C Options History — April 2013

In April 2013, C traded between $42.50 and $47.12. ATM implied volatility averaged 25.8%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.7% (HV 20d: 25.2%). Max pain ranged from $44.00 to $48.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.77.

Notable Days

2013-04-15: Highest Volume — 194,502 contracts
2013-04-17: Largest IV spike — 13.5% change
2013-04-08: Highest IV Rank — 21.4%
2013-04-08: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.09	$42.50	$47.12	$43.79	$46.66
Max Pain	$45.29	$44.00	$48.50	$45.00	$47.50
ATM IV	25.8%	22.8%	29.3%	27.1%	22.8%
Expected Move	7.4%	6.5%	8.4%	7.8%	6.5%
HV 20d	25.2%	20.6%	27.4%	24.8%	26.8%
HV 60d	25.3%	23.9%	26.2%	23.9%	25.9%
IV Rank	11.3%	2.6%	21.4%	15.0%	2.6%
IV Percentile	14.0%	2.8%	32.1%	15.5%	2.8%
Term Structure	-0.3%	-2.0%	1.0%	-0.5%	-0.1%
VWIV	26.3%	22.0%	32.9%	26.7%	22.0%
Skew 25d	3.6%	2.6%	4.6%	3.6%	3.4%
Skew 10d	7.6%	5.2%	10.7%	6.9%	6.9%
Call IV 25d	24.4%	21.3%	27.5%	25.7%	21.3%
Put IV 25d	28.0%	24.7%	31.6%	29.4%	24.7%
Bid-Ask Spread %	5.17	2.54	14.26	3.53	8.72
Gamma HHI	0.13	0.08	0.48	0.08	0.11
Net GEX	40.5M	-45.0M	110.1M	20.6M	39.2M
Net DEX	-1.49B	-2.34B	-564.9M	-996.9M	-1.87B
Net VEX	-15.6M	-16.2M	-15.0M	-16.2M	-15.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.38	1.41	0.89	1.41
Total Volume	104,473.273	50,689	194,502	70,696	70,540
Total OI	2,065,171.636	1,924,412	2,192,518	1,998,805	2,024,709

Daily Data (22 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
2013-04-01	$43.79	$45.00	27.1%	7.8%	24.8%	15.0%	26.7%	3.6%	-0.5%	20.6M	-996.9M	-16.2M	0.89	3.53	37,334	33,362	990,437	1,008,368
2013-04-02	$44.11	$45.00	26.9%	7.7%	24.1%	14.5%	26.4%	3.0%	-0.6%	26.6M	-1.12B	-16.2M	0.74	3.76	36,071	26,830	1,003,115	1,023,729
2013-04-03	$42.50	$45.00	28.8%	8.3%	27.1%	20.0%	29.2%	3.1%	-0.6%	10.4M	-564.9M	-15.8M	0.60	3.86	98,630	59,086	1,014,958	1,022,203
2013-04-04	$42.77	$45.00	28.6%	8.2%	25.8%	19.4%	28.9%	4.2%	-1.2%	14.2M	-661.0M	-16.0M	0.80	3.56	52,807	42,366	1,038,729	1,036,292
2013-04-05	$43.01	$45.00	28.7%	8.2%	25.6%	19.6%	28.8%	4.4%	-1.1%	-45.0M	-773.9M	-16.1M	0.75	3.60	76,110	56,867	1,050,209	1,045,429
2013-04-08	$43.56	$44.50	29.3%	8.4%	21.9%	21.4%	32.9%	4.1%	-2.0%	30.1M	-1.04B	-16.1M	0.56	3.71	73,962	41,487	1,032,567	1,026,846
2013-04-09	$43.89	$44.50	27.6%	7.9%	20.6%	16.3%	29.2%	4.0%	-1.3%	38.7M	-1.20B	-15.7M	0.38	4.11	69,152	26,048	1,051,698	1,041,055
2013-04-10	$45.06	$44.50	27.7%	7.9%	22.9%	16.6%	28.0%	3.1%	-1.4%	60.1M	-1.71B	-15.7M	0.47	3.27	79,873	37,542	1,079,429	1,043,064
2013-04-11	$44.87	$0.00	26.9%	7.8%	22.9%	14.3%	28.9%	3.2%	-1.0%	52.0M	-1.60B	-15.6M	0.79	3.15	57,867	45,660	1,064,338	1,055,593
2013-04-12	$44.78	$47.00	26.3%	7.6%	22.4%	12.6%	27.1%	2.6%	-1.0%	48.0M	-1.56B	-15.5M	1.02	7.42	53,751	54,877	1,077,905	1,066,504
2013-04-15	$44.87	$44.00	25.6%	7.3%	22.5%	10.6%	25.4%	4.0%	1.0%	54.7M	-1.54B	-15.6M	0.83	3.74	106,273	88,229	1,060,581	1,052,760
2013-04-16	$46.66	$44.00	23.7%	6.8%	25.7%	5.1%	24.4%	3.3%	0.7%	78.3M	-2.34B	-15.3M	0.58	2.61	95,129	55,604	1,071,191	1,074,613
2013-04-17	$45.74	$44.00	26.9%	7.7%	26.5%	14.4%	27.8%	4.4%	0.0%	63.3M	-1.85B	-15.9M	0.94	2.54	64,777	60,763	1,075,863	1,093,689
2013-04-18	$45.09	$44.00	27.2%	7.8%	26.8%	15.1%	28.4%	4.6%	0.7%	49.7M	-1.54B	-15.5M	0.84	3.50	61,506	51,951	1,066,015	1,091,908
2013-04-19	$45.03	$44.00	24.2%	6.9%	26.0%	6.5%	23.8%	4.2%	0.9%	110.1M	-1.51B	-15.5M	0.70	4.24	48,004	33,775	1,081,883	1,110,635
2013-04-22	$45.15	$45.00	23.5%	6.8%	26.0%	4.4%	23.9%	3.9%	0.0%	29.6M	-1.34B	-15.2M	0.84	6.55	33,334	28,107	908,522	1,015,890
2013-04-23	$46.46	$45.00	23.2%	6.7%	27.2%	3.7%	23.9%	3.6%	0.5%	39.4M	-1.80B	-15.0M	0.55	14.26	69,750	38,030	918,002	1,025,063
2013-04-24	$47.12	$46.00	23.5%	6.7%	27.4%	4.4%	23.2%	3.5%	0.0%	44.1M	-2.03B	-15.0M	0.61	6.46	56,674	34,670	940,435	1,031,747
2013-04-25	$47.11	$46.50	23.4%	6.7%	27.2%	4.1%	23.7%	3.5%	-0.4%	46.7M	-2.02B	-15.0M	0.90	6.56	51,404	46,497	954,085	1,039,061
2013-04-26	$46.92	$47.00	23.2%	6.7%	27.1%	3.6%	23.0%	3.1%	-0.5%	41.2M	-1.93B	-15.5M	0.78	7.87	52,347	40,677	967,555	1,052,052
2013-04-29	$46.82	$48.50	23.3%	6.6%	26.8%	3.9%	23.0%	3.4%	0.2%	38.8M	-1.88B	-15.5M	0.98	6.67	25,579	25,110	957,055	1,047,994
2013-04-30	$46.66	$47.50	22.8%	6.5%	26.8%	2.6%	22.0%	3.4%	-0.1%	39.2M	-1.87B	-15.0M	1.41	8.72	29,315	41,225	965,489	1,059,220