C Options History — July 2015 In July 2015, C traded between $52.89 and $60.29. ATM implied volatility averaged 19.6%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.0% (HV 20d: 21.6%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.00.
Notable Days 2015-07-16 : Highest Volume — 209,812 contracts2015-07-27 : Largest IV spike — 13.4% change2015-07-08 : Highest IV Rank — 69.8%2015-07-02 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $57.14 $52.89 $60.29 $55.63 $58.44 Max Pain $55.66 $55.00 $57.00 $55.00 $57.00 ATM IV 19.6% 15.8% 25.7% 22.0% 17.6% Expected Move 5.6% 4.4% 7.1% 7.0% 5.0% HV 20d 21.6% 15.7% 25.7% 17.0% 24.2% HV 60d 17.7% 15.8% 19.0% 15.8% 18.6% IV Rank 35.5% 13.9% 69.8% 49.0% 24.3% IV Percentile 50.0% 11.9% 94.0% 75.0% 34.9% Term Structure -0.2% -0.9% 1.2% -0.7% 0.3% VWIV 20.0% 16.6% 25.0% 24.7% 19.2% Skew 25d 2.6% 1.8% 3.8% 2.3% 3.1% Skew 10d 5.4% 2.4% 8.3% 5.6% 5.5% Call IV 25d 18.8% 15.3% 24.3% 21.3% 16.5% Put IV 25d 21.4% 17.2% 28.1% 23.6% 19.5% Bid-Ask Spread % 7.03 4.37 10.20 7.52 6.69 Gamma HHI 0.14 0.10 0.22 0.13 0.13 Net GEX 67.3M -881.6K 134.6M 45.5M 82.3M Net DEX -1.71B -2.84B -84.8M -1.10B -1.97B Net VEX -14.8M -15.5M -14.3M -14.6M -15.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.00 0.31 2.16 0.66 2.16 Total Volume 116,234.273 57,633 209,812 138,775 94,606 Total OI 1,647,395.182 1,519,159 1,779,630 1,556,731 1,671,760
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 2015-07-01 $55.63 $55.00 22.0% 7.0% 17.0% 49.0% 24.7% 2.3% -0.7% 45.5M -1.10B -14.6M 0.66 7.52 83,387 55,388 889,603 667,128 2015-07-02 $55.43 $55.00 21.7% 7.1% 16.8% 47.5% 25.0% 2.3% -0.8% 47.8M -1.03B -15.3M 0.90 8.34 30,294 27,339 933,969 706,271 2015-07-06 $55.12 $55.00 22.8% 6.2% 15.7% 53.8% 21.5% 2.6% -0.4% 33.5M -925.6M -14.6M 1.00 4.82 32,500 32,420 911,428 672,623 2015-07-07 $54.47 $55.00 23.1% 6.3% 15.9% 55.4% 22.2% 2.4% -0.1% 17.4M -663.2M -14.5M 0.80 7.42 65,259 51,984 917,759 683,414 2015-07-08 $52.89 $55.00 25.7% 7.1% 18.6% 69.8% 23.1% 3.8% -0.9% -881.6K -84.8M -14.4M 0.42 9.79 79,657 33,454 941,116 700,189 2015-07-09 $53.87 $55.00 24.3% 6.5% 18.6% 62.2% 23.4% 3.1% -0.8% 20.5M -504.8M -15.0M 0.58 7.26 65,302 37,826 977,430 705,925 2015-07-10 $54.60 $55.00 22.4% 6.2% 19.4% 51.3% 20.5% 3.4% -0.7% 8.0M -850.9M -15.1M 0.61 5.46 60,519 36,624 995,936 718,014 2015-07-13 $55.62 $55.00 20.9% 5.9% 20.8% 43.2% 19.8% 3.7% -0.7% 66.0M -1.27B -14.5M 0.31 4.81 91,102 28,650 972,456 693,935 2015-07-14 $55.92 $55.00 19.6% 5.6% 20.8% 35.5% 19.5% 2.6% 0.3% 84.7M -1.46B -14.6M 0.69 4.37 54,125 37,609 1,001,719 706,809 2015-07-15 $56.56 $55.00 18.9% 5.3% 21.1% 31.4% 19.3% 2.4% -0.1% 102.9M -1.72B -14.8M 0.71 6.24 82,311 58,598 1,005,300 723,098 2015-07-16 $58.58 $55.00 16.4% 4.8% 24.2% 17.4% 17.0% 2.0% 0.4% 134.6M -2.84B -14.4M 0.54 4.92 136,123 73,689 1,026,020 751,868 2015-07-17 $58.85 $55.00 15.8% 4.4% 24.2% 13.9% 17.4% 1.8% -0.8% 93.1M -2.84B -14.3M 0.88 4.76 84,138 74,002 1,018,153 761,477 2015-07-20 $58.86 $55.00 16.1% 4.6% 23.9% 15.6% 16.9% 2.1% 0.2% 95.5M -2.29B -14.5M 1.35 6.97 59,982 80,699 878,108 641,051 2015-07-21 $59.16 $55.00 15.9% 4.6% 23.7% 14.8% 16.6% 1.9% 0.5% 99.6M -2.39B -14.6M 1.10 5.32 53,015 58,547 894,761 672,142 2015-07-22 $60.29 $55.50 16.7% 4.8% 24.4% 19.0% 17.6% 2.3% -0.3% 93.3M -2.81B -14.5M 1.03 9.58 79,314 81,346 897,750 682,905 2015-07-23 $59.89 $57.00 17.0% 4.9% 24.1% 21.2% 18.0% 2.3% -0.7% 102.4M -2.62B -15.0M 1.15 9.25 68,291 78,647 912,184 707,512 2015-07-24 $58.79 $57.00 18.3% 5.2% 24.9% 28.2% 19.4% 2.8% 0.3% 63.9M -2.06B -15.3M 1.08 10.20 76,234 82,310 919,388 722,105 2015-07-27 $57.85 $57.00 20.7% 6.0% 25.7% 42.0% 22.4% 3.4% -0.1% 58.2M -1.74B -15.5M 1.46 7.19 42,689 62,336 908,890 703,853 2015-07-28 $58.35 $57.00 19.8% 5.6% 24.0% 36.7% 20.7% 2.7% 0.1% 69.8M -1.99B -15.4M 1.68 6.79 26,447 44,529 917,018 717,756 2015-07-29 $58.90 $57.00 18.1% 5.2% 24.0% 27.1% 18.7% 2.8% 0.3% 79.8M -2.21B -15.2M 1.25 9.47 36,505 45,746 923,126 727,764 2015-07-30 $58.90 $57.00 17.3% 4.8% 24.0% 22.8% 17.1% 2.1% 1.2% 83.3M -2.20B -15.0M 1.69 7.42 27,355 46,256 926,473 736,508 2015-07-31 $58.44 $57.00 17.6% 5.0% 24.2% 24.3% 19.2% 3.1% 0.3% 82.3M -1.97B -15.1M 2.16 6.69 29,936 64,670 931,702 740,058
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