C Options History — May 2014

In May 2014, C traded between $46.36 and $47.76. ATM implied volatility averaged 17.0%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.1% (HV 20d: 16.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2014-05-15: Highest Volume — 104,833 contracts
  • 2014-05-23: Largest IV drop — 6.4% change
  • 2014-05-06: Highest IV Rank — 8.1%
  • 2014-05-06: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.09$46.36$47.76$47.76$47.57
Max Pain$48.10$45.00$50.00$47.00$50.00
ATM IV17.0%15.2%18.9%17.7%15.7%
Expected Move6.7%6.2%7.2%7.1%6.2%
HV 20d16.9%11.9%22.8%22.6%12.1%
HV 60d22.6%21.2%23.5%23.5%21.2%
IV Rank2.7%0.0%8.1%0.3%3.1%
IV Percentile2.1%0.0%11.1%0.4%0.4%
Term Structure0.2%-0.3%0.7%-0.2%-0.0%
VWIV23.3%20.4%25.1%23.7%21.1%
Skew 25d2.0%1.2%2.9%2.2%2.0%
Skew 10d4.3%2.6%8.6%4.5%6.5%
Call IV 25d16.4%14.2%18.5%17.3%15.1%
Put IV 25d18.5%17.1%20.4%19.5%17.1%
Bid-Ask Spread %13.885.0119.1718.2412.29
Gamma HHI0.100.090.130.100.10
Net GEX-3.8M-38.2M29.9M8.1M29.9M
Net DEX49.8M-250.1M465.9M-95.8M-199.1M
Net VEX-14.7M-15.3M-14.2M-15.2M-14.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.341.571.010.99
Total Volume57,972.04822,622104,83350,14932,786
Total OI2,050,490.9051,869,2242,201,5112,059,1251,992,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$47.76$47.0017.7%7.1%22.6%0.3%23.7%2.2%-0.2%8.1M-95.8M-15.2M1.0118.2425,01125,1381,108,781950,344
2014-05-02$47.73$47.0017.8%7.1%22.2%1.2%23.9%2.3%0.1%-292.7K-71.0M-15.3M0.5618.1645,92925,6981,122,468960,978
2014-05-05$47.18$47.0018.6%7.1%22.2%5.9%24.9%2.2%0.2%-15.9M142.6M-14.9M0.7919.1735,18427,8221,110,031949,960
2014-05-06$46.36$47.0018.9%7.2%22.6%8.1%25.1%1.9%0.1%-35.1M465.9M-14.3M0.6714.1456,40337,7661,118,175962,150
2014-05-07$46.70$47.0018.6%7.1%22.8%5.8%24.8%1.9%0.1%-33.5M346.4M-14.7M0.6316.2937,91123,9241,131,882978,959
2014-05-08$47.14$47.0018.2%7.1%22.6%3.4%24.0%1.9%-0.0%-11.4M90.1M-15.1M0.3518.4359,78520,9001,146,059987,389
2014-05-09$46.99$47.0018.1%7.1%21.4%3.1%24.8%1.7%0.0%-38.2M126.1M-15.0M0.7413.8731,94723,5131,173,371991,211
2014-05-12$47.27$47.0017.3%7.0%21.0%0.0%24.8%1.8%0.4%-9.2M-13.4M-15.1M0.4815.4922,04910,5931,165,488984,384
2014-05-13$47.42$47.0016.9%7.0%14.4%0.0%23.9%1.2%0.3%-1.3M-73.9M-15.0M1.0914.1510,82911,7931,178,794989,092
2014-05-14$47.12$47.0016.4%6.9%13.6%0.0%23.2%1.7%0.0%-11.9M70.0M-14.6M1.2113.0815,15118,3621,180,888993,438
2014-05-15$46.52$47.0017.3%7.0%14.2%5.2%24.9%1.4%-0.3%-27.8M357.0M-14.2M1.0416.4651,30553,5281,177,724991,298
2014-05-16$46.44$45.0016.9%6.9%14.2%2.9%23.7%1.9%-0.2%-4.5M380.2M-14.6M1.3415.8328,49938,2281,195,2961,006,215
2014-05-19$46.77$0.0016.3%6.3%14.3%0.0%20.9%2.0%0.6%-5.2M95.4M-14.3M0.485.0135,78517,187989,359879,865
2014-05-20$46.55$50.0016.4%6.3%14.3%0.4%22.4%1.8%0.6%-3.4M147.9M-14.4M0.5910.4620,52212,0431,006,630887,702
2014-05-21$46.85$50.0016.0%6.2%14.1%0.0%22.8%2.1%0.4%6.8M9.4M-14.5M0.3411.2160,87320,9661,016,101891,910
2014-05-22$47.14$50.0016.2%6.3%14.4%1.3%23.9%2.4%0.7%18.9M-114.0M-14.7M0.6710.1343,43129,0281,060,606904,118
2014-05-23$47.29$50.0015.2%6.2%13.9%0.0%20.4%2.9%0.5%10.2M-143.1M-14.8M0.5011.8836,05118,0451,058,977920,415
2014-05-27$47.57$50.0015.9%6.3%13.6%4.3%21.7%2.4%0.7%20.6M-250.1M-14.9M0.6514.1447,45931,0161,037,202913,717
2014-05-28$47.32$50.0016.4%6.3%12.0%6.8%21.5%2.4%0.1%12.0M-118.4M-14.6M0.4111.4232,89113,5871,043,451924,028
2014-05-29$47.28$50.0015.9%6.2%11.9%4.2%23.9%2.2%0.2%11.3M-106.9M-14.5M1.5711.6711,06717,4081,052,724926,513
2014-05-30$47.57$50.0015.7%6.2%12.1%3.1%21.1%2.0%-0.0%29.9M-199.1M-14.6M0.9912.2916,48716,2991,057,129935,487