C Options History — December 2014

In December 2014, C traded between $51.18 and $56.40. ATM implied volatility averaged 20.0%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.8% (HV 20d: 19.2%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2014-12-05: Highest Volume — 209,821 contracts
2014-12-12: Largest IV spike — 19.5% change
2014-12-16: Highest IV Rank — 83.9%
2014-12-16: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.28	$51.18	$56.40	$53.39	$54.11
Max Pain	$55.80	$55.00	$57.50	$55.00	$55.00
ATM IV	20.0%	15.3%	28.2%	15.3%	23.0%
Expected Move	6.1%	5.3%	8.0%	5.6%	6.3%
HV 20d	19.2%	10.2%	25.2%	10.2%	24.5%
HV 60d	19.8%	18.1%	21.6%	18.1%	20.6%
IV Rank	38.0%	11.3%	83.9%	11.3%	54.8%
IV Percentile	51.0%	6.7%	98.4%	6.7%	77.8%
Term Structure	0.8%	-2.2%	3.5%	0.8%	-0.4%
VWIV	21.1%	17.8%	28.9%	19.0%	22.9%
Skew 25d	3.1%	1.5%	5.0%	2.3%	3.8%
Skew 10d	6.8%	3.0%	12.0%	3.0%	7.6%
Call IV 25d	19.3%	14.6%	26.2%	14.6%	21.2%
Put IV 25d	22.4%	16.6%	31.2%	16.9%	25.0%
Bid-Ask Spread %	10.00	7.34	14.19	10.77	9.31
Gamma HHI	0.17	0.09	0.24	0.18	0.15
Net GEX	56.6M	-3.2M	108.5M	40.3M	44.2M
Net DEX	-1.61B	-2.72B	-138.0M	-1.21B	-1.38B
Net VEX	-11.3M	-12.3M	-10.4M	-11.0M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.36	1.74	0.99	0.93
Total Volume	98,780.909	24,352	209,821	92,586	37,810
Total OI	2,048,974.227	1,922,154	2,214,748	1,927,444	1,971,218

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
2014-12-01	$53.39	$55.00	15.3%	5.6%	10.2%	11.3%	19.0%	2.3%	0.8%	40.3M	-1.21B	-11.0M	0.99	10.77	46,580	46,006	959,481	967,963
2014-12-02	$54.34	$55.00	15.6%	5.3%	12.0%	13.3%	18.9%	2.2%	1.0%	63.9M	-1.69B	-11.3M	0.41	11.95	67,349	27,542	980,908	974,414
2014-12-03	$55.24	$55.00	15.6%	5.3%	13.0%	13.0%	17.8%	2.1%	0.9%	89.2M	-2.19B	-11.0M	0.94	7.94	77,590	72,642	1,009,099	977,464
2014-12-04	$55.18	$57.50	15.8%	5.4%	11.8%	14.2%	18.2%	2.1%	1.4%	99.9M	-2.26B	-11.1M	0.36	9.46	43,073	15,364	1,032,350	1,015,486
2014-12-05	$56.00	$57.50	15.5%	5.4%	12.7%	12.4%	18.5%	1.5%	0.8%	108.5M	-2.56B	-10.8M	0.36	8.76	154,307	55,514	1,043,982	1,020,553
2014-12-08	$56.40	$57.50	16.8%	5.4%	12.6%	19.7%	18.6%	2.4%	1.2%	89.7M	-2.72B	-10.9M	0.61	7.93	75,249	46,057	1,028,388	1,026,498
2014-12-09	$55.83	$57.50	17.0%	5.8%	13.3%	21.2%	20.4%	3.1%	2.8%	85.3M	-2.42B	-11.4M	1.29	12.52	63,341	81,613	1,041,984	1,037,969
2014-12-10	$54.45	$57.50	19.5%	6.2%	16.4%	34.8%	22.3%	1.9%	2.2%	50.7M	-1.59B	-12.0M	1.53	12.88	39,284	60,166	1,052,503	1,029,980
2014-12-11	$54.43	$57.50	19.4%	6.3%	16.2%	34.3%	22.2%	1.9%	3.4%	55.5M	-1.71B	-11.7M	0.83	11.32	59,401	49,501	1,064,323	1,060,655
2014-12-12	$53.46	$57.50	23.1%	7.3%	17.5%	55.5%	23.6%	2.8%	3.5%	27.0M	-1.15B	-12.3M	1.26	10.12	64,306	81,145	1,086,307	1,047,822
2014-12-15	$52.82	$55.00	24.4%	7.3%	18.0%	62.6%	22.7%	3.8%	-0.7%	26.2M	-995.5M	-12.1M	1.08	8.92	62,618	67,334	1,083,111	1,055,650
2014-12-16	$51.18	$55.00	28.2%	8.0%	21.0%	83.9%	28.9%	5.0%	-2.2%	-3.2M	-138.0M	-12.0M	0.60	9.77	98,076	59,258	1,107,107	1,071,421
2014-12-17	$52.40	$55.00	24.4%	7.1%	22.8%	62.6%	24.7%	3.3%	1.0%	16.0M	-793.9M	-12.1M	1.74	10.75	35,289	61,420	1,129,862	1,084,886
2014-12-18	$53.96	$55.00	21.4%	6.2%	25.2%	45.5%	22.3%	4.1%	1.7%	50.9M	-1.51B	-11.8M	0.73	12.18	47,403	34,378	1,115,443	1,087,124
2014-12-19	$54.01	$55.00	21.1%	6.0%	25.2%	43.9%	20.7%	4.0%	0.5%	55.6M	-1.66B	-11.5M	0.65	14.19	58,873	38,378	1,113,312	1,089,313
2014-12-22	$53.86	$55.00	21.0%	5.7%	25.2%	43.4%	20.7%	3.1%	-0.6%	40.6M	-1.28B	-11.0M	0.95	8.68	26,515	25,244	973,099	949,055
2014-12-23	$54.49	$55.00	20.1%	5.6%	25.1%	38.1%	19.8%	3.4%	0.2%	56.6M	-1.57B	-10.9M	0.65	9.08	55,661	36,372	983,252	953,281
2014-12-24	$54.54	$55.00	21.0%	5.7%	25.1%	43.5%	21.1%	3.5%	-0.8%	64.7M	-1.62B	-11.0M	0.71	7.34	33,044	23,618	999,102	961,930
2014-12-26	$54.45	$55.00	20.9%	5.7%	25.0%	42.8%	20.1%	4.1%	-1.4%	66.5M	-1.54B	-10.9M	0.97	7.89	25,560	24,921	1,008,344	965,292
2014-12-29	$54.79	$55.00	20.7%	5.9%	25.1%	41.6%	20.4%	3.7%	1.3%	57.3M	-1.67B	-10.4M	0.80	9.02	39,392	31,634	993,750	959,273
2014-12-30	$54.84	$55.00	20.8%	5.9%	24.7%	42.4%	21.2%	3.7%	0.7%	59.3M	-1.70B	-10.4M	1.04	9.20	11,937	12,415	1,000,113	964,366
2014-12-31	$54.11	$55.00	23.0%	6.3%	24.5%	54.8%	22.9%	3.8%	-0.4%	44.2M	-1.38B	-10.7M	0.93	9.31	19,614	18,196	1,004,568	966,650