C Options History — April 2015

In April 2015, C traded between $51.58 and $54.23. ATM implied volatility averaged 19.1%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.4% (HV 20d: 16.7%). Max pain ranged from $51.50 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2015-04-16: Highest Volume — 170,380 contracts
2015-04-16: Largest IV drop — 19.1% change
2015-04-02: Highest IV Rank — 53.3%
2015-04-01: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.71	$51.58	$54.23	$51.68	$53.27
Max Pain	$52.45	$51.50	$52.50	$51.50	$52.50
ATM IV	19.1%	15.6%	22.8%	22.0%	17.3%
Expected Move	5.5%	4.6%	6.7%	6.7%	5.2%
HV 20d	16.7%	13.9%	23.4%	23.2%	15.3%
HV 60d	21.0%	18.3%	24.7%	24.7%	18.3%
IV Rank	32.9%	12.8%	53.3%	48.9%	22.6%
IV Percentile	46.4%	10.7%	80.2%	72.2%	34.5%
Term Structure	-0.3%	-1.0%	0.7%	-0.4%	0.7%
VWIV	19.7%	16.4%	23.3%	23.3%	18.5%
Skew 25d	2.1%	1.0%	3.4%	2.8%	1.5%
Skew 10d	4.3%	2.6%	6.3%	6.3%	3.3%
Call IV 25d	18.5%	15.4%	21.0%	20.9%	17.1%
Put IV 25d	20.6%	16.8%	23.7%	23.7%	18.5%
Bid-Ask Spread %	9.40	5.79	18.79	10.32	7.24
Gamma HHI	0.13	0.09	0.53	0.09	0.11
Net GEX	71.2M	33.8M	249.3M	37.6M	63.0M
Net DEX	-821.4M	-1.75B	-450.1M	-474.2M	-904.2M
Net VEX	-12.6M	-13.6M	-12.0M	-13.5M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.30	2.40	0.45	0.61
Total Volume	95,137.143	51,667	170,380	105,102	79,469
Total OI	1,602,547.857	1,411,898	1,766,295	1,638,991	1,561,928

Daily Data (21 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
2015-04-01	$51.68	$51.50	22.0%	6.7%	23.2%	48.9%	23.3%	2.8%	-0.4%	37.6M	-474.2M	-13.5M	0.45	10.32	72,413	32,689	933,163	705,828
2015-04-02	$51.92	$52.50	22.8%	6.0%	23.4%	53.3%	21.6%	2.5%	-0.5%	95.2M	-585.7M	-13.6M	0.44	12.89	76,824	33,715	947,796	712,116
2015-04-06	$51.69	$52.50	21.8%	6.0%	23.2%	47.7%	21.2%	2.3%	-0.4%	42.3M	-510.0M	-13.2M	0.91	10.17	33,361	30,205	926,067	701,763
2015-04-07	$51.58	$52.50	21.8%	5.9%	23.2%	47.7%	20.8%	3.4%	-0.6%	33.8M	-450.1M	-12.9M	2.40	7.34	24,904	59,657	927,458	706,931
2015-04-08	$51.89	$52.50	21.6%	6.0%	20.0%	46.6%	22.0%	3.0%	-0.8%	39.9M	-527.2M	-12.8M	0.69	7.95	30,546	21,121	926,020	742,474
2015-04-09	$52.17	$52.50	21.4%	6.0%	18.6%	45.6%	21.3%	2.7%	-1.0%	57.6M	-710.6M	-12.7M	1.80	6.94	31,460	56,766	930,901	744,588
2015-04-10	$52.45	$52.50	20.7%	5.9%	14.1%	41.6%	22.7%	2.9%	-0.2%	91.4M	-771.5M	-12.9M	1.09	8.27	39,566	43,178	938,351	773,181
2015-04-13	$52.75	$52.50	21.6%	6.2%	14.0%	46.7%	21.5%	2.5%	-0.3%	59.2M	-942.3M	-12.6M	1.03	10.12	36,068	36,984	930,935	763,184
2015-04-14	$52.69	$52.50	21.6%	6.2%	13.9%	46.7%	22.5%	2.4%	-0.5%	60.2M	-926.3M	-12.6M	0.92	9.15	48,914	45,088	938,497	766,429
2015-04-15	$53.19	$52.50	21.4%	6.1%	14.3%	45.8%	21.6%	1.7%	-1.0%	80.5M	-1.19B	-12.6M	0.58	9.45	106,221	61,424	945,605	765,055
2015-04-16	$54.23	$52.50	17.3%	5.0%	16.0%	22.7%	17.9%	1.0%	0.2%	130.6M	-1.75B	-12.2M	0.45	11.09	117,714	52,666	978,459	783,748
2015-04-17	$53.07	$52.50	19.2%	5.6%	15.2%	33.3%	21.6%	2.3%	-0.6%	249.3M	-1.17B	-12.4M	1.24	7.44	62,022	77,144	981,459	784,836
2015-04-20	$53.19	$52.50	17.3%	5.0%	14.7%	22.8%	17.7%	1.9%	0.1%	59.3M	-844.1M	-12.3M	0.61	7.27	45,355	27,838	814,442	597,456
2015-04-21	$52.48	$52.50	17.3%	4.9%	15.1%	22.4%	18.0%	1.9%	-0.1%	47.0M	-603.5M	-12.0M	0.85	8.09	50,785	43,304	840,857	602,859
2015-04-22	$53.09	$52.50	16.8%	4.8%	15.1%	19.9%	17.3%	1.7%	-0.1%	58.3M	-817.6M	-12.2M	0.52	8.11	61,922	32,205	851,016	626,918
2015-04-23	$53.23	$52.50	16.7%	4.8%	14.4%	19.0%	17.0%	1.5%	-0.4%	62.8M	-853.7M	-12.4M	0.54	9.57	40,917	22,296	867,263	633,132
2015-04-24	$52.89	$52.50	16.0%	4.6%	14.7%	15.2%	16.8%	1.7%	-0.2%	59.2M	-730.5M	-12.5M	0.56	5.79	45,066	25,424	873,196	634,838
2015-04-27	$52.82	$52.50	15.9%	4.7%	14.5%	14.9%	16.7%	1.8%	0.0%	48.9M	-722.4M	-12.0M	0.91	8.96	45,222	41,222	847,224	630,009
2015-04-28	$52.95	$52.50	15.6%	4.6%	13.9%	12.8%	16.4%	1.4%	0.5%	48.2M	-719.0M	-12.1M	0.47	18.79	48,960	23,076	857,276	646,634
2015-04-29	$53.77	$52.50	15.9%	4.8%	14.7%	15.0%	17.1%	1.2%	0.3%	70.3M	-1.05B	-12.4M	0.30	12.47	103,116	31,053	863,877	649,736
2015-04-30	$53.27	$52.50	17.3%	5.2%	15.3%	22.6%	18.5%	1.5%	0.7%	63.0M	-904.2M	-13.1M	0.61	7.24	49,308	30,161	904,421	657,507