C Options History — January 2014

In January 2014, C traded between $47.43 and $55.20. ATM implied volatility averaged 22.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.7% (HV 20d: 20.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2014-01-16: Highest Volume — 344,250 contracts
2014-01-24: Largest IV spike — 22.1% change
2014-01-29: Highest IV Rank — 60.4%
2014-01-29: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.00	$47.43	$55.20	$52.27	$47.43
Max Pain	$47.67	$45.00	$50.00	$50.00	$47.00
ATM IV	22.2%	17.6%	27.1%	23.6%	27.0%
Expected Move	7.5%	7.1%	8.0%	7.7%	7.9%
HV 20d	20.5%	13.2%	28.5%	15.5%	28.5%
HV 60d	19.0%	16.3%	21.7%	18.2%	21.7%
IV Rank	28.9%	0.0%	60.4%	38.0%	60.0%
IV Percentile	33.1%	0.0%	79.8%	45.6%	78.6%
Term Structure	0.0%	-1.5%	2.5%	-0.3%	0.7%
VWIV	26.3%	24.3%	28.7%	26.4%	27.1%
Skew 25d	1.5%	0.6%	2.1%	1.9%	2.1%
Skew 10d	3.2%	1.0%	4.7%	4.0%	4.2%
Call IV 25d	22.0%	18.3%	27.0%	23.3%	26.5%
Put IV 25d	23.5%	18.9%	28.7%	25.2%	28.6%
Bid-Ask Spread %	18.98	10.58	24.76	20.72	21.22
Gamma HHI	0.18	0.10	0.26	0.14	0.10
Net GEX	62.5M	13.6M	101.9M	93.7M	14.4M
Net DEX	-1.87B	-3.80B	216.9M	-2.44B	216.9M
Net VEX	-12.7M	-15.8M	-11.9M	-12.5M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.20	0.70	0.45	0.68
Total Volume	158,948.381	79,372	344,250	89,753	173,549
Total OI	2,127,198.238	1,366,059	2,629,918	2,365,537	2,067,626

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
2014-01-02	$52.27	$50.00	23.6%	7.7%	15.5%	38.0%	26.4%	1.9%	-0.3%	93.7M	-2.44B	-12.5M	0.45	20.72	61,856	27,897	1,128,939	1,236,598
2014-01-03	$53.40	$50.00	22.9%	7.5%	17.2%	33.3%	26.2%	1.7%	0.1%	93.2M	-3.12B	-12.4M	0.27	20.32	108,345	29,768	1,156,763	1,248,259
2014-01-06	$53.81	$50.00	23.0%	7.6%	15.6%	33.9%	28.3%	1.7%	-0.8%	101.9M	-3.20B	-12.0M	0.34	12.44	89,481	30,201	1,145,404	1,249,884
2014-01-07	$54.18	$45.00	21.6%	7.5%	15.5%	24.7%	27.0%	1.5%	-0.9%	100.5M	-3.35B	-12.2M	0.50	20.83	93,454	46,287	1,152,980	1,259,431
2014-01-08	$54.81	$45.00	21.0%	7.4%	15.5%	20.7%	25.7%	1.5%	-0.8%	94.5M	-3.65B	-11.9M	0.39	22.06	84,076	32,447	1,156,713	1,286,957
2014-01-09	$55.20	$47.00	21.5%	7.5%	15.1%	24.0%	26.2%	1.7%	-0.6%	89.2M	-3.80B	-11.9M	0.40	19.13	92,477	37,002	1,162,332	1,298,529
2014-01-10	$54.72	$47.00	21.3%	7.5%	13.2%	23.0%	25.9%	1.7%	-0.7%	86.1M	-3.62B	-12.1M	0.53	10.58	59,781	31,707	1,185,210	1,312,137
2014-01-13	$53.72	$47.00	23.2%	7.4%	15.4%	35.0%	25.7%	1.7%	-0.9%	83.3M	-3.01B	-12.1M	0.61	19.58	49,202	30,170	1,164,125	1,294,143
2014-01-14	$53.95	$47.00	21.6%	7.2%	15.4%	25.0%	26.5%	1.5%	-1.5%	86.0M	-3.12B	-12.0M	0.53	19.64	66,510	35,562	1,173,827	1,304,061
2014-01-15	$54.99	$47.00	21.3%	7.4%	16.3%	22.8%	25.7%	1.1%	0.2%	98.1M	-3.63B	-11.9M	0.69	15.38	116,424	80,311	1,178,592	1,293,294
2014-01-16	$52.60	$47.00	19.5%	7.3%	23.6%	11.1%	25.9%	1.9%	-0.3%	62.7M	-2.40B	-12.0M	0.48	22.23	232,189	112,061	1,202,995	1,320,068
2014-01-17	$52.27	$50.00	18.6%	7.1%	22.1%	5.5%	26.2%	1.2%	-0.6%	77.3M	-2.06B	-12.2M	0.70	23.27	81,920	57,242	1,268,813	1,361,105
2014-01-21	$51.85	$47.00	18.1%	7.1%	22.3%	2.1%	26.3%	1.1%	2.2%	32.7M	-634.8M	-12.1M	0.46	19.58	81,907	37,477	733,103	632,956
2014-01-22	$51.90	$47.00	17.6%	7.3%	22.2%	0.0%	24.3%	0.6%	2.5%	45.4M	-736.4M	-12.2M	0.45	24.76	58,594	26,262	778,115	654,267
2014-01-23	$50.72	$50.00	19.7%	7.4%	23.5%	12.9%	26.2%	0.9%	0.7%	25.4M	-387.4M	-12.3M	0.55	13.27	90,143	49,371	806,945	666,830
2014-01-24	$49.33	$50.00	24.0%	7.7%	25.3%	40.7%	26.5%	0.6%	-0.1%	13.6M	-29.5M	-12.8M	0.35	17.69	222,923	78,752	845,297	696,014
2014-01-27	$48.81	$47.00	24.5%	7.5%	25.4%	44.0%	25.5%	2.1%	0.7%	16.5M	-18.7M	-13.3M	0.20	20.21	204,626	40,233	913,244	719,742
2014-01-28	$49.60	$47.00	23.7%	7.5%	26.3%	38.8%	26.2%	1.4%	0.5%	45.7M	-400.7M	-14.5M	0.35	16.10	84,116	29,040	1,065,527	736,398
2014-01-29	$48.08	$47.00	27.1%	8.0%	28.2%	60.4%	28.7%	1.8%	0.3%	22.3M	50.2M	-14.3M	0.46	21.39	178,244	81,110	1,095,369	744,432
2014-01-30	$48.30	$47.00	25.8%	7.8%	28.2%	52.0%	26.3%	2.0%	0.1%	30.6M	-15.2M	-15.0M	0.48	18.18	145,207	69,992	1,188,486	785,653
2014-01-31	$47.43	$47.00	27.0%	7.9%	28.5%	60.0%	27.1%	2.1%	0.7%	14.4M	216.9M	-15.8M	0.68	21.22	103,495	70,054	1,246,450	821,176