C Options History — May 2013 In May 2013, C traded between $45.87 and $53.27. ATM implied volatility averaged 23.7%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.2% (HV 20d: 22.5%). Max pain ranged from $42.00 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.89.
Notable Days 2013-05-31 : Highest Volume — 230,279 contracts2013-05-22 : Largest IV spike — 9.5% change2013-05-31 : Highest IV Rank — 14.8%2013-05-31 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $49.94 $45.87 $53.27 $45.87 $51.99 Max Pain $46.93 $42.00 $52.50 $47.50 $52.50 ATM IV 23.7% 21.8% 27.0% 23.8% 27.0% Expected Move 6.8% 6.2% 7.8% 6.8% 7.8% HV 20d 22.5% 20.0% 24.5% 23.6% 23.4% HV 60d 25.2% 23.8% 26.3% 25.8% 24.5% IV Rank 5.4% 0.0% 14.8% 5.5% 14.8% IV Percentile 11.5% 0.0% 29.0% 10.3% 29.0% Term Structure 0.4% -1.2% 2.1% 0.2% -0.4% VWIV 24.0% 22.3% 26.8% 24.8% 26.8% Skew 25d 2.9% 2.3% 3.8% 3.8% 2.8% Skew 10d 6.8% 5.2% 11.1% 8.8% 5.8% Call IV 25d 22.7% 20.4% 26.2% 22.5% 26.2% Put IV 25d 25.6% 23.5% 29.1% 26.3% 29.1% Bid-Ask Spread % 7.04 3.52 11.42 7.97 9.56 Gamma HHI 0.17 0.10 0.23 0.10 0.13 Net GEX 44.2M 30.0M 62.8M 30.0M 50.0M Net DEX -2.73B -3.68B -1.53B -1.53B -3.14B Net VEX -15.8M -17.9M -14.9M -15.8M -17.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.47 1.35 0.90 1.09 Total Volume 128,734.591 50,954 230,279 108,971 230,279 Total OI 2,235,676.045 2,044,380 2,469,471 2,044,380 2,469,471
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 2013-05-01 $45.87 $47.50 23.8% 6.8% 23.6% 5.5% 24.8% 3.8% 0.2% 30.0M -1.53B -15.8M 0.90 7.97 57,370 51,601 975,528 1,068,852 2013-05-02 $46.54 $47.00 23.3% 6.6% 23.9% 3.8% 23.2% 3.5% 0.9% 37.2M -1.74B -15.6M 0.74 7.88 47,995 35,423 971,936 1,092,644 2013-05-03 $46.97 $46.50 21.8% 6.2% 24.0% 0.0% 22.4% 3.1% 0.6% 62.8M -1.94B -15.5M 1.28 6.82 39,314 50,176 982,748 1,101,733 2013-05-06 $47.48 $47.00 22.3% 6.4% 23.9% 1.4% 22.4% 3.7% 0.6% 38.2M -2.01B -15.2M 0.47 7.80 75,789 35,269 963,237 1,102,155 2013-05-07 $48.11 $47.00 22.3% 6.4% 24.1% 1.4% 22.7% 3.3% -0.3% 51.8M -2.29B -15.1M 0.63 8.81 74,356 46,983 995,640 1,100,539 2013-05-08 $49.29 $47.50 22.7% 6.5% 23.8% 2.5% 22.6% 3.1% -0.1% 53.5M -2.72B -14.9M 1.21 10.40 88,420 107,340 1,014,872 1,121,345 2013-05-09 $48.60 $47.50 22.6% 6.5% 24.5% 2.1% 22.3% 2.4% -0.4% 55.6M -2.53B -15.0M 1.35 9.05 45,299 60,951 1,030,965 1,175,637 2013-05-10 $48.75 $47.50 22.4% 6.4% 24.4% 1.6% 22.6% 2.3% -0.1% 46.6M -2.60B -15.0M 0.92 5.84 33,381 30,696 1,043,967 1,180,625 2013-05-13 $48.92 $47.50 23.1% 6.6% 24.4% 3.6% 23.1% 2.6% 0.0% 48.4M -2.54B -15.0M 1.25 5.68 22,683 28,271 1,021,115 1,174,062 2013-05-14 $50.09 $47.50 22.7% 6.5% 22.0% 2.5% 22.3% 2.8% 0.5% 46.0M -2.91B -15.0M 0.63 10.87 102,772 64,819 1,024,981 1,186,035 2013-05-15 $51.34 $47.50 24.4% 7.0% 21.4% 7.3% 24.6% 2.3% 0.0% 41.6M -3.31B -15.5M 0.69 11.42 119,475 82,085 1,069,245 1,214,920 2013-05-16 $50.61 $0.00 23.8% 6.8% 21.4% 5.6% 23.9% 2.4% 0.3% 44.3M -3.10B -15.6M 1.14 4.57 42,931 48,791 1,076,100 1,235,442 2013-05-17 $51.45 $52.00 23.2% 6.7% 21.5% 3.9% 23.4% 2.6% -1.2% 42.2M -3.38B -14.9M 0.80 5.94 58,599 46,823 1,084,679 1,253,577 2013-05-20 $51.60 $42.00 23.0% 6.5% 21.5% 3.5% 23.5% 2.7% 2.1% 41.8M -3.04B -15.7M 0.85 4.82 66,427 56,528 1,019,486 1,158,750 2013-05-21 $51.66 $42.00 23.4% 6.7% 20.0% 4.4% 25.2% 2.8% 1.7% 42.0M -3.08B -15.4M 0.93 5.19 48,854 45,387 1,039,687 1,184,485 2013-05-22 $51.00 $42.00 25.6% 7.3% 20.7% 10.8% 25.1% 2.9% 1.5% 36.4M -2.87B -15.8M 0.78 3.52 107,957 84,641 1,048,273 1,203,313 2013-05-23 $50.53 $42.00 25.3% 7.2% 21.2% 9.8% 25.6% 2.8% -0.0% 30.7M -2.63B -17.1M 0.95 5.31 93,476 88,716 1,072,419 1,234,155 2013-05-24 $50.52 $42.00 24.7% 7.1% 21.0% 8.2% 25.5% 2.9% -0.1% 35.3M -2.61B -17.9M 0.87 4.77 63,538 55,036 1,105,042 1,262,921 2013-05-28 $51.79 $49.00 24.2% 7.0% 22.2% 6.9% 24.7% 2.9% 1.0% 41.5M -3.08B -16.6M 0.72 5.57 64,210 46,217 1,100,214 1,243,374 2013-05-29 $52.28 $50.00 24.6% 7.0% 22.0% 7.8% 24.9% 2.9% 1.7% 47.5M -3.27B -16.5M 0.76 7.29 57,304 43,457 1,116,387 1,259,392 2013-05-30 $53.27 $52.00 26.0% 7.5% 20.7% 12.0% 26.5% 2.8% 0.1% 49.7M -3.68B -16.1M 0.58 5.77 115,555 66,967 1,130,830 1,274,095 2013-05-31 $51.99 $52.50 27.0% 7.8% 23.4% 14.8% 26.8% 2.8% -0.4% 50.0M -3.14B -17.4M 1.09 9.56 110,160 120,119 1,162,558 1,306,913
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