C Options History — January 2015

In January 2015, C traded between $46.96 and $54.33. ATM implied volatility averaged 24.3%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 4.7% (HV 20d: 29.0%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2015-01-16: Highest Volume — 295,442 contracts
  • 2015-01-05: Largest IV spike — 17.3% change
  • 2015-01-14: Highest IV Rank — 87.4%
  • 2015-01-06: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.38$46.96$54.33$54.33$47.01
Max Pain$52.13$50.00$55.00$55.00$50.00
ATM IV24.3%20.6%28.8%22.0%23.7%
Expected Move7.0%5.9%8.3%6.2%6.7%
HV 20d29.0%23.7%31.6%23.7%31.6%
HV 60d22.4%20.1%24.3%20.1%24.3%
IV Rank61.9%41.1%87.4%49.3%58.8%
IV Percentile80.7%57.5%98.4%70.6%81.3%
Term Structure0.0%-2.8%2.3%-0.2%-0.4%
VWIV24.7%21.3%28.8%22.3%24.5%
Skew 25d3.3%1.4%5.6%5.6%3.1%
Skew 10d5.4%1.5%8.4%7.5%6.3%
Call IV 25d23.5%20.0%28.9%20.5%22.9%
Put IV 25d26.9%23.2%30.6%26.1%26.0%
Bid-Ask Spread %9.896.9012.256.9011.49
Gamma HHI0.100.090.160.160.15
Net GEX-9.7M-51.7M46.8M46.8M-51.7M
Net DEX233.2M-1.46B1.47B-1.46B804.4M
Net VEX-11.4M-12.5M-10.4M-10.5M-12.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.391.590.951.59
Total Volume143,875.351,026295,44288,666189,823
Total OI1,859,453.11,312,1462,339,8351,983,1531,725,958

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$54.33$55.0022.0%6.2%23.7%49.3%22.3%5.6%-0.2%46.8M-1.46B-10.5M0.956.9045,52743,1391,008,991974,162
2015-01-05$52.55$55.0025.9%7.4%26.4%70.8%25.4%3.3%0.4%19.1M-710.7M-10.5M0.7411.4750,43337,5331,000,577949,855
2015-01-06$50.70$55.0028.2%8.3%28.1%84.0%28.1%3.6%-0.1%-3.7M-28.9M-10.4M0.799.6781,02663,8081,012,005969,131
2015-01-07$51.17$55.0027.5%8.0%28.2%79.8%26.4%3.1%-0.4%3.9M-205.8M-10.5M1.0411.7943,64045,5041,045,595986,222
2015-01-08$51.88$55.0025.7%7.2%28.9%69.7%26.0%4.2%-0.3%15.8M-496.0M-10.6M0.828.4699,58682,0261,056,5691,009,920
2015-01-09$50.83$52.5025.9%7.5%28.5%71.1%25.0%3.6%0.6%-4.0M-39.8M-11.6M1.048.1486,47389,9261,109,0061,042,087
2015-01-12$50.42$52.5026.7%7.6%28.5%75.4%26.1%3.5%-0.1%-10.7M97.3M-11.7M1.217.4654,13665,5451,120,4511,050,279
2015-01-13$49.90$52.5025.3%7.4%28.1%67.8%25.9%3.2%2.3%-16.9M287.5M-11.6M0.768.0462,80647,6901,137,5811,062,975
2015-01-14$49.03$52.5028.8%7.9%28.4%87.4%28.8%1.4%-2.8%-26.0M674.0M-11.6M0.538.96162,76685,5461,168,7561,080,645
2015-01-15$46.96$52.5027.4%8.2%30.2%79.6%27.5%2.5%1.2%-46.8M1.47B-10.4M0.638.80139,21287,9931,211,5371,095,409
2015-01-16$47.61$52.5023.4%6.5%29.1%56.9%22.9%5.0%-1.6%-20.0M1.22B-10.4M1.309.71128,193167,2491,252,8701,086,965
2015-01-20$47.26$52.5022.4%6.4%26.2%51.3%23.8%2.8%0.8%-20.7M622.5M-10.5M0.5211.4166,71434,971748,753563,393
2015-01-21$47.74$50.0021.8%6.2%26.8%47.7%21.9%3.1%0.6%-15.0M497.6M-11.1M0.3910.0362,61624,659789,138586,345
2015-01-22$49.59$50.0021.9%6.3%31.0%48.5%22.3%2.9%-0.1%7.9M-98.9M-12.2M0.7111.20136,08796,695814,433599,664
2015-01-23$48.66$50.0020.6%5.9%30.9%41.1%23.3%3.2%-0.3%2.0M196.2M-12.3M1.0711.8653,56057,395881,026651,532
2015-01-26$48.89$50.0021.1%6.0%31.0%43.8%21.3%2.7%0.2%-8.8M169.1M-12.3M0.538.0433,42817,598868,605668,445
2015-01-27$48.31$50.0022.0%6.3%31.0%49.2%22.7%3.5%0.2%-14.4M361.7M-12.3M0.9410.2238,91236,666890,685681,487
2015-01-28$47.21$50.0023.0%6.8%31.3%54.6%25.9%2.5%-0.1%-27.1M708.5M-12.0M0.7712.2580,21161,619910,736698,928
2015-01-29$47.61$50.0022.5%6.6%31.6%52.1%24.6%4.1%1.0%-23.2M586.8M-12.3M0.9911.8458,56258,233954,111724,235
2015-01-30$47.01$50.0023.7%6.7%31.6%58.8%24.5%3.1%-0.4%-51.7M804.4M-12.5M1.5911.4973,321116,502977,000748,958