C Options History — September 2014

In September 2014, C traded between $51.26 and $53.66. ATM implied volatility averaged 18.6%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.0% (HV 20d: 14.6%). 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 14 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2014-09-18: Highest Volume — 185,432 contracts
  • 2014-09-08: Largest IV spike — 9.2% change
  • 2014-09-30: Highest IV Rank — 42.3%
  • 2014-09-30: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.40$51.26$53.66$51.96$51.82
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV18.6%15.5%22.0%15.8%22.0%
Expected Move5.9%5.7%6.1%5.7%6.1%
HV 20d14.6%13.1%16.5%13.9%16.5%
HV 60d16.0%15.3%16.9%16.1%16.8%
IV Rank24.2%8.1%42.3%9.8%42.3%
IV Percentile37.2%7.1%67.5%9.5%67.5%
Term Structure0.6%-1.2%2.8%-0.3%0.3%
VWIV21.1%19.7%23.1%19.9%22.1%
Skew 25d1.9%0.6%3.3%2.3%2.3%
Skew 10d4.4%1.1%8.6%3.4%3.8%
Call IV 25d18.3%15.2%21.3%15.3%21.3%
Put IV 25d20.2%16.5%24.4%17.6%23.6%
Bid-Ask Spread %13.2110.2217.0510.2211.89
Gamma HHI0.150.120.180.150.14
Net GEX83.0M39.4M119.4M80.8M54.9M
Net DEX-1.91B-2.74B-1.24B-1.88B-1.24B
Net VEX-14.3M-14.9M-13.8M-14.3M-14.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.321.200.320.43
Total Volume77,270.90543,939185,43258,80458,751
Total OI2,060,165.4291,853,8762,222,9302,040,8361,950,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$51.96$50.0015.8%5.7%13.9%9.8%19.9%2.3%-0.3%80.8M-1.88B-14.3M0.3210.2244,51914,2851,072,084968,752
2014-09-03$52.23$50.0015.6%5.7%13.1%8.2%20.2%0.6%0.6%95.3M-2.04B-14.3M0.5713.8755,16231,4111,091,638970,904
2014-09-04$52.47$50.0015.8%5.8%13.1%9.3%20.4%1.7%0.2%95.0M-2.14B-14.9M0.4915.0764,74231,5001,109,600992,499
2014-09-05$52.30$50.0015.5%5.7%13.2%8.1%20.2%1.1%0.1%86.6M-2.08B-14.7M0.8116.0436,31329,3221,122,743995,724
2014-09-08$52.05$50.0017.0%5.7%13.5%15.6%20.2%0.9%2.4%82.2M-1.92B-14.7M0.4611.1231,24614,4251,116,013995,244
2014-09-09$51.26$50.0017.1%5.8%15.0%16.4%21.3%0.9%2.8%67.3M-1.50B-14.6M1.0214.0633,54834,2461,123,384999,366
2014-09-10$51.83$50.0017.3%5.8%15.2%17.1%21.0%2.4%2.5%82.6M-1.81B-14.6M0.4411.8633,39914,6751,129,070999,219
2014-09-11$52.23$50.0017.9%5.9%15.3%20.7%21.4%2.6%2.3%89.9M-2.02B-14.7M1.2011.8123,57228,2111,129,9721,005,574
2014-09-12$52.38$50.0018.8%5.9%15.2%25.5%23.1%1.5%2.5%94.9M-2.10B-14.7M0.7110.3658,38041,3981,131,5071,021,001
2014-09-15$52.31$50.0019.2%6.0%14.7%27.5%21.2%2.0%0.5%92.0M-2.03B-14.3M0.4215.0634,72014,4391,130,2981,010,119
2014-09-16$52.36$50.0019.5%5.9%13.9%29.0%21.2%2.7%1.1%99.4M-2.07B-14.2M0.6711.2526,30817,6311,142,8921,012,568
2014-09-17$52.39$50.0020.5%5.9%13.9%34.5%20.3%2.0%-1.2%103.5M-2.12B-14.1M0.4317.0586,05737,2731,148,1601,018,157
2014-09-18$53.66$50.0019.8%5.9%15.9%30.6%23.0%1.9%0.3%111.9M-2.74B-14.2M0.4115.62131,39154,0411,138,6571,029,390
2014-09-19$53.48$50.0019.0%5.8%13.8%26.1%19.7%2.3%-0.2%119.4M-2.72B-14.0M0.4212.9178,84133,3351,166,2821,056,648
2014-09-22$53.04$50.0018.9%5.8%14.2%25.8%21.5%2.1%-0.6%83.8M-1.89B-13.8M0.9712.9764,72562,5291,014,716839,160
2014-09-23$52.84$50.0019.3%5.9%13.7%28.1%20.0%1.3%-0.8%71.7M-1.72B-14.0M0.6512.6529,64119,2811,014,474878,481
2014-09-24$53.26$50.0019.3%5.9%13.6%27.9%22.3%2.3%0.0%79.7M-1.89B-14.2M0.3414.6163,12021,3141,024,222888,798
2014-09-25$51.96$50.0020.7%5.9%16.3%35.4%20.9%1.4%-0.5%52.9M-1.28B-14.2M0.5113.9348,05824,5031,041,604901,092
2014-09-26$52.49$50.0020.1%5.9%16.2%32.1%20.9%2.7%0.4%39.4M-1.56B-14.1M0.9210.5623,01721,1081,056,655901,902
2014-09-29$52.05$50.0021.5%6.0%16.5%39.5%21.8%3.3%-0.0%58.9M-1.33B-14.0M0.7114.4430,54421,7081,034,383889,662
2014-09-30$51.82$50.0022.0%6.1%16.5%42.3%22.1%2.3%0.3%54.9M-1.24B-14.0M0.4311.8941,18517,5661,045,693905,167