C Options History — October 2014 In October 2014, C traded between $49.72 and $53.56. ATM implied volatility averaged 22.6%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.2% (HV 20d: 22.7%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.85.
Notable Days 2014-10-15 : Highest Volume — 177,902 contracts2014-10-17 : Largest IV drop — 16.7% change2014-10-13 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $51.40 $49.72 $53.56 $51.10 $53.56 Max Pain $50.80 $50.00 $55.00 $50.00 $52.50 ATM IV 22.6% 17.0% 31.0% 23.5% 17.0% Expected Move 6.7% 6.0% 7.9% 6.4% 6.0% HV 20d 22.7% 17.0% 25.8% 17.0% 23.8% HV 60d 18.3% 16.8% 19.5% 16.9% 18.9% IV Rank 49.0% 17.5% 100.0% 50.1% 17.7% IV Percentile 65.0% 18.7% 100.0% 80.6% 19.0% Term Structure -0.4% -5.0% 1.7% -0.5% 0.1% VWIV 24.4% 18.7% 28.1% 22.8% 18.7% Skew 25d 4.0% 1.9% 6.9% 1.9% 2.8% Skew 10d 8.4% 3.1% 13.7% 3.1% 7.6% Call IV 25d 21.1% 15.9% 29.1% 22.7% 15.9% Put IV 25d 25.1% 18.7% 35.4% 24.7% 18.7% Bid-Ask Spread % 15.30 8.11 52.15 13.58 8.11 Gamma HHI 0.14 0.08 0.24 0.13 0.17 Net GEX 41.3M -36.3M 84.0M 42.1M 84.0M Net DEX -1.00B -1.85B -245.0M -910.0M -1.85B Net VEX -13.5M -14.4M -12.5M -14.1M -12.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.85 0.28 2.12 0.35 0.60 Total Volume 95,766.913 49,088 177,902 84,494 162,896 Total OI 1,969,686.13 1,820,074 2,069,104 1,976,737 1,962,498
Daily Data (23 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 2014-10-01 $51.10 $50.00 23.5% 6.4% 17.0% 50.1% 22.8% 1.9% -0.5% 42.1M -910.0M -14.1M 0.35 13.58 62,733 21,761 1,065,698 911,039 2014-10-02 $51.25 $50.00 23.8% 6.5% 17.0% 51.6% 22.4% 4.2% -0.2% 47.0M -985.9M -14.0M 0.49 12.02 41,569 20,170 1,080,831 918,740 2014-10-03 $52.32 $50.00 22.0% 6.2% 18.6% 42.1% 21.5% 3.0% 0.4% 74.8M -1.55B -14.0M 0.28 11.94 83,915 23,499 1,088,666 925,603 2014-10-06 $52.28 $50.00 21.9% 6.2% 18.5% 41.5% 21.3% 3.0% -0.7% 66.5M -1.46B -13.7M 0.65 9.16 52,344 33,797 1,056,146 906,340 2014-10-07 $51.27 $50.00 22.3% 6.3% 19.1% 43.5% 24.0% 3.4% -0.1% 33.4M -946.0M -14.0M 0.33 13.10 46,558 15,525 1,059,713 927,876 2014-10-08 $52.47 $50.00 22.5% 6.4% 20.4% 44.6% 24.7% 4.0% 0.5% 71.4M -1.55B -14.1M 0.64 13.05 58,686 37,829 1,079,756 934,107 2014-10-09 $51.15 $50.00 25.4% 7.1% 22.2% 62.4% 24.9% 3.2% -0.5% 33.5M -897.3M -14.3M 0.71 15.93 57,992 41,280 1,088,972 942,491 2014-10-10 $50.67 $50.00 27.9% 7.4% 22.4% 87.7% 26.4% 4.8% 0.0% 24.3M -674.7M -14.4M 0.73 17.59 72,797 53,252 1,102,261 951,067 2014-10-13 $49.98 $50.00 31.0% 7.7% 22.8% 100.0% 27.3% 2.7% -0.7% 9.6M -384.7M -13.9M 0.50 22.65 101,716 50,737 1,078,884 948,132 2014-10-14 $51.06 $50.00 27.0% 7.3% 24.3% 76.4% 26.8% 4.3% -0.7% 43.9M -945.9M -14.1M 0.60 52.15 53,916 32,311 1,111,813 951,846 2014-10-15 $49.72 $50.00 30.0% 7.9% 25.8% 93.7% 27.7% 6.3% -3.3% 1.4M -245.0M -14.1M 0.83 16.12 97,127 80,775 1,099,557 956,398 2014-10-16 $49.75 $50.00 30.0% 7.7% 23.9% 94.0% 28.1% 6.9% -5.0% 3.8M -272.7M -13.5M 0.65 13.39 56,083 36,653 1,094,066 949,310 2014-10-17 $50.07 $50.00 25.0% 7.2% 24.2% 64.6% 26.0% 5.8% -1.4% -36.3M -387.9M -13.2M 2.12 21.02 48,475 102,588 1,103,106 965,998 2014-10-20 $50.57 $0.00 21.3% 6.9% 24.6% 43.0% 23.3% 4.2% 1.7% 24.8M -629.1M -13.0M 0.80 13.40 42,914 34,320 943,568 876,506 2014-10-21 $51.40 $50.00 19.5% 6.3% 25.4% 32.2% 28.0% 4.1% 0.5% 41.1M -944.1M -13.2M 1.34 12.77 35,885 48,144 961,038 886,626 2014-10-22 $50.75 $55.00 21.1% 6.8% 25.5% 41.6% 26.6% 4.2% -0.5% 29.8M -700.8M -13.3M 1.21 13.74 38,921 47,082 982,854 907,202 2014-10-23 $51.31 $52.50 19.3% 6.3% 24.5% 31.3% 22.7% 4.2% -0.5% 45.4M -955.3M -13.4M 1.05 14.56 36,091 37,804 992,047 925,199 2014-10-24 $51.78 $52.50 18.0% 6.4% 24.4% 23.4% 23.9% 3.8% 0.2% 48.8M -1.17B -13.1M 1.29 10.25 30,283 39,055 995,904 927,845 2014-10-27 $51.47 $50.00 19.1% 6.3% 24.3% 30.2% 24.8% 4.1% 0.1% 40.1M -956.9M -13.0M 1.44 8.84 20,096 28,992 977,436 913,393 2014-10-28 $52.37 $50.00 17.0% 6.1% 25.1% 17.5% 22.4% 3.6% 1.2% 65.8M -1.42B -12.6M 1.18 12.43 28,982 34,225 985,516 915,192 2014-10-29 $52.65 $52.50 17.2% 6.1% 24.5% 18.6% 23.9% 4.2% 0.9% 72.1M -1.52B -12.5M 0.78 14.48 33,893 26,295 986,127 935,526 2014-10-30 $53.15 $52.50 17.5% 6.1% 24.7% 20.6% 23.2% 3.4% 0.2% 81.7M -1.68B -12.8M 0.90 11.56 48,771 43,902 989,989 939,899 2014-10-31 $53.56 $52.50 17.0% 6.0% 23.8% 17.7% 18.7% 2.8% 0.1% 84.0M -1.85B -12.5M 0.60 8.11 101,864 61,032 1,001,234 961,264
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