C Options History — December 2013

In December 2013, C traded between $50.69 and $52.62. ATM implied volatility averaged 21.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.8% (HV 20d: 17.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2013-12-04: Highest Volume — 144,999 contracts
2013-12-12: Largest IV spike — 10.6% change
2013-12-19: Highest IV Rank — 32.9%
2013-12-16: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.76	$50.69	$52.62	$52.62	$52.11
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	21.9%	18.8%	24.3%	18.8%	22.4%
Expected Move	7.9%	7.6%	8.2%	8.0%	7.6%
HV 20d	17.1%	15.7%	19.2%	17.1%	15.8%
HV 60d	19.5%	18.6%	20.4%	20.2%	18.7%
IV Rank	21.0%	5.2%	32.9%	5.2%	27.3%
IV Percentile	26.3%	6.3%	51.2%	6.3%	28.6%
Term Structure	1.4%	-0.9%	4.0%	3.4%	-0.9%
VWIV	28.0%	25.2%	30.1%	25.2%	27.7%
Skew 25d	1.8%	1.3%	2.4%	1.8%	1.7%
Skew 10d	4.5%	3.1%	9.3%	3.7%	3.6%
Call IV 25d	21.5%	18.4%	24.1%	18.4%	21.9%
Put IV 25d	23.2%	20.1%	26.0%	20.1%	23.6%
Bid-Ask Spread %	19.33	12.23	46.98	14.66	27.21
Gamma HHI	0.17	0.11	0.32	0.16	0.14
Net GEX	80.6M	22.1M	161.7M	69.3M	91.1M
Net DEX	-2.15B	-2.54B	-1.53B	-2.47B	-2.34B
Net VEX	-13.7M	-14.6M	-12.4M	-14.3M	-12.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.22	0.79	0.45	0.31
Total Volume	72,735.19	28,250	144,999	68,878	33,301
Total OI	2,573,241	2,331,261	2,741,018	2,566,164	2,356,779

Daily Data (21 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
2013-12-02	$52.62	$50.00	18.8%	8.0%	17.1%	5.2%	25.2%	1.8%	3.4%	69.3M	-2.47B	-14.3M	0.45	14.66	47,413	21,465	1,180,699	1,385,465
2013-12-03	$52.13	$50.00	19.6%	7.9%	17.6%	9.2%	27.7%	1.9%	3.1%	69.2M	-2.35B	-13.8M	0.43	12.23	55,327	23,720	1,194,004	1,391,943
2013-12-04	$52.04	$50.00	19.8%	7.9%	17.4%	10.3%	29.3%	1.8%	3.3%	71.6M	-2.34B	-14.2M	0.29	23.41	112,323	32,676	1,207,540	1,402,281
2013-12-05	$51.06	$50.00	21.0%	8.1%	19.2%	16.6%	28.0%	2.4%	4.0%	51.2M	-1.86B	-14.6M	0.79	16.91	46,948	37,153	1,243,310	1,415,639
2013-12-06	$51.49	$50.00	20.0%	7.9%	19.0%	11.5%	27.5%	2.1%	3.3%	159.9M	-1.89B	-14.6M	0.52	15.68	43,308	22,654	1,223,216	1,431,302
2013-12-09	$52.11	$50.00	19.7%	7.9%	16.0%	9.8%	30.1%	1.9%	3.6%	60.6M	-2.23B	-14.4M	0.56	16.57	43,663	24,623	1,197,310	1,417,378
2013-12-10	$51.74	$50.00	20.0%	7.8%	16.3%	11.2%	27.1%	1.8%	3.4%	51.0M	-2.00B	-14.3M	0.71	19.27	49,728	35,209	1,207,608	1,421,946
2013-12-11	$50.71	$50.00	21.1%	7.9%	17.3%	16.8%	28.5%	1.7%	3.2%	22.1M	-1.53B	-14.4M	0.73	13.67	50,376	36,957	1,219,519	1,423,520
2013-12-12	$50.91	$50.00	23.3%	8.0%	17.1%	27.9%	27.2%	1.3%	1.7%	38.0M	-1.68B	-14.4M	0.50	46.98	70,168	35,329	1,237,726	1,439,920
2013-12-13	$50.97	$50.00	23.0%	8.1%	17.0%	26.2%	28.6%	1.7%	2.4%	113.4M	-1.76B	-14.3M	0.53	12.55	36,614	19,269	1,267,567	1,449,525
2013-12-16	$50.90	$50.00	24.1%	8.2%	17.0%	31.8%	29.1%	1.7%	-0.1%	49.0M	-1.84B	-13.6M	0.45	13.47	37,619	16,878	1,241,452	1,434,449
2013-12-17	$50.69	$50.00	24.1%	8.1%	16.8%	31.8%	27.9%	2.2%	0.1%	40.9M	-1.65B	-13.8M	0.56	21.86	32,768	18,400	1,255,950	1,441,649
2013-12-18	$51.96	$50.00	24.0%	8.2%	18.9%	31.4%	28.0%	1.7%	-0.1%	105.7M	-2.32B	-14.1M	0.40	20.37	96,998	39,216	1,261,163	1,447,958
2013-12-19	$51.88	$50.00	24.3%	8.0%	18.6%	32.9%	29.5%	1.4%	-0.5%	114.9M	-2.32B	-13.4M	0.37	17.04	46,521	17,045	1,279,293	1,450,158
2013-12-20	$52.21	$50.00	23.5%	7.9%	17.5%	29.1%	28.3%	1.7%	-0.3%	161.7M	-2.54B	-13.4M	0.22	14.44	100,141	21,767	1,283,329	1,457,689
2013-12-23	$52.41	$50.00	22.2%	7.8%	17.0%	22.2%	28.2%	1.6%	-0.0%	82.0M	-2.45B	-12.9M	0.61	18.51	37,563	23,013	1,109,442	1,221,819
2013-12-24	$52.43	$50.00	22.7%	7.8%	15.8%	24.8%	27.5%	1.6%	-0.3%	83.1M	-2.47B	-13.1M	0.43	20.55	19,805	8,445	1,123,954	1,235,060
2013-12-26	$52.35	$50.00	22.3%	7.8%	15.7%	22.6%	27.4%	1.6%	-0.1%	92.4M	-2.48B	-12.7M	0.52	17.58	21,048	10,984	1,129,742	1,237,598
2013-12-27	$52.26	$50.00	21.9%	7.8%	15.7%	20.7%	26.3%	1.6%	-0.1%	82.8M	-2.41B	-12.7M	0.72	19.91	26,826	19,259	1,133,716	1,242,509
2013-12-30	$51.92	$50.00	22.2%	7.8%	15.8%	22.4%	28.9%	1.7%	-0.6%	82.2M	-2.21B	-12.5M	0.51	22.96	36,412	18,507	1,109,517	1,227,417
2013-12-31	$52.11	$50.00	22.4%	7.6%	15.8%	27.3%	27.7%	1.7%	-0.9%	91.1M	-2.34B	-12.4M	0.31	27.21	25,360	7,941	1,124,036	1,232,743