C Options History — May 2015 In May 2015, C traded between $52.74 and $55.33. ATM implied volatility averaged 16.6%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.8% (HV 20d: 15.9%). Max pain ranged from $52.50 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.68.
Notable Days 2015-05-04 : Highest Volume — 152,758 contracts2015-05-06 : Largest IV spike — 9.0% change2015-05-06 : Highest IV Rank — 34.3%2015-05-06 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $54.24 $52.74 $55.33 $53.75 $54.18 Max Pain $52.50 $52.50 $52.50 $52.50 $52.50 ATM IV 16.6% 15.3% 19.4% 17.3% 15.8% Expected Move 4.8% 4.3% 5.7% 5.1% 4.5% HV 20d 15.9% 14.0% 18.0% 15.5% 14.7% HV 60d 18.2% 17.9% 18.9% 18.2% 18.0% IV Rank 18.8% 11.3% 34.3% 22.7% 14.4% IV Percentile 24.4% 7.1% 52.8% 34.9% 15.9% Term Structure 0.2% -0.2% 0.6% 0.3% 0.0% VWIV 17.4% 15.3% 20.5% 18.0% 15.8% Skew 25d 1.7% 0.9% 2.1% 1.3% 2.1% Skew 10d 3.2% 1.4% 4.9% 2.3% 4.9% Call IV 25d 16.2% 14.6% 19.2% 16.9% 15.0% Put IV 25d 17.9% 16.4% 20.5% 18.2% 17.0% Bid-Ask Spread % 6.83 4.11 8.23 8.00 8.23 Gamma HHI 0.19 0.13 0.30 0.13 0.14 Net GEX 96.6M 52.3M 168.2M 88.6M 79.4M Net DEX -1.21B -1.51B -711.5M -1.13B -993.3M Net VEX -13.3M -13.9M -12.8M -13.0M -13.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.10 1.43 0.48 0.69 Total Volume 83,184.7 29,701 152,758 80,914 60,257 Total OI 1,589,687.95 1,455,346 1,677,163 1,569,957 1,640,833
Daily Data (20 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 2015-05-01 $53.75 $52.50 17.3% 5.1% 15.5% 22.7% 18.0% 1.3% 0.3% 88.6M -1.13B -13.0M 0.48 8.00 54,631 26,283 909,486 660,471 2015-05-04 $54.17 $52.50 17.2% 5.1% 15.4% 22.0% 18.0% 0.9% -0.0% 79.1M -1.25B -12.8M 0.10 5.89 138,375 14,383 892,421 650,047 2015-05-05 $53.30 $52.50 17.8% 5.5% 16.7% 25.3% 18.3% 2.1% 0.4% 69.3M -949.4M -12.9M 0.91 7.24 38,774 35,397 925,855 657,947 2015-05-06 $52.74 $52.50 19.4% 5.7% 17.2% 34.3% 20.5% 1.3% 0.0% 52.3M -711.5M -13.0M 0.66 7.73 55,922 37,033 931,729 670,506 2015-05-07 $53.31 $52.50 18.4% 5.6% 17.5% 29.1% 19.6% 1.3% 0.3% 78.0M -950.5M -13.4M 0.85 7.69 35,192 30,008 950,700 680,217 2015-05-08 $54.02 $52.50 17.0% 5.0% 17.9% 20.8% 17.8% 1.3% 0.1% 168.2M -1.33B -13.2M 0.29 7.90 50,338 14,383 951,621 686,108 2015-05-11 $53.97 $52.50 16.9% 4.9% 17.9% 20.2% 18.6% 1.6% 0.2% 89.9M -1.20B -12.8M 0.76 4.89 16,903 12,798 937,734 678,248 2015-05-12 $53.77 $52.50 16.7% 4.9% 18.0% 19.2% 18.3% 1.8% 0.5% 81.5M -1.11B -12.9M 1.12 6.56 33,017 36,999 943,798 682,610 2015-05-13 $54.23 $52.50 16.9% 4.9% 17.9% 20.6% 17.3% 1.5% -0.2% 102.5M -1.30B -13.1M 0.85 6.88 43,305 36,696 953,399 697,205 2015-05-14 $54.55 $52.50 16.5% 4.9% 16.7% 18.3% 17.5% 1.5% 0.6% 122.2M -1.44B -13.5M 0.60 4.11 60,737 36,481 960,262 706,051 2015-05-15 $54.24 $52.50 16.5% 4.8% 14.7% 17.9% 20.2% 1.9% 0.4% 71.8M -1.27B -13.1M 1.43 5.10 40,905 58,683 962,890 714,273 2015-05-18 $54.67 $52.50 16.1% 4.7% 14.9% 16.0% 16.7% 2.1% -0.2% 89.2M -1.23B -12.9M 0.66 8.17 33,380 21,975 846,995 608,351 2015-05-19 $55.33 $52.50 15.6% 4.5% 14.3% 13.0% 16.1% 1.8% 0.5% 110.7M -1.51B -13.0M 0.40 7.34 41,455 16,546 859,409 617,764 2015-05-20 $54.93 $52.50 15.9% 4.6% 14.3% 14.8% 16.0% 1.9% 0.2% 105.3M -1.37B -13.1M 0.80 8.10 54,491 43,625 873,343 624,849 2015-05-21 $54.89 $52.50 15.9% 4.6% 14.3% 14.8% 15.5% 1.9% -0.0% 105.3M -1.35B -13.4M 0.17 7.23 120,139 20,330 890,898 644,098 2015-05-22 $55.02 $52.50 15.3% 4.3% 14.0% 11.3% 15.8% 1.8% 0.3% 162.6M -1.46B -13.9M 0.72 6.59 30,994 22,455 934,872 649,356 2015-05-26 $54.26 $52.50 16.2% 4.6% 15.1% 16.2% 16.3% 1.9% 0.2% 77.2M -1.08B -13.6M 0.50 5.98 93,858 46,774 922,522 643,686 2015-05-27 $54.91 $52.50 15.5% 4.3% 15.5% 12.4% 15.3% 1.7% 0.3% 104.5M -1.38B -13.8M 1.07 6.07 35,557 37,905 932,645 674,243 2015-05-28 $54.57 $52.50 15.6% 4.5% 14.9% 12.8% 15.5% 1.7% 0.3% 94.2M -1.18B -13.8M 0.60 6.90 47,835 28,875 938,961 687,356 2015-05-29 $54.18 $52.50 15.8% 4.5% 14.7% 14.4% 15.8% 2.1% 0.0% 79.4M -993.3M -13.7M 0.69 8.23 35,661 24,596 942,358 698,475
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