C Options History — August 2014

In August 2014, C traded between $47.89 and $52.13. ATM implied volatility averaged 17.1%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.2% (HV 20d: 16.9%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2014-08-21: Highest Volume — 139,964 contracts
2014-08-14: Largest IV drop — 10.5% change
2014-08-05: Highest IV Rank — 36.0%
2014-08-07: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.62	$47.89	$52.13	$48.10	$51.65
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	17.1%	14.0%	21.2%	21.2%	15.5%
Expected Move	6.1%	5.6%	6.8%	6.5%	5.7%
HV 20d	16.9%	13.9%	19.9%	19.9%	13.9%
HV 60d	15.4%	14.9%	16.3%	15.1%	16.1%
IV Rank	14.9%	0.0%	36.0%	35.7%	7.9%
IV Percentile	18.0%	0.0%	50.4%	49.6%	6.0%
Term Structure	-0.0%	-0.9%	0.7%	-0.4%	0.3%
VWIV	21.4%	19.3%	24.6%	22.3%	20.5%
Skew 25d	2.4%	1.1%	4.0%	3.0%	1.5%
Skew 10d	4.5%	1.7%	8.2%	4.5%	2.6%
Call IV 25d	16.5%	13.2%	20.8%	20.8%	14.8%
Put IV 25d	18.9%	15.3%	23.8%	23.8%	16.4%
Bid-Ask Spread %	12.29	8.55	15.82	12.16	10.96
Gamma HHI	0.12	0.10	0.17	0.10	0.14
Net GEX	50.1M	10.9M	103.9M	23.9M	74.8M
Net DEX	-899.1M	-2.08B	-158.5M	-200.4M	-1.77B
Net VEX	-14.9M	-15.6M	-14.1M	-15.4M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.26	1.82	0.48	0.36
Total Volume	75,362.19	27,789	139,964	115,491	48,076
Total OI	2,052,087.143	1,907,616	2,114,255	2,040,424	2,091,647

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
2014-08-01	$48.10	$50.00	21.2%	6.5%	19.9%	35.7%	22.3%	3.0%	-0.4%	23.9M	-200.4M	-15.4M	0.48	12.16	77,797	37,694	1,079,287	961,137
2014-08-04	$48.34	$50.00	20.2%	6.5%	19.9%	30.2%	22.6%	4.0%	-0.3%	24.8M	-333.9M	-15.4M	0.80	12.21	29,409	23,620	1,067,230	948,198
2014-08-05	$47.89	$50.00	21.2%	6.7%	19.7%	36.0%	23.7%	3.0%	-0.2%	13.7M	-158.5M	-15.6M	1.17	11.60	23,283	27,224	1,076,513	955,193
2014-08-06	$48.14	$50.00	20.9%	6.8%	19.7%	34.4%	22.9%	3.5%	-0.1%	16.1M	-261.0M	-15.5M	1.82	12.69	30,244	54,984	1,084,328	967,402
2014-08-07	$48.06	$50.00	21.1%	6.8%	19.3%	35.5%	24.6%	3.1%	0.4%	10.9M	-203.3M	-15.6M	0.63	11.94	47,443	29,920	1,090,241	985,513
2014-08-08	$48.45	$50.00	19.9%	6.7%	19.5%	28.9%	23.3%	3.7%	-0.2%	18.7M	-378.7M	-15.5M	1.08	9.95	28,460	30,641	1,106,843	1,000,521
2014-08-11	$48.39	$50.00	19.1%	6.6%	16.4%	24.4%	22.3%	2.8%	-0.7%	21.3M	-312.3M	-15.3M	0.66	9.20	22,186	14,671	1,092,059	993,034
2014-08-12	$48.44	$50.00	18.0%	6.4%	15.0%	18.3%	22.7%	2.3%	-0.4%	20.2M	-307.2M	-15.0M	0.58	8.71	17,604	10,185	1,097,280	999,367
2014-08-13	$48.75	$50.00	16.9%	6.2%	14.6%	12.4%	22.7%	2.2%	-0.6%	33.4M	-507.0M	-14.8M	0.39	9.47	44,042	17,009	1,101,017	996,080
2014-08-14	$49.13	$50.00	15.1%	6.0%	14.2%	2.8%	21.0%	2.5%	-0.2%	61.0M	-689.8M	-14.5M	0.47	8.55	34,889	16,237	1,100,544	996,060
2014-08-15	$48.72	$50.00	15.9%	6.0%	14.2%	7.3%	21.9%	2.1%	-0.9%	27.2M	-402.1M	-14.7M	0.81	14.29	55,792	45,213	1,109,312	1,004,943
2014-08-18	$49.51	$50.00	14.4%	5.7%	15.4%	0.0%	20.0%	2.8%	0.7%	46.0M	-782.4M	-14.2M	0.82	13.66	44,757	36,736	998,948	908,668
2014-08-19	$49.70	$50.00	14.0%	5.6%	15.3%	0.0%	19.5%	2.0%	-0.0%	56.1M	-884.2M	-14.1M	0.39	14.17	62,896	24,459	1,015,408	929,121
2014-08-20	$49.80	$50.00	14.3%	5.6%	14.7%	1.7%	19.5%	2.4%	0.1%	60.7M	-933.2M	-14.3M	0.52	11.16	23,998	12,383	1,038,086	940,568
2014-08-21	$51.07	$50.00	15.6%	5.8%	17.3%	8.2%	19.9%	1.9%	0.1%	84.5M	-1.61B	-14.6M	0.32	14.34	105,846	34,118	1,051,783	948,053
2014-08-22	$50.93	$50.00	15.5%	5.9%	17.3%	8.0%	20.5%	1.7%	0.7%	103.9M	-1.57B	-14.9M	0.38	15.30	94,579	36,300	1,081,244	963,151
2014-08-25	$51.63	$50.00	14.8%	5.6%	17.6%	4.1%	19.6%	1.8%	0.7%	92.9M	-1.88B	-14.7M	0.87	15.82	57,429	49,808	1,085,805	955,603
2014-08-26	$52.13	$50.00	15.3%	5.7%	17.6%	7.1%	19.3%	1.7%	0.1%	89.7M	-2.08B	-14.7M	0.31	14.81	86,957	27,025	1,085,709	974,409
2014-08-27	$51.86	$50.00	15.0%	5.7%	17.5%	5.2%	20.9%	1.1%	0.0%	90.5M	-1.93B	-14.9M	0.65	12.40	27,167	17,764	1,117,498	986,778
2014-08-28	$51.39	$50.00	15.1%	5.7%	15.6%	5.9%	20.1%	1.6%	0.4%	82.5M	-1.68B	-15.0M	0.26	14.69	58,323	15,438	1,121,500	987,749
2014-08-29	$51.65	$50.00	15.5%	5.7%	13.9%	7.9%	20.5%	1.5%	0.3%	74.8M	-1.77B	-14.7M	0.36	10.96	35,229	12,847	1,101,071	990,576