C Options History — March 2015

In March 2015, C traded between $51.00 and $54.08. ATM implied volatility averaged 22.7%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.9% (HV 20d: 20.7%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2015-03-11: Highest Volume — 250,216 contracts
2015-03-12: Largest IV drop — 22.9% change
2015-03-10: Highest IV Rank — 80.3%
2015-03-10: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.70	$51.00	$54.08	$53.48	$51.60
Max Pain	$50.75	$50.00	$52.50	$50.00	$51.50
ATM IV	22.7%	20.2%	27.5%	22.9%	22.0%
Expected Move	6.8%	6.0%	8.4%	7.0%	6.7%
HV 20d	20.7%	13.8%	24.1%	15.9%	23.2%
HV 60d	25.8%	24.9%	26.9%	26.0%	25.6%
IV Rank	52.9%	39.2%	80.3%	53.9%	49.1%
IV Percentile	74.1%	56.7%	97.2%	75.8%	72.6%
Term Structure	0.1%	-1.8%	3.4%	-1.7%	-0.1%
VWIV	24.1%	21.0%	29.0%	25.4%	23.9%
Skew 25d	3.1%	2.1%	4.2%	4.2%	2.6%
Skew 10d	6.6%	1.1%	9.5%	9.5%	6.6%
Call IV 25d	21.7%	19.3%	25.8%	21.3%	21.2%
Put IV 25d	24.8%	22.6%	29.9%	25.5%	23.8%
Bid-Ask Spread %	8.68	5.59	18.52	9.18	8.78
Gamma HHI	0.12	0.08	0.33	0.13	0.09
Net GEX	96.5M	13.3M	224.7M	107.8M	27.2M
Net DEX	-1.32B	-2.46B	-213.2M	-1.86B	-427.1M
Net VEX	-14.0M	-15.2M	-13.0M	-13.8M	-13.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.34	1.03	0.42	0.60
Total Volume	106,472.273	41,941	250,216	120,099	80,525
Total OI	1,833,990.818	1,491,611	2,158,501	1,749,669	1,621,482

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
2015-03-02	$53.48	$50.00	22.9%	7.0%	15.9%	53.9%	25.4%	4.2%	-1.7%	107.8M	-1.86B	-13.8M	0.42	9.18	84,493	35,606	1,001,308	748,361
2015-03-03	$53.71	$50.00	22.9%	7.1%	15.6%	54.4%	24.9%	2.6%	-1.8%	112.9M	-2.00B	-13.9M	0.37	6.63	138,701	51,551	1,024,028	758,753
2015-03-04	$53.70	$50.00	22.6%	7.3%	14.4%	52.6%	25.6%	2.3%	-0.9%	123.6M	-2.02B	-14.3M	0.58	8.76	57,644	33,294	1,059,603	772,640
2015-03-05	$53.54	$50.00	23.2%	7.2%	13.8%	56.0%	25.1%	2.1%	-1.1%	123.2M	-1.96B	-14.3M	0.55	10.88	69,159	38,331	1,078,233	780,078
2015-03-06	$53.00	$50.00	23.4%	7.2%	14.8%	57.1%	24.5%	3.0%	-1.7%	112.1M	-1.72B	-14.2M	0.67	7.43	110,003	74,031	1,112,852	791,725
2015-03-09	$52.95	$50.00	23.7%	7.3%	14.6%	58.7%	25.6%	3.2%	2.1%	115.5M	-1.63B	-14.1M	0.34	7.06	36,207	12,397	1,114,449	807,498
2015-03-10	$51.23	$50.00	27.5%	8.4%	19.6%	80.3%	28.4%	3.4%	0.7%	68.0M	-790.6M	-14.2M	0.48	8.15	74,108	35,658	1,123,927	812,492
2015-03-11	$52.33	$50.00	27.3%	8.2%	20.8%	79.0%	29.0%	4.1%	1.3%	100.2M	-1.35B	-14.5M	0.60	18.52	156,757	93,459	1,155,582	829,524
2015-03-12	$54.08	$50.00	21.1%	6.3%	23.4%	43.7%	23.0%	2.7%	0.9%	206.5M	-2.46B	-15.2M	0.46	10.08	139,146	64,488	1,223,663	891,486
2015-03-13	$53.54	$50.00	22.4%	6.9%	22.3%	51.4%	24.3%	2.9%	2.6%	224.7M	-2.10B	-15.1M	0.84	6.88	44,246	37,167	1,256,089	902,412
2015-03-16	$53.69	$50.00	22.7%	6.7%	22.3%	53.0%	23.3%	3.4%	-0.9%	166.9M	-1.92B	-14.7M	0.34	5.59	88,929	30,131	1,170,358	829,791
2015-03-17	$53.84	$50.00	21.8%	6.3%	22.2%	47.7%	23.7%	3.5%	0.3%	156.6M	-1.94B	-14.5M	0.77	7.05	30,312	23,486	1,157,650	846,035
2015-03-18	$53.72	$52.50	22.4%	6.4%	22.1%	51.1%	22.6%	3.1%	-0.9%	156.5M	-1.87B	-14.2M	0.55	10.23	34,307	18,872	1,168,915	859,283
2015-03-19	$52.38	$50.00	22.7%	6.5%	24.1%	52.9%	22.7%	3.4%	-0.6%	124.1M	-1.01B	-14.0M	0.42	9.20	61,588	25,621	1,177,916	863,219
2015-03-20	$52.98	$50.00	21.5%	6.2%	24.0%	46.1%	21.5%	3.1%	-0.8%	43.3M	-1.44B	-13.7M	0.38	7.98	76,528	29,257	1,190,141	871,301
2015-03-23	$52.48	$52.50	20.8%	6.0%	23.9%	42.2%	21.0%	2.9%	0.5%	45.0M	-726.7M	-13.2M	1.03	6.21	20,679	21,262	849,753	641,858
2015-03-24	$51.94	$52.50	20.6%	6.0%	23.8%	41.0%	21.9%	3.5%	-0.0%	35.4M	-519.9M	-13.0M	0.94	6.96	29,497	27,723	859,373	653,150
2015-03-25	$51.38	$52.50	20.2%	6.3%	24.1%	39.2%	22.5%	3.3%	3.4%	18.8M	-324.6M	-13.2M	0.58	9.36	36,734	21,308	876,035	674,500
2015-03-26	$51.26	$52.00	22.4%	6.7%	23.9%	51.4%	24.3%	2.9%	0.7%	15.3M	-284.5M	-13.3M	0.58	7.73	84,330	48,950	892,564	684,000
2015-03-27	$51.00	$51.50	22.9%	6.8%	23.9%	54.2%	24.4%	2.7%	-0.1%	13.3M	-213.2M	-13.4M	0.91	10.26	30,389	27,774	922,705	697,900
2015-03-30	$51.67	$51.50	21.7%	6.6%	23.3%	47.6%	23.0%	2.8%	-0.4%	25.7M	-459.2M	-13.3M	0.70	7.96	63,297	44,445	905,092	690,074
2015-03-31	$51.60	$51.50	22.0%	6.7%	23.2%	49.1%	23.9%	2.6%	-0.1%	27.2M	-427.1M	-13.3M	0.60	8.78	50,353	30,172	922,197	699,285