C Options History — September 2013

In September 2013, C traded between $48.51 and $52.21. ATM implied volatility averaged 24.7%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.4% (HV 20d: 21.4%). Max pain ranged from $47.50 to $52.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2013-09-23: Highest Volume — 147,128 contracts
  • 2013-09-12: Largest IV spike — 6.4% change
  • 2013-09-30: Highest IV Rank — 27.3%
  • 2013-09-30: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.12$48.51$52.21$49.37$48.51
Max Pain$49.39$47.50$52.00$48.00$50.00
ATM IV24.7%22.4%27.1%26.2%27.1%
Expected Move7.1%6.4%7.7%7.5%7.7%
HV 20d21.4%19.8%23.7%21.7%21.9%
HV 60d21.6%19.3%24.1%24.1%20.2%
IV Rank16.8%7.1%27.3%20.8%27.3%
IV Percentile33.1%10.3%51.6%39.3%51.6%
Term Structure0.4%-1.5%2.8%1.0%-1.5%
VWIV25.0%22.4%26.8%26.3%26.8%
Skew 25d2.9%2.0%3.8%3.8%3.0%
Skew 10d6.3%4.2%8.1%7.9%6.1%
Call IV 25d23.7%21.8%25.8%24.9%25.8%
Put IV 25d26.6%24.5%28.8%28.7%28.8%
Bid-Ask Spread %5.671.6812.824.1612.82
Gamma HHI0.100.090.150.090.09
Net GEX22.8M-2.6M67.9M5.9M-2.6M
Net DEX-1.44B-2.64B-588.5M-1.05B-588.5M
Net VEX-15.7M-17.4M-14.5M-16.7M-15.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.451.470.581.04
Total Volume95,551.4545,163147,12892,889114,823
Total OI2,500,221.352,221,0052,648,4902,495,5412,324,796

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$49.37$48.0026.2%7.5%21.7%20.8%26.3%3.8%1.0%5.9M-1.05B-16.7M0.584.1658,83834,0511,103,3541,392,187
2013-09-04$49.60$48.0025.4%7.3%20.0%17.9%25.9%3.8%0.8%14.2M-1.16B-17.4M0.904.3142,16837,9931,116,8591,397,506
2013-09-05$49.86$48.0025.1%7.2%20.2%16.8%24.5%3.8%1.3%20.5M-1.35B-16.9M0.714.0043,03430,4811,125,6591,406,836
2013-09-06$49.22$48.0025.4%7.3%20.4%18.1%25.4%3.5%1.4%5.6M-1.03B-16.7M0.553.9276,17241,7291,140,5701,415,414
2013-09-09$50.09$48.0024.2%6.9%21.4%13.8%25.1%3.3%1.4%19.9M-1.44B-16.2M0.754.3542,23631,8631,129,1921,406,527
2013-09-10$51.09$47.5022.8%6.5%22.5%8.4%23.2%3.0%2.7%35.2M-1.94B-16.1M0.763.1457,20443,7161,139,3531,416,360
2013-09-11$50.73$50.0022.4%6.4%21.7%7.1%22.4%2.7%2.8%26.1M-1.73B-16.1M0.864.7935,86330,7691,150,3841,431,084
2013-09-12$50.26$0.0023.8%6.8%21.9%12.2%26.6%3.1%1.3%22.9M-1.55B-15.9M1.473.7426,58339,1051,160,8531,436,861
2013-09-13$50.49$52.0023.6%6.6%21.4%11.7%22.6%2.8%1.7%23.9M-1.70B-15.9M0.716.5240,03228,5691,167,0471,449,883
2013-09-16$51.00$50.0024.4%7.2%21.4%16.6%24.7%3.0%-0.6%38.1M-1.97B-15.6M0.536.9555,79329,8311,162,2791,439,089
2013-09-17$51.20$50.0024.6%7.2%19.9%17.4%24.6%3.1%-0.5%42.6M-2.07B-15.5M0.455.9931,10714,0561,172,1491,445,974
2013-09-18$52.21$50.0023.8%6.9%20.6%13.7%25.1%2.8%-0.3%67.9M-2.64B-14.5M0.632.6880,90051,1681,179,7931,449,033
2013-09-19$51.95$50.0023.9%6.9%19.8%14.5%24.8%2.3%0.3%59.9M-2.44B-14.7M0.991.6853,91953,1281,161,8391,451,745
2013-09-20$51.21$50.0024.7%7.1%20.1%17.5%24.3%2.0%-0.9%40.9M-2.08B-14.6M0.695.7363,67044,1191,178,2471,470,243
2013-09-23$49.57$51.0025.4%7.3%23.4%20.3%25.5%2.4%-0.9%10.3M-1.01B-14.9M0.8712.8178,73068,3981,001,1881,219,817
2013-09-24$48.96$49.5025.4%7.3%23.7%20.7%25.4%2.2%-0.7%3.3M-767.7M-15.0M0.913.4158,12552,7271,028,2761,249,455
2013-09-25$49.26$49.5025.4%7.3%21.6%20.4%25.9%2.7%-0.6%11.5M-897.3M-15.4M0.728.6767,07048,4061,047,9661,279,080
2013-09-26$48.93$49.5025.3%7.3%21.7%20.2%25.6%2.3%-0.3%4.6M-720.9M-15.5M0.726.1252,66037,6961,073,9091,289,268
2013-09-27$48.89$49.5025.6%7.4%21.7%21.1%26.2%2.5%-0.4%4.1M-717.0M-15.4M0.947.5258,94655,3511,089,6241,304,728
2013-09-30$48.51$50.0027.1%7.7%21.9%27.3%26.8%3.0%-1.5%-2.6M-588.5M-15.1M1.0412.8256,26858,5551,045,2561,279,540