C Options History — July 2013 In July 2013, C traded between $47.67 and $53.00. ATM implied volatility averaged 24.4%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 1.4% (HV 20d: 25.8%). Max pain ranged from $48.00 to $53.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2013-07-15 : Highest Volume — 244,517 contracts2013-07-15 : Largest IV drop — 11.4% change2013-07-03 : Highest IV Rank — 26.8%2013-07-03 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $50.99 $47.67 $53.00 $48.25 $52.14 Max Pain $49.86 $48.00 $53.00 $49.00 $52.00 ATM IV 24.4% 21.1% 28.9% 28.2% 23.0% Expected Move 7.0% 6.1% 8.3% 8.1% 6.6% HV 20d 25.8% 17.7% 32.1% 32.1% 18.3% HV 60d 26.2% 25.5% 27.3% 27.1% 25.5% IV Rank 10.8% 0.0% 26.8% 24.2% 6.9% IV Percentile 17.5% 0.0% 50.4% 42.1% 10.3% Term Structure -0.2% -1.6% 0.9% -0.7% -0.2% VWIV 24.7% 21.1% 29.5% 27.1% 23.2% Skew 25d 2.8% 1.7% 3.9% 3.9% 2.9% Skew 10d 5.7% 3.5% 7.5% 7.5% 6.3% Call IV 25d 23.4% 20.4% 27.2% 26.4% 21.8% Put IV 25d 26.2% 22.7% 30.8% 30.3% 24.7% Bid-Ask Spread % 7.51 2.78 19.80 8.07 7.15 Gamma HHI 0.16 0.10 0.48 0.12 0.11 Net GEX 45.2M 4.3M 156.1M 13.2M 35.8M Net DEX -1.91B -2.77B -707.1M -969.9M -2.06B Net VEX -17.0M -18.4M -15.6M -18.2M -16.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.35 1.28 0.80 0.50 Total Volume 99,317.091 43,880 244,517 80,882 80,853 Total OI 2,339,461.045 2,186,109 2,469,128 2,294,940 2,313,785
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 2013-07-01 $48.25 $49.00 28.2% 8.1% 32.1% 24.2% 27.1% 3.9% -0.7% 13.2M -969.9M -18.2M 0.80 8.07 45,008 35,874 1,046,599 1,248,341 2013-07-02 $48.15 $49.00 28.1% 8.1% 31.9% 23.9% 28.1% 3.3% -0.9% 12.2M -917.1M -18.3M 1.02 9.73 44,059 44,777 1,058,141 1,253,914 2013-07-03 $47.67 $48.00 28.9% 8.3% 31.1% 26.8% 29.5% 3.6% -1.3% 4.3M -707.1M -18.4M 1.26 7.58 21,547 27,066 1,067,763 1,268,899 2013-07-05 $48.53 $48.00 27.2% 7.8% 31.2% 20.4% 27.7% 3.5% -0.8% 8.9M -1.05B -18.4M 0.76 7.48 50,230 38,007 1,071,684 1,277,106 2013-07-08 $49.52 $48.00 27.2% 7.8% 31.7% 20.5% 27.9% 3.2% -1.2% 32.3M -1.46B -17.6M 0.63 7.62 75,166 47,593 1,051,051 1,263,816 2013-07-09 $50.21 $48.00 27.6% 7.9% 32.0% 22.0% 28.3% 3.1% -1.5% 41.3M -1.73B -18.0M 1.09 8.06 47,340 51,369 1,070,207 1,280,304 2013-07-10 $49.63 $48.00 27.8% 8.0% 29.2% 22.5% 28.5% 3.0% -1.6% 34.3M -1.51B -17.7M 0.62 8.44 47,378 29,423 1,077,074 1,299,242 2013-07-11 $50.04 $0.00 27.3% 7.9% 29.1% 20.8% 27.0% 2.6% -0.9% 45.4M -1.74B -17.6M 0.60 2.78 78,173 47,057 1,087,863 1,304,025 2013-07-12 $50.81 $50.00 26.0% 7.5% 28.9% 15.7% 27.3% 2.3% -0.5% 48.7M -2.09B -17.3M 0.58 19.80 104,937 61,211 1,102,162 1,312,293 2013-07-15 $51.81 $48.00 23.0% 6.5% 28.5% 4.5% 23.7% 2.1% 0.4% 64.5M -2.50B -16.4M 0.73 6.92 141,039 103,478 1,090,633 1,297,489 2013-07-16 $51.83 $48.00 22.5% 6.4% 28.5% 2.6% 23.2% 2.2% 0.8% 68.5M -2.51B -16.8M 0.67 5.55 75,018 50,593 1,109,643 1,326,119 2013-07-17 $51.79 $48.00 22.0% 6.3% 28.2% 0.4% 22.8% 1.7% 0.6% 63.5M -2.43B -16.4M 0.68 5.90 67,290 45,588 1,115,045 1,352,803 2013-07-18 $52.69 $48.00 21.6% 6.2% 28.4% 0.0% 22.1% 2.3% 0.9% 86.4M -2.77B -16.1M 0.35 5.00 88,958 31,459 1,102,015 1,351,434 2013-07-19 $52.35 $48.00 21.4% 6.1% 25.2% 0.0% 22.0% 2.2% 0.9% 156.1M -2.52B -16.3M 0.70 4.58 42,542 29,761 1,106,343 1,362,785 2013-07-22 $53.00 $52.00 21.3% 6.1% 23.4% 0.0% 21.2% 2.5% 0.8% 45.9M -2.44B -15.6M 0.85 7.78 45,779 38,995 964,806 1,221,303 2013-07-23 $52.88 $52.50 21.1% 6.1% 19.1% 0.0% 21.1% 2.3% 0.7% 48.5M -2.41B -15.9M 0.66 6.51 45,053 29,514 989,276 1,236,733 2013-07-24 $52.19 $53.00 22.3% 6.4% 17.8% 4.4% 22.2% 2.9% 0.4% 43.6M -2.14B -16.5M 1.08 7.48 33,839 36,601 1,004,278 1,244,310 2013-07-25 $52.66 $52.50 21.9% 6.3% 17.7% 3.0% 22.3% 2.6% 0.3% 49.1M -2.29B -16.9M 0.71 9.31 58,946 42,123 1,011,400 1,259,166 2013-07-26 $52.21 $52.00 22.3% 6.4% 18.0% 4.5% 22.3% 2.8% 0.3% 37.6M -2.18B -16.6M 0.97 6.82 36,127 34,999 1,028,492 1,278,272 2013-07-29 $51.64 $53.00 23.1% 6.7% 18.4% 7.4% 22.9% 2.9% 0.1% 28.1M -1.82B -16.7M 1.28 6.66 37,819 48,507 996,916 1,268,222 2013-07-30 $51.78 $52.00 22.8% 6.5% 18.4% 6.2% 22.5% 3.1% 0.0% 26.8M -1.86B -16.5M 0.79 6.00 24,581 19,299 1,005,585 1,290,806 2013-07-31 $52.14 $52.00 23.0% 6.6% 18.3% 6.9% 23.2% 2.9% -0.2% 35.8M -2.06B -16.4M 0.50 7.15 53,946 26,907 1,015,160 1,298,625
« Jun 2013 | All History | Aug 2013 » Home C History July 2013