C Options History — April 2014

In April 2014, C traded between $45.68 and $48.40. ATM implied volatility averaged 21.2%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 6.1% (HV 20d: 27.3%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2014-04-11: Highest Volume — 174,706 contracts
  • 2014-04-14: Largest IV drop — 13.2% change
  • 2014-04-11: Highest IV Rank — 55.0%
  • 2014-04-11: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.58$45.68$48.40$47.80$47.91
Max Pain$47.00$47.00$47.00$47.00$47.00
ATM IV21.2%17.8%26.2%21.8%18.2%
Expected Move7.4%7.2%7.7%7.4%7.2%
HV 20d27.3%21.8%31.2%27.3%22.8%
HV 60d25.3%23.6%26.0%25.8%23.6%
IV Rank22.7%1.2%55.0%26.6%3.8%
IV Percentile27.2%1.2%80.2%25.0%3.2%
Term Structure-0.2%-1.6%1.2%-0.7%0.1%
VWIV25.6%24.3%27.0%25.0%24.8%
Skew 25d1.6%0.7%2.5%1.0%2.5%
Skew 10d3.1%1.4%5.5%1.7%4.2%
Call IV 25d20.9%17.6%26.1%21.6%17.6%
Put IV 25d22.5%19.4%27.9%22.6%20.1%
Bid-Ask Spread %16.1710.6521.1411.4417.96
Gamma HHI0.110.090.120.110.10
Net GEX12.3M-32.9M55.6M20.2M16.1M
Net DEX-15.8M-518.1M930.9M-27.6M-165.5M
Net VEX-15.8M-16.5M-15.0M-16.0M-15.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.371.160.440.61
Total Volume88,817.09534,517174,70695,45634,517
Total OI2,306,633.6191,941,0752,572,7632,350,1462,061,546

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$47.80$47.0021.8%7.4%27.3%26.6%25.0%1.0%-0.7%20.2M-27.6M-16.0M0.4411.4466,13029,3261,353,747996,399
2014-04-02$48.24$47.0022.2%7.4%27.1%29.0%25.9%1.3%-0.7%41.3M-281.5M-16.4M0.8014.4058,48846,5861,363,1301,012,569
2014-04-03$47.68$47.0022.5%7.5%27.2%31.2%25.9%1.1%-0.3%12.6M28.3M-16.2M0.6910.6557,26139,3611,384,1911,035,037
2014-04-04$47.11$47.0022.2%7.4%27.5%29.3%25.9%1.2%-0.4%-25.3M318.5M-16.0M1.1614.7249,12957,0801,398,3061,048,243
2014-04-07$46.55$47.0023.4%7.4%27.7%36.9%27.0%1.1%-0.6%-19.5M579.9M-15.4M0.7313.5056,21340,7661,387,3851,049,315
2014-04-08$46.60$47.0023.4%7.4%26.6%36.8%25.7%1.2%-0.8%-20.0M578.5M-15.9M0.8916.9640,70436,2751,401,7361,071,898
2014-04-09$47.16$47.0023.4%7.5%26.9%36.7%26.1%0.7%-0.6%-138.4K250.6M-16.0M0.4115.4759,62124,5591,414,9541,079,199
2014-04-10$46.23$47.0025.5%7.6%27.4%50.3%26.1%1.0%-0.6%-17.5M637.0M-15.9M0.5219.1073,48338,1411,444,4971,084,944
2014-04-11$45.68$47.0026.2%7.7%27.5%55.0%27.0%1.8%-1.6%-32.9M930.9M-15.5M0.8721.1493,32881,3781,475,7141,095,123
2014-04-14$47.67$47.0022.8%7.6%31.0%32.8%26.5%1.9%1.2%24.4M-140.6M-16.5M0.6715.7283,08155,5141,464,8721,089,712
2014-04-15$48.31$47.0021.9%7.6%31.2%27.6%26.2%1.5%0.4%55.6M-518.1M-16.2M0.4919.1581,53839,6951,473,9411,095,357
2014-04-16$48.18$47.0020.9%7.5%30.6%20.6%26.1%1.3%1.0%41.4M-464.2M-16.0M0.9314.7642,02638,9271,468,6741,086,454
2014-04-17$48.22$47.0019.3%7.5%29.0%10.6%25.7%1.9%0.5%36.9M-511.7M-15.8M0.8016.5363,12050,4971,476,7031,096,060
2014-04-21$47.84$47.0019.4%7.4%29.0%11.0%25.1%2.1%0.0%13.6M-169.9M-15.5M0.3716.5953,34119,9241,034,611906,464
2014-04-22$48.02$47.0018.6%7.3%29.1%6.3%24.3%1.6%0.1%20.0M-246.4M-15.0M0.3715.9244,05716,3711,054,630919,329
2014-04-23$48.40$47.0018.3%7.3%29.2%4.3%24.5%1.6%-0.3%36.0M-399.2M-15.5M0.8419.4630,61025,6501,074,123926,438
2014-04-24$48.33$47.0017.8%7.3%29.2%1.2%24.9%1.8%0.1%31.7M-344.1M-15.5M0.8115.0232,39126,2811,078,640938,541
2014-04-25$47.75$47.0019.4%7.3%21.8%11.2%24.7%2.1%-0.3%3.7M-147.9M-15.5M0.6918.2534,50223,6451,089,263954,136
2014-04-28$47.30$47.0019.4%7.4%22.0%11.0%25.9%1.9%0.1%-3.8M60.1M-15.3M0.7017.6632,62922,7511,080,733936,812
2014-04-29$48.16$47.0018.5%7.4%22.8%5.4%24.7%2.4%0.2%23.0M-298.7M-15.4M0.8915.2735,02131,2421,091,824944,056
2014-04-30$47.91$47.0018.2%7.2%22.8%3.8%24.8%2.5%0.1%16.1M-165.5M-15.5M0.6117.9621,47513,0421,107,396954,150