C Options History — June 2014 In June 2014, C traded between $47.10 and $49.58. ATM implied volatility averaged 17.5%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.8% (HV 20d: 12.7%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2014-06-13 : Highest Volume — 168,462 contracts2014-06-13 : Largest IV spike — 6.6% change2014-06-26 : Highest IV Rank — 23.5%2014-06-12 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $48.02 $47.10 $49.58 $47.76 $47.10 Max Pain $49.76 $45.00 $55.00 $45.00 $50.00 ATM IV 17.5% 15.2% 19.4% 15.8% 19.1% Expected Move 6.1% 5.9% 6.4% 6.3% 6.0% HV 20d 12.7% 10.0% 14.6% 12.2% 14.3% HV 60d 19.5% 16.5% 21.3% 21.2% 16.5% IV Rank 12.9% 0.1% 23.5% 3.7% 21.8% IV Percentile 13.1% 0.4% 28.6% 0.8% 25.4% Term Structure 0.7% -0.5% 3.1% 0.2% -0.4% VWIV 21.5% 20.0% 23.3% 22.4% 20.4% Skew 25d 2.1% 0.7% 3.8% 2.0% 2.3% Skew 10d 4.7% 3.4% 7.8% 6.5% 5.0% Call IV 25d 17.1% 14.3% 19.1% 15.6% 18.1% Put IV 25d 19.2% 16.5% 21.2% 17.6% 20.4% Bid-Ask Spread % 11.31 8.13 19.88 10.38 11.61 Gamma HHI 0.12 0.09 0.18 0.10 0.11 Net GEX 29.9M -9.0M 81.5M 22.8M -6.1M Net DEX -378.1M -1.19B 100.4M -311.4M 95.6M Net VEX -14.6M -15.3M -13.9M -14.6M -13.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.32 2.21 0.54 0.41 Total Volume 65,169.81 31,017 168,462 52,385 50,622 Total OI 2,009,621.619 1,742,438 2,161,263 1,968,723 1,840,624
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 2014-06-02 $47.76 $45.00 15.8% 6.3% 12.2% 3.7% 22.4% 2.0% 0.2% 22.8M -311.4M -14.6M 0.54 10.38 34,055 18,330 1,039,603 929,120 2014-06-03 $48.19 $45.00 16.0% 6.4% 11.8% 4.7% 21.8% 2.0% 0.4% 32.6M -455.3M -15.2M 0.38 10.03 46,633 17,580 1,056,684 939,465 2014-06-04 $47.88 $45.00 15.7% 6.3% 10.0% 2.9% 21.5% 2.1% 0.1% 34.3M -404.3M -15.0M 0.60 10.20 22,790 13,752 1,078,271 946,246 2014-06-05 $48.63 $45.00 15.2% 6.0% 11.0% 0.1% 21.4% 2.2% 0.3% 62.2M -717.3M -15.0M 0.55 8.91 39,280 21,754 1,089,324 952,567 2014-06-06 $48.93 $45.00 15.2% 5.9% 10.8% 0.3% 20.8% 1.7% 0.3% 81.5M -930.1M -15.0M 0.37 10.00 75,300 27,748 1,092,496 961,412 2014-06-09 $49.58 $45.00 15.5% 6.1% 11.3% 1.8% 21.8% 1.8% 2.2% 80.0M -1.19B -15.2M 0.32 10.76 63,237 20,105 1,086,047 953,987 2014-06-10 $49.33 $45.00 15.5% 6.1% 11.6% 1.9% 20.0% 1.6% 3.1% 77.5M -1.02B -15.0M 0.46 11.42 49,135 22,703 1,097,604 966,318 2014-06-11 $48.81 $55.00 16.1% 6.1% 12.4% 5.3% 23.3% 2.4% 2.4% 58.3M -714.8M -15.3M 0.78 9.02 17,448 13,569 1,115,520 979,204 2014-06-12 $48.27 $55.00 17.1% 6.4% 12.9% 10.6% 22.7% 0.7% 3.1% 39.2M -493.2M -15.1M 0.71 11.46 33,504 23,729 1,119,916 983,184 2014-06-13 $47.59 $55.00 18.2% 6.4% 13.1% 16.8% 22.7% 3.8% 1.8% 18.7M -173.9M -14.6M 0.91 8.13 88,353 80,109 1,126,916 986,302 2014-06-16 $47.64 $52.50 18.7% 6.3% 13.1% 19.4% 21.4% 2.0% 0.4% 2.7M -158.1M -14.7M 0.89 8.61 21,288 18,860 1,129,536 998,976 2014-06-17 $47.79 $52.50 19.1% 6.3% 12.9% 21.5% 20.5% 2.0% 0.3% 10.0M -243.9M -14.7M 0.62 10.23 28,663 17,679 1,136,575 1,005,510 2014-06-18 $47.93 $52.50 18.9% 6.3% 12.7% 20.3% 21.1% 1.8% 0.6% 19.3M -333.8M -14.5M 0.61 10.43 29,421 17,833 1,147,477 1,009,421 2014-06-19 $47.56 $52.50 18.4% 6.2% 13.0% 17.9% 21.6% 2.4% 1.0% 11.5M -119.0M -14.2M 1.12 10.05 21,301 23,790 1,138,457 1,004,004 2014-06-20 $47.34 $52.50 18.9% 6.2% 13.0% 20.4% 21.0% 2.6% -0.5% 5.0M -2.4M -14.0M 1.24 19.88 38,950 48,429 1,145,269 1,015,994 2014-06-23 $48.06 $52.50 18.4% 6.0% 14.0% 18.1% 21.9% 2.3% -0.0% 31.7M -374.4M -14.0M 0.48 11.16 59,266 28,636 934,304 808,134 2014-06-24 $47.81 $50.00 18.3% 5.9% 14.0% 17.2% 22.9% 2.1% -0.3% 29.9M -277.3M -14.1M 0.84 13.83 45,101 37,777 966,020 827,341 2014-06-25 $47.82 $50.00 18.6% 5.9% 13.8% 19.5% 21.8% 2.2% -0.2% 29.5M -260.4M -14.4M 2.21 13.06 15,655 34,553 990,788 849,455 2014-06-26 $47.23 $50.00 19.4% 6.0% 14.6% 23.5% 20.5% 2.1% -0.3% -4.4M 48.8M -14.1M 0.64 13.03 27,350 17,416 994,644 872,666 2014-06-27 $47.14 $50.00 19.2% 6.0% 14.4% 22.8% 20.1% 2.5% -0.4% -9.0M 100.4M -14.1M 0.70 15.32 33,462 23,400 1,006,113 880,560 2014-06-30 $47.10 $50.00 19.1% 6.0% 14.3% 21.8% 20.4% 2.3% -0.4% -6.1M 95.6M -13.9M 0.41 11.61 35,862 14,760 978,762 861,862
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