C Options History — March 2014

In March 2014, C traded between $46.88 and $50.30. ATM implied volatility averaged 24.7%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.6% (HV 20d: 22.2%). 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 11 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-03-27: Highest Volume — 425,230 contracts
  • 2014-03-04: Largest IV drop — 7.7% change
  • 2014-03-19: Highest IV Rank — 59.7%
  • 2014-03-11: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.73$46.88$50.30$47.61$47.60
Max Pain$48.19$45.00$50.00$45.00$50.00
ATM IV24.7%22.3%27.0%25.1%22.3%
Expected Move7.6%7.3%7.8%7.7%7.4%
HV 20d22.2%18.0%29.6%21.3%28.8%
HV 60d23.5%22.4%26.3%22.4%26.3%
IV Rank45.4%29.7%59.7%47.5%29.7%
IV Percentile61.2%29.4%79.4%65.1%29.4%
Term Structure0.3%-0.8%1.9%0.5%-0.7%
VWIV26.3%22.4%33.7%27.1%26.4%
Skew 25d1.7%0.5%2.3%1.9%1.2%
Skew 10d3.7%1.2%4.9%4.4%2.3%
Call IV 25d24.5%22.0%27.3%24.8%22.0%
Put IV 25d26.2%23.2%28.6%26.7%23.2%
Bid-Ask Spread %10.617.4116.179.387.41
Gamma HHI0.140.100.500.110.12
Net GEX72.0M3.5M325.7M24.5M19.0M
Net DEX-563.1M-1.65B410.9M-21.6M24.0M
Net VEX-16.1M-17.1M-14.9M-15.5M-14.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.241.220.470.48
Total Volume133,387.04853,370425,230145,47298,921
Total OI2,328,756.3812,123,4922,545,5452,195,1282,278,996

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$47.61$45.0025.1%7.7%21.3%47.5%27.1%1.9%0.5%24.5M-21.6M-15.5M0.479.3898,73346,7391,309,433885,695
2014-03-04$48.83$45.0023.2%7.5%21.1%35.2%26.1%2.1%0.3%69.5M-642.8M-16.2M0.509.5460,99130,6731,358,553904,413
2014-03-05$49.42$45.0024.0%7.5%21.3%40.5%26.0%1.8%-0.1%87.1M-937.5M-16.6M0.349.3584,76728,7311,346,086918,102
2014-03-06$49.71$45.0023.5%7.5%21.3%37.5%25.7%2.0%0.3%108.5M-1.15B-16.7M0.7211.2884,41860,9341,369,174926,353
2014-03-07$49.62$47.0023.9%7.5%19.6%39.8%26.9%1.7%0.1%92.2M-1.01B-17.1M0.569.8469,00138,4481,392,979949,266
2014-03-10$49.57$47.0024.1%7.5%18.0%41.2%22.8%1.9%1.0%80.1M-894.6M-16.8M0.9010.0929,41326,5541,364,293932,237
2014-03-11$48.43$47.0024.4%7.8%19.8%43.2%28.9%2.3%1.8%47.1M-334.1M-16.2M0.6612.0354,65435,9601,372,017937,751
2014-03-12$47.98$47.0023.9%7.7%19.8%40.1%27.2%1.9%1.5%26.6M-31.7M-15.7M0.4810.3584,57040,4071,393,053953,252
2014-03-13$47.33$47.0025.2%7.6%20.0%48.2%27.0%2.0%1.5%9.0M229.3M-15.4M0.589.9678,43545,6091,427,031968,662
2014-03-14$46.88$47.0026.7%7.7%20.2%58.2%22.4%2.2%1.9%3.5M410.9M-15.9M1.188.9755,85066,1061,456,030987,663
2014-03-17$47.73$50.0026.4%7.7%21.4%56.0%24.8%1.9%-0.4%20.1M18.0M-15.7M0.699.4648,74633,7191,433,133992,264
2014-03-18$48.14$50.0026.4%7.6%21.8%56.1%33.7%1.6%-0.2%39.5M-191.7M-15.8M0.7610.8130,33023,0401,449,367996,617
2014-03-19$48.94$50.0027.0%7.4%20.8%59.7%25.7%0.5%-0.8%80.1M-726.0M-16.2M0.2410.67154,45237,4081,455,6661,001,832
2014-03-20$50.22$50.0026.7%7.6%22.6%58.2%25.9%1.6%-0.3%139.4M-1.65B-16.9M0.4616.17159,36073,1071,506,8601,002,207
2014-03-21$50.08$50.0025.2%7.5%22.7%48.1%25.7%1.9%-0.5%325.7M-1.60B-16.6M0.5115.94117,84359,8441,527,3741,018,171
2014-03-24$50.05$50.0024.8%7.5%22.2%45.6%25.6%1.7%-0.0%99.2M-1.17B-16.2M0.669.1147,22631,1061,275,378848,114
2014-03-25$50.30$50.0024.0%7.3%21.6%40.7%25.1%1.8%-0.0%112.9M-1.32B-16.5M1.229.1027,80333,8261,288,399863,538
2014-03-26$50.16$50.0025.4%7.4%21.7%49.6%24.6%1.3%-0.2%104.8M-1.25B-16.7M0.7410.7584,58162,6881,303,628884,142
2014-03-27$47.45$50.0024.3%7.7%29.6%42.6%28.2%1.4%0.1%14.9M161.7M-15.0M0.519.74281,184144,0461,315,784924,619
2014-03-28$47.25$50.0023.2%7.5%29.6%35.7%26.2%0.9%0.0%9.1M266.8M-15.3M0.8412.9170,99159,9141,402,203983,549
2014-03-31$47.60$50.0022.3%7.4%28.8%29.7%26.4%1.2%-0.7%19.0M24.0M-14.9M0.487.4166,73232,1891,325,835953,161