C Options History — July 2014 In July 2014, C traded between $46.90 and $50.18. ATM implied volatility averaged 17.4%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.6% (HV 20d: 15.8%). Max pain ranged from $47.00 to $50.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.66.
Notable Days 2014-07-15 : Highest Volume — 151,612 contracts2014-07-17 : Largest IV spike — 16.4% change2014-07-10 : Highest IV Rank — 30.5%2014-07-31 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $48.82 $46.90 $50.18 $47.46 $48.91 Max Pain $48.68 $47.00 $50.00 $50.00 $48.00 ATM IV 17.4% 14.6% 20.6% 18.3% 19.6% Expected Move 5.8% 5.5% 6.2% 5.9% 6.2% HV 20d 15.8% 12.5% 18.9% 14.2% 18.9% HV 60d 15.0% 12.9% 16.4% 16.4% 14.8% IV Rank 14.2% 0.0% 30.5% 17.5% 26.9% IV Percentile 15.5% 0.0% 40.1% 15.5% 39.7% Term Structure -0.2% -1.1% 0.7% -0.0% -0.6% VWIV 20.5% 19.1% 22.4% 20.6% 21.6% Skew 25d 1.7% 0.6% 2.8% 1.9% 2.8% Skew 10d 3.7% 1.5% 6.4% 4.1% 4.0% Call IV 25d 17.1% 14.8% 20.7% 18.1% 18.9% Put IV 25d 18.8% 15.6% 21.7% 19.9% 21.7% Bid-Ask Spread % 14.71 12.24 16.86 14.47 14.47 Gamma HHI 0.16 0.11 0.34 0.11 0.12 Net GEX 62.4M -2.7M 170.1M 8.5M 41.2M Net DEX -725.3M -1.47B 122.1M -106.3M -588.2M Net VEX -14.4M -15.1M -13.9M -14.2M -15.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.33 1.41 0.54 0.76 Total Volume 75,536 42,310 151,612 59,407 94,349 Total OI 1,963,699 1,835,777 2,087,957 1,899,633 1,996,616
Daily Data (22 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 2014-07-01 $47.46 $50.00 18.3% 5.9% 14.2% 17.5% 20.6% 1.9% -0.0% 8.5M -106.3M -14.2M 0.54 14.47 38,630 20,777 1,019,350 880,283 2014-07-02 $48.01 $50.00 18.1% 5.8% 14.7% 16.5% 20.5% 1.6% -0.5% 37.7M -377.3M -14.4M 0.45 14.16 38,528 17,157 1,029,346 889,905 2014-07-03 $48.24 $50.00 18.2% 5.8% 13.6% 17.2% 22.4% 1.1% -0.9% 40.4M -487.3M -14.6M 0.55 15.03 29,649 16,386 1,041,365 899,254 2014-07-07 $47.98 $50.00 18.8% 5.8% 13.5% 20.5% 20.7% 1.9% -1.1% 32.2M -337.5M -14.2M 0.60 14.22 34,985 20,847 1,030,568 887,129 2014-07-08 $47.42 $50.00 19.8% 5.9% 12.9% 26.1% 20.9% 1.4% -0.1% 16.2M -133.8M -14.3M 0.51 15.43 28,592 14,589 1,042,378 896,237 2014-07-09 $47.38 $50.00 19.5% 5.9% 12.9% 24.5% 20.6% 1.1% -0.7% 14.0M -75.7M -14.2M 0.42 12.69 29,725 12,585 1,056,076 901,531 2014-07-10 $46.90 $50.00 20.6% 5.9% 12.9% 30.5% 21.6% 0.9% -1.0% -2.7M 122.1M -13.9M 0.37 16.86 60,782 22,761 1,061,114 909,274 2014-07-11 $47.00 $48.00 19.9% 5.8% 12.5% 26.3% 20.3% 1.0% -1.1% 10.5M 70.7M -13.9M 0.64 14.81 55,647 35,783 1,098,947 919,142 2014-07-14 $48.42 $47.00 17.0% 5.7% 15.8% 10.5% 19.9% 1.3% -0.0% 74.9M -716.0M -13.9M 0.49 13.76 89,262 43,797 1,089,184 912,570 2014-07-15 $49.29 $47.00 15.8% 5.6% 16.9% 3.6% 19.7% 0.7% 0.4% 125.9M -1.19B -14.1M 0.40 15.24 108,501 43,111 1,102,195 919,821 2014-07-16 $49.82 $47.00 14.6% 5.5% 17.2% 0.0% 19.6% 0.6% 0.6% 170.1M -1.47B -14.4M 0.42 16.16 78,069 32,604 1,114,232 934,970 2014-07-17 $49.18 $47.00 17.0% 5.8% 18.0% 13.1% 20.5% 1.6% -0.3% 105.7M -1.03B -14.6M 0.76 16.44 61,807 46,897 1,112,199 935,212 2014-07-18 $49.56 $48.00 15.0% 5.6% 17.8% 2.2% 19.4% 1.0% 0.2% 76.8M -1.21B -14.6M 0.37 15.16 56,361 21,021 1,131,131 956,826 2014-07-21 $49.35 $49.00 15.5% 5.7% 17.8% 4.8% 21.4% 1.6% 0.7% 59.4M -837.3M -14.3M 1.17 15.77 30,145 35,351 995,464 840,313 2014-07-22 $49.60 $48.00 15.8% 5.6% 17.1% 6.2% 19.5% 2.4% -0.2% 68.3M -961.2M -14.4M 0.50 15.89 32,034 15,979 1,014,162 859,787 2014-07-23 $50.18 $48.00 16.2% 5.6% 17.3% 8.5% 19.1% 2.3% 0.1% 76.6M -1.25B -14.6M 0.58 16.31 78,312 45,351 1,023,130 865,227 2014-07-24 $50.09 $49.00 16.3% 5.7% 17.3% 9.0% 20.8% 2.4% -0.5% 83.0M -1.24B -14.7M 1.14 15.10 35,122 40,114 1,047,373 895,039 2014-07-25 $50.03 $50.00 16.5% 5.7% 16.5% 10.3% 20.7% 2.6% 0.1% 126.2M -1.16B -14.9M 0.76 13.53 24,447 18,553 1,058,223 924,043 2014-07-28 $49.70 $49.00 17.2% 5.8% 16.8% 13.8% 20.5% 2.1% -0.1% 65.4M -959.0M -14.9M 1.29 12.24 21,250 27,507 1,040,106 911,983 2014-07-29 $49.42 $48.00 16.8% 5.8% 17.0% 11.6% 20.9% 2.3% -0.3% 63.4M -868.9M -14.7M 1.41 12.66 19,244 27,057 1,046,359 919,717 2014-07-30 $50.00 $48.00 17.0% 5.8% 17.2% 13.2% 20.3% 2.6% -0.1% 79.4M -1.15B -14.8M 0.33 13.32 43,719 14,405 1,053,086 940,511 2014-07-31 $48.91 $48.00 19.6% 6.2% 18.9% 26.9% 21.6% 2.8% -0.6% 41.2M -588.2M -15.1M 0.76 14.47 53,695 40,654 1,057,404 939,212
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