1.3%	45.0M	-1.63B	-15.5M	0.57	3.32	69,853	39,971	1,128,656	1,043,206
2013-03-05	$43.60	$43.00	26.4%	7.6%	27.2%	13.0%	26.1%	4.4%	1.6%	59.3M	-1.97B	-15.7M	0.99	3.89	62,967	62,475	1,162,778	1,052,688
2013-03-06	$44.58	$44.00	25.5%	7.3%	27.7%	10.3%	27.1%	4.3%	1.9%	69.6M	-2.40B	-15.6M	0.40	3.22	154,079	61,725	1,176,824	1,073,285
2013-03-07	$45.00	$44.00	26.0%	7.4%	27.8%	11.7%	26.2%	3.5%	1.6%	69.8M	-2.57B	-15.4M	0.51	3.44	109,882	55,941	1,188,790	1,092,615
2013-03-08	$46.68	$44.00	22.9%	6.6%	30.3%	2.8%	23.5%	2.9%	2.2%	79.3M	-3.44B	-15.0M	0.51	2.86	193,213	98,477	1,225,857	1,120,707
2013-03-11	$47.60	$44.00	23.2%	6.7%	30.5%	3.6%	24.0%	2.3%	1.9%	71.3M	-3.65B	-14.6M	0.47	1.88	146,529	68,427	1,210,534	1,120,071
2013-03-12	$46.95	$45.00	24.5%	7.0%	31.2%	7.5%	24.6%	2.7%	1.8%	76.3M	-3.33B	-15.5M	0.76	3.09	69,842	52,748	1,239,090	1,145,751
2013-03-13	$46.97	$47.00	23.6%	6.8%	30.0%	4.7%	23.9%	2.6%	2.3%	72.8M	-3.29B	-15.7M	0.86	3.44	47,111	40,435	1,246,001	1,162,908
2013-03-14	$47.46	$0.00	24.0%	6.8%	29.8%	6.0%	23.8%	2.6%	1.7%	65.2M	-3.46B	-15.2M	0.74	3.01	63,101	46,511	1,232,256	1,165,944
2013-03-15	$47.26	$47.00	22.2%	6.1%	29.9%	0.7%	21.7%	2.6%	2.8%	62.9M	-3.38B	-15.2M	0.59	5.20	67,539	40,011	1,244,720	1,181,923
2013-03-18	$46.24	$43.00	25.5%	7.5%	30.8%	10.4%	26.4%	3.3%	-0.3%	33.9M	-1.87B	-15.7M	0.73	1.75	90,479	66,313	957,836	944,946
2013-03-19	$45.79	$43.00	27.4%	7.9%	30.8%	15.9%	27.7%	4.3%	0.1%	29.6M	-1.70B	-16.2M	0.83	1.74	89,167	74,347	983,655	975,715
2013-03-20	$46.09	$43.00	26.2%	7.6%	28.6%	12.2%	26.4%	4.0%	0.1%	33.8M	-1.84B	-16.3M	0.75	1.68	39,428	29,733	1,007,619	994,312
2013-03-21	$45.23	$43.00	28.1%	8.1%	28.4%	17.8%	28.6%	3.5%	0.2%	16.9M	-1.48B	-16.4M	1.27	1.51	54,058	68,453	1,010,153	1,004,376
2013-03-22	$45.23	$43.00	27.8%	8.0%	28.3%	16.8%	28.0%	3.6%	-0.1%	6.2M	-1.42B	-16.6M	1.54	2.19	47,783	73,437	1,017,567	1,039,393
2013-03-25	$44.49	$45.50	28.2%	8.1%	24.8%	18.0%	28.2%	3.9%	-0.6%	12.6M	-1.18B	-16.2M	0.52	3.54	72,807	38,165	986,876	1,017,734
2013-03-26	$44.83	$45.00	26.4%	7.6%	24.9%	12.8%	26.6%	3.9%	-0.7%	13.8M	-1.33B	-16.1M	1.27	2.86	31,381	39,971	1,003,946	1,027,245
2013-03-27	$44.46	$45.00	28.0%	8.0%	24.4%	17.6%	28.5%	4.0%	-0.9%	7.8M	-1.16B	-16.4M	0.67	3.18	64,886	43,293	1,008,309	1,045,014
2013-03-28	$44.24	$44.00	27.0%	7.7%	24.4%	14.6%	26.9%	3.3%	0.0%	22.9M	-1.07B	-16.4M	0.63	4.17	60,309	38,199	1,030,106	1,051,154