C Options History — October 2013

In October 2013, C traded between $47.67 and $51.15. ATM implied volatility averaged 23.3%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.4% (HV 20d: 21.9%). Max pain ranged from $45.50 to $51.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.86.

Notable Days

2013-10-16: Highest Volume — 183,843 contracts
2013-10-10: Largest IV drop — 18.0% change
2013-10-08: Highest IV Rank — 51.7%
2013-10-08: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.56	$47.67	$51.15	$48.60	$48.78
Max Pain	$49.27	$45.50	$51.00	$48.50	$50.50
ATM IV	23.3%	17.7%	33.0%	26.2%	18.5%
Expected Move	6.7%	5.1%	9.5%	7.5%	5.3%
HV 20d	21.9%	19.2%	25.7%	20.4%	23.4%
HV 60d	20.6%	19.4%	21.7%	19.8%	21.0%
IV Rank	15.0%	0.0%	51.7%	23.8%	2.7%
IV Percentile	28.3%	0.0%	94.0%	46.8%	1.2%
Term Structure	-0.5%	-3.8%	1.2%	-1.3%	0.6%
VWIV	23.7%	17.8%	33.4%	26.9%	19.3%
Skew 25d	2.8%	1.7%	4.6%	2.8%	2.0%
Skew 10d	6.0%	3.8%	9.4%	5.7%	3.8%
Call IV 25d	22.3%	17.1%	31.1%	25.1%	18.1%
Put IV 25d	25.1%	18.8%	35.7%	27.9%	20.1%
Bid-Ask Spread %	8.60	1.83	19.65	5.85	15.05
Gamma HHI	0.11	0.09	0.16	0.09	0.10
Net GEX	20.4M	-13.6M	76.9M	-5.9M	-13.6M
Net DEX	-1.15B	-2.19B	-228.2M	-591.9M	-518.6M
Net VEX	-14.6M	-16.1M	-13.0M	-15.4M	-13.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.38	1.91	0.69	0.60
Total Volume	98,739.174	35,722	183,843	93,180	77,467
Total OI	2,519,964.826	2,388,242	2,684,316	2,394,025	2,513,938

Daily Data (23 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
2013-10-01	$48.60	$48.50	26.2%	7.5%	20.4%	23.8%	26.9%	2.8%	-1.3%	-5.9M	-591.9M	-15.4M	0.69	5.85	55,087	38,093	1,074,866	1,319,159
2013-10-02	$48.71	$48.50	27.6%	7.9%	20.4%	29.3%	27.6%	3.0%	-1.5%	273.3K	-661.9M	-15.8M	0.42	8.45	78,119	33,148	1,100,539	1,330,529
2013-10-03	$48.40	$48.50	28.2%	8.1%	20.3%	32.1%	27.8%	3.0%	-1.0%	-873.4K	-559.4M	-15.9M	0.82	9.83	55,133	45,259	1,129,740	1,340,831
2013-10-04	$49.14	$48.50	27.0%	7.7%	20.7%	26.9%	26.9%	2.9%	-1.3%	17.5M	-953.4M	-15.7M	0.96	7.32	58,495	56,329	1,141,153	1,357,229
2013-10-07	$48.18	$48.50	30.1%	8.6%	20.7%	39.8%	30.0%	3.7%	-2.1%	-1.4M	-488.5M	-16.1M	1.11	3.70	40,228	44,817	1,136,305	1,361,558
2013-10-08	$47.67	$48.50	33.0%	9.5%	19.2%	51.7%	33.4%	4.6%	-3.8%	-11.7M	-228.2M	-16.1M	1.09	3.89	53,499	58,486	1,149,983	1,376,898
2013-10-09	$47.95	$48.50	32.2%	9.2%	19.4%	48.5%	31.7%	4.6%	-2.8%	-8.7M	-354.9M	-16.0M	0.44	4.11	98,891	43,170	1,161,900	1,403,927
2013-10-10	$49.27	$0.00	26.5%	7.6%	22.0%	24.8%	29.3%	3.5%	-0.5%	20.5M	-1.04B	-15.7M	0.90	9.37	68,467	61,427	1,187,016	1,421,051
2013-10-11	$49.22	$45.50	24.8%	7.2%	21.9%	18.1%	26.0%	3.5%	-0.9%	10.7M	-1.01B	-15.5M	0.92	15.16	59,888	54,859	1,194,221	1,433,722
2013-10-14	$49.60	$49.00	25.1%	7.1%	21.7%	19.3%	25.4%	3.1%	-1.7%	13.8M	-1.14B	-15.4M	0.57	4.49	100,751	57,072	1,180,358	1,439,303
2013-10-15	$48.86	$49.00	24.1%	6.9%	22.2%	15.1%	24.1%	3.1%	-0.4%	4.4M	-801.4M	-14.9M	0.61	1.83	104,056	63,731	1,206,397	1,441,485
2013-10-16	$50.84	$49.00	21.7%	6.2%	25.7%	5.3%	22.3%	3.4%	0.5%	76.9M	-2.03B	-14.6M	0.38	6.17	133,452	50,391	1,228,123	1,456,193
2013-10-17	$51.12	$49.00	20.3%	5.8%	25.7%	0.0%	20.6%	2.8%	-0.3%	65.7M	-2.17B	-14.3M	0.64	6.24	49,787	31,991	1,226,998	1,454,454
2013-10-18	$51.15	$49.00	19.7%	5.6%	25.2%	0.0%	19.4%	2.5%	-0.1%	61.9M	-2.19B	-13.8M	0.84	4.67	51,795	43,753	1,224,810	1,458,668
2013-10-21	$51.03	$48.00	19.7%	5.6%	22.2%	0.0%	20.0%	2.5%	1.2%	49.5M	-1.83B	-13.6M	0.98	14.11	25,872	25,361	1,072,460	1,315,782
2013-10-22	$50.76	$51.00	19.2%	5.5%	21.7%	0.0%	19.7%	1.9%	1.1%	47.2M	-1.71B	-13.5M	1.15	9.12	41,229	47,342	1,080,959	1,326,843
2013-10-23	$50.19	$51.00	20.3%	5.8%	22.1%	4.5%	20.3%	1.9%	0.1%	30.4M	-1.42B	-13.6M	1.57	9.74	22,710	35,624	1,092,706	1,348,005
2013-10-24	$50.15	$51.00	19.6%	5.6%	22.0%	1.6%	19.6%	2.0%	-0.4%	28.6M	-1.42B	-13.7M	0.97	7.98	25,519	24,860	1,096,164	1,363,230
2013-10-25	$50.06	$51.00	18.8%	5.4%	22.0%	0.0%	19.0%	1.8%	-0.3%	2.6M	-1.35B	-13.6M	0.82	6.54	30,393	25,057	1,095,340	1,368,248
2013-10-28	$50.15	$50.50	18.4%	5.3%	21.7%	0.0%	18.1%	1.9%	0.6%	29.9M	-1.38B	-13.0M	1.91	15.11	25,807	49,299	1,072,884	1,350,667
2013-10-29	$50.22	$50.50	17.7%	5.1%	21.7%	0.0%	17.8%	1.7%	0.9%	29.6M	-1.35B	-13.3M	0.51	9.42	23,728	11,994	1,083,177	1,373,531
2013-10-30	$49.89	$50.50	18.0%	5.2%	21.9%	0.9%	19.9%	2.4%	0.9%	22.2M	-1.24B	-13.3M	0.94	19.65	45,579	42,986	1,088,780	1,379,061
2013-10-31	$48.78	$50.50	18.5%	5.3%	23.4%	2.7%	19.3%	2.0%	0.6%	-13.6M	-518.6M	-13.4M	0.60	15.05	48,479	28,988	1,110,850	1,403,088