C Options History — June 2015 In June 2015, C traded between $54.46 and $57.41. ATM implied volatility averaged 18.5%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.1% (HV 20d: 15.4%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.10.
Notable Days 2015-06-29 : Highest Volume — 149,036 contracts2015-06-29 : Largest IV spike — 24.6% change2015-06-29 : Highest IV Rank — 58.2%2015-06-29 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $56.20 $54.46 $57.41 $54.46 $55.38 Max Pain $54.32 $52.50 $55.00 $52.50 $55.00 ATM IV 18.5% 15.7% 23.6% 15.7% 21.7% Expected Move 5.7% 4.6% 7.5% 4.6% 7.0% HV 20d 15.4% 13.9% 18.1% 14.5% 18.1% HV 60d 15.7% 14.6% 18.3% 18.0% 15.8% IV Rank 29.4% 13.7% 58.2% 13.7% 47.6% IV Percentile 43.1% 13.9% 87.7% 13.9% 70.6% Term Structure 0.5% -0.8% 3.6% -0.0% -0.6% VWIV 20.5% 16.3% 26.5% 16.3% 24.9% Skew 25d 2.7% 2.1% 3.5% 2.6% 2.8% Skew 10d 5.7% 4.5% 7.4% 6.8% 5.8% Call IV 25d 17.6% 15.0% 22.0% 15.0% 20.7% Put IV 25d 20.3% 17.6% 25.4% 17.6% 23.5% Bid-Ask Spread % 6.47 4.07 11.18 7.66 5.79 Gamma HHI 0.20 0.11 0.33 0.17 0.12 Net GEX 107.4M 34.1M 172.7M 75.8M 40.5M Net DEX -1.71B -2.39B -893.6M -1.11B -1.02B Net VEX -14.3M -14.7M -13.6M -13.6M -14.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.47 1.96 1.88 0.73 Total Volume 95,213.909 54,305 149,036 94,960 71,480 Total OI 1,688,222.318 1,452,817 1,886,079 1,617,452 1,540,590
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 2015-06-01 $54.46 $52.50 15.7% 4.6% 14.5% 13.7% 16.3% 2.6% -0.0% 75.8M -1.11B -13.6M 1.88 7.66 33,002 61,958 925,172 692,280 2015-06-02 $54.72 $52.50 16.5% 5.0% 14.4% 18.2% 17.6% 2.2% 0.8% 76.6M -1.20B -13.9M 0.47 7.10 37,022 17,283 933,192 720,495 2015-06-03 $55.70 $52.50 16.7% 4.9% 14.2% 19.2% 16.9% 2.7% -0.4% 121.1M -1.69B -14.4M 0.50 6.70 79,233 39,913 953,416 722,876 2015-06-04 $55.28 $52.50 17.6% 5.8% 13.9% 24.3% 20.5% 2.2% -0.1% 107.5M -1.49B -14.6M 0.72 6.50 67,856 49,150 977,031 740,170 2015-06-05 $56.22 $52.50 16.7% 5.8% 14.5% 19.4% 20.4% 2.5% 0.6% 131.6M -1.98B -14.7M 0.73 4.07 82,675 60,728 988,596 746,577 2015-06-08 $55.71 $55.00 18.1% 6.1% 14.5% 27.3% 22.1% 3.1% 3.6% 113.5M -1.67B -14.5M 1.19 5.22 40,058 47,639 976,557 747,368 2015-06-09 $55.98 $52.50 18.4% 6.1% 14.5% 28.6% 21.4% 2.9% 3.2% 121.2M -1.78B -14.7M 1.79 6.90 33,952 60,941 991,230 766,523 2015-06-10 $57.02 $55.00 16.8% 5.6% 15.5% 19.9% 20.6% 2.3% 2.6% 160.8M -2.31B -14.5M 0.94 4.55 61,017 57,325 996,367 804,597 2015-06-11 $57.13 $55.00 17.0% 5.5% 15.4% 21.1% 20.3% 2.5% 2.4% 172.6M -2.39B -14.5M 1.34 7.25 46,785 62,634 1,013,470 818,923 2015-06-12 $57.12 $55.00 17.7% 5.6% 15.3% 25.0% 21.1% 2.1% 2.4% 164.9M -2.34B -14.6M 1.14 4.71 44,705 50,890 1,018,966 842,795 2015-06-15 $56.67 $55.00 19.7% 5.8% 15.5% 36.3% 21.1% 3.5% -0.0% 151.1M -2.01B -14.4M 1.22 8.35 41,579 50,805 1,003,031 827,894 2015-06-16 $57.00 $55.00 20.5% 6.0% 15.4% 40.7% 21.9% 3.4% -0.3% 172.7M -2.19B -14.7M 1.17 5.41 34,351 40,044 1,007,679 835,115 2015-06-17 $56.40 $55.00 19.8% 5.7% 15.6% 36.6% 21.4% 3.1% -0.8% 134.1M -1.87B -14.4M 1.06 11.18 42,393 44,875 1,016,856 837,831 2015-06-18 $56.71 $55.00 18.7% 5.3% 15.3% 30.3% 19.7% 2.9% 0.4% 132.7M -2.00B -13.9M 0.86 5.18 49,795 42,642 1,017,415 851,138 2015-06-19 $56.31 $55.00 18.0% 5.2% 15.6% 26.5% 18.9% 2.9% -0.3% 74.0M -1.82B -13.9M 1.96 5.60 43,548 85,350 1,026,522 859,557 2015-06-22 $56.99 $55.00 17.6% 5.2% 16.1% 24.1% 18.4% 2.5% -0.3% 81.3M -1.68B -14.1M 1.33 6.02 27,916 37,111 810,572 642,245 2015-06-23 $57.41 $55.00 18.2% 5.4% 15.1% 27.5% 18.8% 2.2% -0.2% 86.6M -1.85B -13.8M 1.12 7.30 36,356 40,822 819,082 648,528 2015-06-24 $56.74 $55.00 19.4% 5.6% 15.5% 34.4% 19.7% 2.6% -0.8% 78.0M -1.58B -14.0M 1.05 7.13 36,571 38,219 830,982 663,499 2015-06-25 $56.21 $55.00 19.5% 5.9% 15.8% 35.0% 20.6% 2.7% -0.8% 65.8M -1.38B -14.1M 1.06 7.18 32,062 33,989 841,946 671,024 2015-06-26 $56.30 $55.00 18.9% 5.7% 15.4% 31.9% 21.1% 2.4% -0.6% 66.8M -1.36B -14.2M 0.86 6.66 43,519 37,477 855,854 680,983 2015-06-29 $54.95 $55.00 23.6% 7.5% 17.9% 58.2% 26.5% 3.4% -0.6% 34.1M -893.6M -14.3M 0.98 5.87 75,156 73,880 853,302 622,645 2015-06-30 $55.38 $55.00 21.7% 7.0% 18.1% 47.6% 24.9% 2.8% -0.6% 40.5M -1.02B -14.3M 0.73 5.79 41,398 30,082 884,457 656,133
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