C Options History — February 2014

In February 2014, C traded between $46.34 and $49.96. ATM implied volatility averaged 24.0%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 2.7% (HV 20d: 26.6%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2014-02-05: Highest Volume — 198,119 contracts
2014-02-04: Largest IV drop — 8.1% change
2014-02-03: Highest IV Rank — 77.8%
2014-02-21: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.58	$46.34	$49.96	$46.34	$48.63
Max Pain	$45.95	$45.00	$47.00	$47.00	$45.00
ATM IV	24.0%	22.0%	29.8%	29.8%	22.9%
Expected Move	7.7%	7.5%	8.1%	8.0%	7.5%
HV 20d	26.6%	20.9%	30.6%	27.5%	20.9%
HV 60d	22.1%	21.8%	22.5%	22.1%	22.0%
IV Rank	40.5%	27.7%	77.8%	77.8%	33.5%
IV Percentile	48.0%	26.6%	96.4%	96.4%	38.1%
Term Structure	0.1%	-0.4%	0.7%	-0.2%	0.5%
VWIV	27.0%	25.8%	28.6%	28.0%	26.4%
Skew 25d	1.9%	0.9%	2.5%	2.5%	1.7%
Skew 10d	4.0%	2.3%	5.3%	4.7%	3.8%
Call IV 25d	23.6%	21.5%	29.2%	29.2%	22.5%
Put IV 25d	25.5%	23.2%	31.7%	31.7%	24.2%
Bid-Ask Spread %	13.62	7.05	21.18	19.97	9.28
Gamma HHI	0.12	0.09	0.15	0.09	0.13
Net GEX	48.0M	12.4M	90.8M	12.4M	50.4M
Net DEX	-407.1M	-1.10B	417.1M	417.1M	-429.7M
Net VEX	-16.2M	-17.4M	-15.2M	-15.2M	-16.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.34	1.31	0.34	0.57
Total Volume	102,309.789	50,761	198,119	147,171	125,472
Total OI	2,177,740.421	2,038,028	2,252,767	2,052,064	2,222,862

Daily Data (19 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
2014-02-03	$46.34	$47.00	29.8%	8.0%	27.5%	77.8%	28.0%	2.5%	-0.2%	12.4M	417.1M	-15.2M	0.34	19.97	109,919	37,252	1,233,536	818,528
2014-02-04	$46.78	$47.00	27.4%	8.0%	27.6%	62.4%	27.5%	2.5%	-0.3%	18.4M	316.5M	-15.4M	0.63	20.28	54,102	34,228	1,267,211	831,580
2014-02-05	$47.06	$47.00	27.2%	7.8%	27.6%	61.2%	27.7%	2.4%	-0.4%	22.3M	220.9M	-15.5M	0.38	21.18	143,781	54,338	1,282,621	843,268
2014-02-06	$48.25	$47.00	26.0%	7.7%	29.1%	53.6%	27.7%	2.4%	0.3%	49.6M	-267.4M	-16.6M	0.43	11.50	115,559	50,006	1,300,823	861,118
2014-02-07	$49.34	$45.00	24.3%	7.6%	30.5%	42.7%	26.1%	2.1%	0.4%	75.4M	-876.8M	-17.4M	0.53	17.72	103,651	54,834	1,352,120	878,390
2014-02-10	$49.32	$45.00	24.9%	7.7%	30.6%	46.3%	27.2%	2.4%	0.3%	64.7M	-749.0M	-17.4M	1.24	16.93	33,356	41,362	1,319,888	865,513
2014-02-11	$49.66	$45.00	23.5%	7.6%	30.4%	37.6%	26.5%	2.1%	-0.3%	73.8M	-897.0M	-17.3M	0.50	15.73	55,864	27,796	1,329,196	874,217
2014-02-12	$49.96	$47.00	22.9%	7.6%	30.5%	33.3%	26.6%	1.5%	-0.2%	90.8M	-1.10B	-17.3M	1.03	14.52	33,215	34,358	1,348,181	879,571
2014-02-13	$49.86	$47.00	22.4%	7.6%	29.3%	30.1%	27.9%	1.8%	0.0%	85.8M	-1.03B	-17.2M	1.31	10.70	21,945	28,816	1,348,954	883,629
2014-02-14	$49.52	$45.00	22.0%	7.6%	25.3%	27.7%	26.8%	1.8%	-0.1%	64.8M	-809.0M	-16.8M	1.04	10.17	33,803	35,267	1,353,620	895,390
2014-02-18	$49.38	$45.00	22.7%	7.5%	25.3%	32.1%	25.9%	2.1%	0.1%	70.7M	-709.6M	-16.2M	0.63	13.45	32,731	20,729	1,331,959	882,041
2014-02-19	$48.19	$45.00	23.6%	7.8%	26.4%	37.9%	26.9%	1.6%	0.2%	30.6M	-102.3M	-15.6M	1.24	8.48	35,977	44,481	1,347,689	890,551
2014-02-20	$48.13	$47.00	23.1%	7.8%	26.3%	35.1%	27.0%	1.1%	0.3%	19.0M	-73.1M	-15.6M	0.76	18.18	40,416	30,883	1,339,329	891,321
2014-02-21	$48.26	$47.00	22.1%	8.1%	25.4%	28.7%	27.3%	0.9%	0.4%	21.5M	-147.9M	-15.6M	0.91	15.16	35,768	32,721	1,354,267	898,500
2014-02-24	$48.98	$47.00	22.6%	7.5%	24.3%	31.5%	28.6%	2.1%	0.5%	50.7M	-540.2M	-15.8M	0.57	11.27	65,695	37,585	1,206,150	831,878
2014-02-25	$48.40	$45.00	22.1%	7.7%	24.3%	28.2%	26.1%	1.7%	0.5%	35.3M	-278.6M	-15.5M	0.37	7.05	99,547	36,748	1,232,731	847,831
2014-02-26	$48.32	$45.00	22.7%	7.7%	23.6%	32.6%	25.8%	1.8%	0.7%	31.4M	-250.0M	-15.9M	0.95	10.22	61,965	58,605	1,279,900	865,041
2014-02-27	$48.69	$45.00	23.3%	7.5%	20.9%	36.5%	27.5%	1.5%	0.2%	43.8M	-432.1M	-16.2M	0.43	7.06	56,671	24,440	1,296,629	891,035
2014-02-28	$48.63	$45.00	22.9%	7.5%	20.9%	33.5%	26.4%	1.7%	0.5%	50.4M	-429.7M	-16.1M	0.57	9.28	79,856	45,616	1,323,285	899,577