C Options History — June 2013

In June 2013, C traded between $45.44 and $51.96. ATM implied volatility averaged 28.5%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.3% (HV 20d: 28.2%). Max pain ranged from $45.00 to $53.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2013-06-21: Highest Volume — 383,944 contracts
  • 2013-06-20: Largest IV spike — 14.9% change
  • 2013-06-24: Highest IV Rank — 43.5%
  • 2013-06-24: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.32$45.44$51.96$51.96$47.97
Max Pain$49.08$45.00$53.00$53.00$45.00
ATM IV28.5%24.9%33.3%27.1%28.4%
Expected Move8.2%7.1%9.5%7.7%8.2%
HV 20d28.2%23.4%33.2%23.4%31.9%
HV 60d25.6%23.7%28.1%24.5%27.1%
IV Rank23.1%8.9%43.5%15.0%25.0%
IV Percentile42.4%21.8%73.4%29.8%44.4%
Term Structure0.5%-1.7%2.5%1.5%-0.3%
VWIV29.0%24.7%33.5%28.5%29.3%
Skew 25d3.3%2.5%4.4%3.0%3.8%
Skew 10d6.7%5.3%8.7%6.3%7.9%
Call IV 25d27.3%24.1%31.6%26.0%27.0%
Put IV 25d30.6%26.6%35.8%29.0%30.8%
Bid-Ask Spread %7.132.3312.9710.376.14
Gamma HHI0.120.100.150.130.13
Net GEX24.6M-5.4M42.0M39.3M27.3M
Net DEX-1.85B-3.07B16.7M-3.00B-860.7M
Net VEX-18.4M-19.0M-17.7M-18.2M-18.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.561.190.761.19
Total Volume138,965.563,843383,944163,56586,946
Total OI2,541,115.352,230,5542,710,2862,458,2542,353,588

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$51.96$53.0027.1%7.7%23.4%15.0%28.5%3.0%1.5%39.3M-3.00B-18.2M0.7610.3792,89770,6681,154,4681,303,786
2013-06-04$51.23$51.0027.4%7.8%24.3%15.9%27.2%2.8%2.0%36.2M-2.74B-18.4M1.0010.4762,52862,2361,179,2261,326,000
2013-06-05$50.03$51.0028.4%8.1%25.9%18.9%28.8%2.8%1.4%27.1M-2.27B-18.4M0.868.1674,63164,4241,199,0231,345,082
2013-06-06$50.83$51.0027.2%7.8%25.1%15.3%28.6%2.8%2.0%35.8M-2.60B-18.1M0.879.6484,36973,6151,221,9901,358,607
2013-06-07$51.60$51.0025.3%7.2%24.8%10.0%25.7%2.7%1.7%39.9M-2.99B-17.9M0.816.5857,94247,1931,246,9351,388,120
2013-06-10$51.93$51.0024.9%7.1%24.8%8.9%24.7%2.5%2.5%42.0M-3.07B-17.7M0.677.6650,53033,7811,206,9261,375,807
2013-06-11$49.95$51.0028.0%8.0%29.0%17.9%28.3%2.8%1.8%24.0M-2.18B-18.9M0.786.2693,78373,5431,216,8931,387,182
2013-06-12$49.44$51.0028.5%8.2%27.9%19.2%28.0%3.1%1.0%25.6M-2.02B-18.5M0.908.8271,79964,6601,240,5071,400,866
2013-06-13$50.29$0.0027.5%7.8%27.1%16.3%27.9%3.0%1.5%31.6M-2.40B-18.3M0.982.8269,56968,1441,253,0791,421,077
2013-06-14$49.22$46.5028.7%8.1%27.7%26.1%28.4%3.4%1.8%22.5M-1.87B-19.0M1.1412.9745,87652,2901,261,9661,432,067
2013-06-17$49.36$50.0028.3%8.3%27.0%24.7%29.7%3.6%-0.9%26.3M-2.00B-18.6M1.065.8646,76249,4231,241,5131,411,479
2013-06-18$50.01$50.0027.8%8.1%27.5%22.8%28.3%3.6%-0.9%31.1M-2.31B-18.5M0.563.6541,01822,8251,246,5831,422,297
2013-06-19$49.53$50.0028.0%8.1%27.6%23.3%28.4%2.7%-1.2%26.7M-2.14B-17.9M0.846.6064,52954,3561,253,9661,431,143
2013-06-20$47.90$50.0032.1%9.2%29.5%39.2%32.7%3.0%0.1%14.2M-1.38B-18.2M0.887.0393,92382,5171,248,9741,426,606
2013-06-21$46.87$49.0031.7%9.1%30.2%37.4%31.8%4.2%-0.1%1.4M-887.8M-18.2M0.612.33238,355145,5891,265,6431,444,643
2013-06-24$45.44$47.0033.3%9.5%31.7%43.5%33.5%4.4%-1.7%-5.4M16.7M-18.2M1.0310.4291,53393,9371,029,4931,201,061
2013-06-25$47.00$45.0029.8%8.6%32.9%30.4%30.6%4.0%-0.8%6.0M-496.0M-18.9M0.635.2595,92460,7931,057,4311,230,467
2013-06-26$47.61$45.0029.4%8.4%33.2%28.7%30.5%4.0%-1.4%15.9M-758.4M-18.7M0.696.5150,65534,7231,076,9331,235,796
2013-06-27$48.28$45.0028.0%8.0%32.7%23.5%28.5%3.8%0.4%24.6M-1.05B-18.4M1.025.0854,96856,0561,083,5571,241,527
2013-06-28$47.97$45.0028.4%8.2%31.9%25.0%29.3%3.8%-0.3%27.3M-860.7M-18.7M1.196.1439,69447,2521,090,0351,263,553