C Options History — November 2014

In November 2014, C traded between $53.15 and $54.40. ATM implied volatility averaged 16.1%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.1% (HV 20d: 15.0%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.10.

Notable Days

2014-11-24: Highest Volume — 145,706 contracts
2014-11-24: Largest IV drop — 16.6% change
2014-11-04: Highest IV Rank — 23.5%
2014-11-07: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.75	$53.15	$54.40	$53.43	$53.97
Max Pain	$54.08	$52.50	$55.00	$52.50	$55.00
ATM IV	16.1%	13.3%	18.0%	17.7%	13.9%
Expected Move	5.6%	5.1%	6.1%	6.0%	5.1%
HV 20d	15.0%	9.8%	23.8%	23.8%	9.8%
HV 60d	18.5%	17.8%	19.2%	18.9%	18.0%
IV Rank	13.1%	0.0%	23.5%	21.6%	3.5%
IV Percentile	14.8%	0.0%	27.4%	24.2%	1.2%
Term Structure	0.2%	-1.1%	1.4%	0.2%	0.4%
VWIV	20.8%	17.2%	23.3%	22.0%	18.8%
Skew 25d	2.3%	1.2%	4.2%	2.5%	1.6%
Skew 10d	5.1%	2.4%	8.0%	6.9%	2.9%
Call IV 25d	15.4%	13.2%	16.9%	16.8%	13.7%
Put IV 25d	17.7%	14.9%	20.6%	19.3%	15.3%
Bid-Ask Spread %	10.98	8.68	13.02	12.75	9.40
Gamma HHI	0.20	0.16	0.24	0.19	0.21
Net GEX	75.5M	56.3M	105.8M	73.1M	105.8M
Net DEX	-1.78B	-2.06B	-1.59B	-1.71B	-1.62B
Net VEX	-11.7M	-12.8M	-10.7M	-12.6M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.47	2.53	1.18	0.98
Total Volume	70,734.632	20,036	145,706	68,647	24,393
Total OI	2,018,593.368	1,851,403	2,120,792	1,951,775	1,953,245

Daily Data (19 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
2014-11-03	$53.43	$52.50	17.7%	6.0%	23.8%	21.6%	22.0%	2.5%	0.2%	73.1M	-1.71B	-12.6M	1.18	12.75	31,457	37,190	1,002,050	949,725
2014-11-04	$53.15	$55.00	18.0%	6.1%	22.7%	23.5%	23.1%	4.2%	-0.1%	69.0M	-1.61B	-12.4M	0.88	10.69	34,776	30,643	1,008,668	965,146
2014-11-05	$54.02	$55.00	17.7%	5.7%	21.9%	21.6%	22.4%	2.4%	0.5%	82.8M	-2.06B	-12.2M	0.81	8.99	63,059	51,132	1,011,139	974,002
2014-11-06	$53.97	$55.00	17.2%	5.7%	19.5%	18.9%	21.3%	2.0%	0.4%	82.9M	-1.99B	-12.8M	0.77	10.62	35,348	27,361	1,029,556	994,463
2014-11-07	$53.68	$55.00	17.7%	6.1%	19.3%	21.5%	19.5%	2.2%	0.9%	70.1M	-1.91B	-12.3M	0.75	10.73	51,338	38,646	1,032,880	1,002,430
2014-11-10	$53.85	$55.00	16.4%	5.6%	18.2%	14.3%	20.2%	2.7%	-0.9%	77.9M	-1.94B	-12.0M	1.17	11.68	22,081	25,860	1,017,178	1,003,337
2014-11-11	$53.80	$52.50	16.1%	5.5%	17.1%	12.0%	21.4%	2.5%	-0.3%	71.6M	-1.87B	-11.8M	0.82	10.31	30,597	25,242	1,014,167	998,825
2014-11-12	$53.45	$55.00	16.5%	5.9%	13.6%	14.9%	21.4%	2.0%	0.4%	70.2M	-1.75B	-11.8M	0.74	12.51	30,989	22,894	1,025,276	1,015,491
2014-11-13	$53.51	$55.00	17.2%	5.9%	13.6%	19.0%	21.6%	2.5%	-0.1%	69.4M	-1.70B	-12.0M	1.33	12.41	33,882	45,040	1,032,728	1,017,773
2014-11-14	$53.38	$55.00	15.9%	5.8%	13.7%	11.0%	20.8%	1.9%	1.4%	56.3M	-1.68B	-11.7M	1.52	11.65	20,560	31,329	1,049,636	1,038,233
2014-11-17	$53.52	$55.00	16.5%	5.8%	13.5%	14.6%	21.0%	3.1%	-0.6%	67.9M	-1.65B	-11.7M	2.53	11.31	22,505	56,831	1,040,627	1,027,725
2014-11-18	$53.87	$52.50	15.2%	5.4%	12.6%	7.2%	21.9%	1.9%	0.4%	81.9M	-1.88B	-11.6M	1.24	8.68	34,196	42,542	1,042,111	1,062,544
2014-11-19	$53.66	$52.50	16.5%	5.8%	11.6%	14.6%	19.5%	2.6%	-0.1%	62.2M	-1.72B	-11.5M	0.47	13.02	13,594	6,442	1,052,381	1,068,411
2014-11-20	$53.53	$52.50	16.8%	5.8%	11.3%	16.4%	23.3%	3.0%	-0.2%	75.5M	-1.72B	-11.1M	1.17	10.64	28,504	33,314	1,035,641	1,059,613
2014-11-21	$53.66	$52.50	16.1%	5.6%	11.0%	12.1%	19.0%	3.2%	-1.1%	85.1M	-1.72B	-11.1M	1.11	10.38	59,574	65,927	1,038,975	1,061,821
2014-11-24	$54.40	$52.50	13.4%	5.1%	11.4%	0.0%	20.0%	1.7%	0.7%	82.6M	-1.77B	-10.9M	1.57	11.30	56,735	88,971	943,853	907,550
2014-11-25	$54.32	$55.00	13.7%	5.1%	10.1%	1.5%	17.2%	1.2%	0.8%	81.5M	-1.84B	-10.7M	1.18	11.37	38,792	45,913	970,278	955,288
2014-11-26	$54.13	$55.00	13.3%	5.1%	10.1%	0.0%	20.3%	1.3%	1.1%	67.9M	-1.59B	-11.2M	0.66	10.10	21,848	14,453	975,225	975,283
2014-11-28	$53.97	$55.00	13.9%	5.1%	9.8%	3.5%	18.8%	1.6%	0.4%	105.8M	-1.62B	-10.9M	0.98	9.40	12,342	12,051	976,605	976,640