C Options History — August 2013

In August 2013, C traded between $48.24 and $53.00. ATM implied volatility averaged 23.1%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.7% (HV 20d: 18.4%). Max pain ranged from $40.00 to $52.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.75.

Notable Days

2013-08-28: Highest Volume — 152,304 contracts
2013-08-15: Largest IV spike — 11.4% change
2013-08-27: Highest IV Rank — 23.2%
2013-08-27: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.52	$48.24	$53.00	$52.86	$48.33
Max Pain	$48.38	$40.00	$52.50	$52.00	$47.00
ATM IV	23.1%	20.4%	26.8%	21.7%	26.8%
Expected Move	6.6%	5.9%	7.7%	6.2%	7.6%
HV 20d	18.4%	16.3%	21.0%	17.8%	19.7%
HV 60d	24.8%	23.9%	25.6%	25.6%	23.9%
IV Rank	9.4%	0.0%	23.2%	2.3%	22.9%
IV Percentile	16.7%	0.0%	40.9%	1.6%	40.9%
Term Structure	0.8%	-0.3%	1.8%	-0.2%	0.2%
VWIV	23.3%	20.4%	27.3%	21.9%	27.3%
Skew 25d	3.0%	2.5%	3.9%	2.8%	3.6%
Skew 10d	6.4%	5.0%	8.0%	5.8%	7.6%
Call IV 25d	22.0%	19.6%	25.6%	20.9%	25.6%
Put IV 25d	25.0%	22.2%	29.2%	23.7%	29.2%
Bid-Ask Spread %	7.31	3.72	14.64	6.08	7.26
Gamma HHI	0.11	0.07	0.34	0.12	0.09
Net GEX	22.2M	-7.4M	139.5M	51.4M	-3.0M
Net DEX	-1.39B	-2.39B	-450.8M	-2.34B	-562.4M
Net VEX	-16.2M	-17.2M	-15.6M	-16.0M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.38	0.96	0.95	0.70
Total Volume	95,021.818	45,902	152,304	83,408	115,828
Total OI	2,374,765.818	2,239,818	2,507,862	2,322,528	2,507,862

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
2013-08-01	$52.86	$52.00	21.7%	6.2%	17.8%	2.3%	21.9%	2.8%	-0.2%	51.4M	-2.34B	-16.0M	0.95	6.08	42,680	40,728	1,017,669	1,304,859
2013-08-02	$53.00	$52.50	21.0%	6.0%	17.2%	0.0%	21.7%	2.5%	-0.0%	139.5M	-2.39B	-15.6M	0.81	5.37	41,180	33,524	1,025,552	1,319,677
2013-08-05	$52.87	$40.50	20.5%	5.9%	16.3%	0.0%	21.3%	2.5%	1.3%	44.8M	-2.31B	-15.6M	0.92	14.64	23,918	21,984	1,007,225	1,305,525
2013-08-06	$51.48	$47.00	22.3%	6.4%	18.9%	6.6%	22.0%	2.9%	-0.3%	20.5M	-1.73B	-15.9M	0.64	13.64	55,573	35,539	1,014,301	1,317,516
2013-08-07	$51.50	$51.00	22.3%	6.4%	18.3%	6.5%	22.5%	2.6%	-0.1%	21.5M	-1.74B	-15.9M	0.83	7.05	47,354	39,146	1,029,913	1,327,233
2013-08-08	$51.78	$50.00	21.0%	6.0%	18.2%	1.8%	20.6%	3.0%	0.8%	31.1M	-1.83B	-16.5M	0.59	7.67	38,112	22,596	1,041,381	1,334,333
2013-08-09	$51.32	$50.00	21.0%	6.0%	17.8%	1.9%	20.4%	2.8%	0.1%	27.4M	-1.70B	-15.8M	0.81	10.70	36,870	29,792	1,046,892	1,337,558
2013-08-12	$50.90	$50.00	21.2%	6.1%	16.6%	2.7%	22.6%	3.0%	1.8%	18.8M	-1.54B	-15.8M	0.38	6.69	52,429	19,669	1,029,156	1,327,283
2013-08-13	$51.77	$50.00	20.4%	5.9%	17.7%	0.0%	21.0%	2.6%	1.0%	35.1M	-1.91B	-16.0M	0.38	11.57	80,567	30,765	1,042,556	1,330,336
2013-08-14	$51.59	$50.00	20.8%	6.0%	17.8%	1.3%	20.8%	2.5%	1.0%	34.0M	-1.86B	-16.4M	0.61	7.15	34,997	21,372	1,057,410	1,339,912
2013-08-15	$50.86	$0.00	23.1%	6.6%	17.2%	9.8%	23.1%	2.6%	1.4%	17.3M	-1.53B	-16.0M	0.80	4.16	77,480	61,769	1,048,069	1,339,693
2013-08-16	$50.35	$51.00	23.3%	6.6%	17.4%	10.5%	22.7%	3.0%	0.6%	7.9M	-1.37B	-16.2M	0.95	9.88	48,177	45,639	1,075,244	1,366,238
2013-08-19	$49.33	$48.00	24.7%	7.1%	17.7%	15.5%	24.7%	2.8%	1.3%	4.2M	-895.9M	-16.1M	0.68	6.02	72,531	49,308	973,769	1,266,049
2013-08-20	$49.92	$49.00	23.6%	6.8%	18.5%	11.4%	24.4%	2.5%	1.8%	11.7M	-1.11B	-16.0M	0.83	5.94	56,753	46,903	1,010,843	1,290,962
2013-08-21	$49.16	$49.00	24.9%	7.1%	18.7%	16.1%	24.6%	3.3%	1.6%	5.5M	-835.8M	-16.1M	0.88	5.29	71,135	62,890	1,028,679	1,304,472
2013-08-22	$49.91	$49.00	23.8%	6.8%	19.3%	12.1%	23.6%	3.1%	0.6%	14.9M	-1.13B	-16.6M	0.61	4.53	47,865	29,433	1,052,319	1,328,195
2013-08-23	$49.83	$49.00	22.9%	6.5%	19.2%	9.0%	24.0%	2.8%	0.8%	11.9M	-1.10B	-16.5M	0.96	4.58	41,993	40,214	1,061,599	1,338,693
2013-08-26	$49.60	$48.00	24.3%	7.0%	19.0%	13.9%	24.7%	3.5%	1.0%	11.2M	-1.04B	-16.2M	0.82	5.35	55,875	46,018	1,039,748	1,329,956
2013-08-27	$48.24	$40.00	26.8%	7.7%	21.0%	23.2%	26.5%	3.8%	0.8%	-7.4M	-450.8M	-16.6M	0.70	3.72	81,372	56,572	1,057,538	1,349,362
2013-08-28	$48.31	$46.00	26.1%	7.5%	20.7%	20.5%	26.2%	3.9%	1.1%	-4.7M	-553.8M	-16.7M	0.78	7.55	85,706	66,598	1,083,552	1,354,296
2013-08-29	$48.47	$47.00	25.8%	7.4%	19.8%	19.6%	25.5%	3.8%	0.3%	-5.8M	-618.4M	-16.8M	0.88	6.07	43,322	38,304	1,106,772	1,374,651
2013-08-30	$48.33	$47.00	26.8%	7.6%	19.7%	22.9%	27.3%	3.6%	0.2%	-3.0M	-562.4M	-17.2M	0.70	7.26	68,201	47,627	1,113,426	1,394,436