C Options History — February 2015

In February 2015, C traded between $47.72 and $52.49. ATM implied volatility averaged 22.8%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 2.5% (HV 20d: 25.3%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-02-13: Highest Volume — 179,493 contracts
  • 2015-02-26: Largest IV spike — 10.9% change
  • 2015-02-13: Highest IV Rank — 63.5%
  • 2015-02-26: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.48$47.72$52.49$47.72$52.47
Max Pain$49.95$49.00$50.00$50.00$50.00
ATM IV22.8%20.9%24.6%22.6%23.7%
Expected Move6.7%6.1%7.5%6.3%7.0%
HV 20d25.3%16.5%32.3%32.3%16.6%
HV 60d25.4%24.6%26.0%24.6%25.9%
IV Rank53.6%42.7%63.5%52.7%58.6%
IV Percentile75.5%59.5%88.5%73.4%82.5%
Term Structure-0.0%-2.1%1.9%0.5%-0.7%
VWIV24.0%21.7%27.1%22.2%25.0%
Skew 25d2.9%1.7%3.7%3.5%3.1%
Skew 10d7.5%3.9%12.9%7.8%6.8%
Call IV 25d22.2%20.6%23.9%21.8%22.7%
Put IV 25d25.1%23.0%26.7%25.4%25.9%
Bid-Ask Spread %8.766.5014.2011.298.97
Gamma HHI0.100.080.190.090.19
Net GEX47.5M-23.3M123.8M-23.3M123.8M
Net DEX-634.7M-1.47B520.1M520.1M-1.47B
Net VEX-13.7M-14.3M-12.7M-12.7M-14.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.261.420.770.80
Total Volume102,152.84232,459179,49384,351104,157
Total OI1,807,924.1051,678,7521,951,0581,707,1441,772,362

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$47.72$50.0022.6%6.3%32.3%52.7%22.2%3.5%0.5%-23.3M520.1M-12.7M0.7711.2947,78936,562971,628735,516
2015-02-03$48.83$50.0021.9%6.1%32.3%48.3%21.7%2.0%0.1%1.3M49.8M-13.4M0.839.6869,43657,306997,367739,687
2015-02-04$48.39$50.0020.9%6.2%30.1%42.7%22.3%2.5%1.9%-3.8M232.8M-13.3M1.429.2137,80353,6061,014,644765,813
2015-02-05$48.57$50.0021.3%6.4%29.9%45.1%22.7%2.6%-0.1%583.5K192.1M-13.1M0.876.7441,30336,0641,023,143775,754
2015-02-06$49.13$50.0021.5%6.6%29.7%46.0%23.0%1.7%0.1%27.0M-123.8M-13.6M0.698.5083,20557,1971,038,261790,044
2015-02-09$49.22$50.0021.9%6.7%29.0%48.7%23.5%3.2%1.6%9.5M-102.4M-13.5M1.108.1732,59735,7011,012,554783,905
2015-02-10$49.40$50.0021.8%6.7%29.0%47.7%23.5%2.8%1.1%12.9M-176.4M-13.3M0.978.4839,64238,4691,022,508787,744
2015-02-11$49.65$50.0022.1%6.6%28.8%49.8%23.4%3.4%1.0%18.1M-262.5M-13.6M0.918.6235,78332,4741,033,819804,517
2015-02-12$50.98$50.0023.5%6.8%29.5%57.7%23.6%3.6%0.2%54.8M-857.1M-14.1M0.6810.4385,87458,0811,042,693813,828
2015-02-13$51.19$49.0024.6%7.1%24.3%63.5%24.5%2.7%0.4%61.5M-965.3M-14.2M0.529.18118,17161,3221,048,550833,855
2015-02-17$51.61$50.0024.3%6.9%24.1%61.9%25.6%3.1%-0.9%84.0M-1.20B-13.9M0.716.9649,71435,4461,066,000826,670
2015-02-18$51.38$50.0022.8%6.5%23.9%53.5%24.3%3.5%-0.1%77.9M-1.02B-13.8M0.759.2559,41144,6921,071,633835,470
2015-02-19$51.12$50.0023.6%6.9%24.0%58.3%23.7%3.2%-2.1%75.3M-887.7M-13.8M0.576.5020,72711,7321,090,467850,581
2015-02-20$51.78$50.0023.7%6.9%20.6%58.4%27.1%2.6%-0.9%69.0M-1.25B-13.9M1.307.4655,43471,9251,095,785855,273
2015-02-23$51.22$50.0023.9%7.1%19.7%59.9%26.7%2.6%-0.5%49.3M-847.8M-13.6M1.397.2945,69563,484947,146731,606
2015-02-24$51.91$50.0022.9%6.6%20.1%54.0%23.1%2.8%-1.1%80.9M-1.19B-13.7M0.5214.2077,77440,172970,286733,123
2015-02-25$52.09$50.0021.9%6.6%19.3%48.7%24.1%3.7%-0.2%90.2M-1.26B-13.8M1.087.2326,63928,687983,873747,155
2015-02-26$52.49$50.0024.3%7.5%16.5%62.2%26.3%2.9%-1.0%93.3M-1.45B-14.3M0.268.22116,68930,141988,211749,087
2015-02-27$52.47$50.0023.7%7.0%16.6%58.6%25.0%3.1%-0.7%123.8M-1.47B-14.1M0.808.9757,86246,2951,014,712757,650