C Options History — August 2015

In August 2015, C traded between $50.42 and $58.75. ATM implied volatility averaged 23.9%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.1% (HV 20d: 21.8%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-08-25: Highest Volume — 196,170 contracts
  • 2015-08-24: Largest IV spike — 36.3% change
  • 2015-08-24: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.95$50.42$58.75$58.44$53.61
Max Pain$55.36$55.00$57.50$57.50$55.00
ATM IV23.9%17.2%40.4%18.7%30.0%
Expected Move7.1%5.0%12.2%5.1%9.2%
HV 20d21.8%14.8%30.7%24.1%30.7%
HV 60d20.3%18.3%24.5%18.5%24.3%
IV Rank48.2%21.9%100.0%30.5%61.7%
IV Percentile64.3%29.8%100.0%42.1%97.6%
Term Structure0.0%-1.7%2.1%-0.2%-0.6%
VWIV25.5%18.2%41.5%18.2%33.3%
Skew 25d4.7%2.3%10.2%2.3%6.4%
Skew 10d10.1%4.8%18.5%5.3%15.3%
Call IV 25d22.2%16.2%35.9%17.4%27.4%
Put IV 25d26.9%18.7%46.1%19.7%33.8%
Bid-Ask Spread %7.685.0610.709.016.44
Gamma HHI0.140.080.250.150.10
Net GEX51.9M-119.0K103.8M69.8M29.3M
Net DEX-1.12B-2.15B448.5M-1.96B-348.5M
Net VEX-14.3M-15.5M-12.4M-15.2M-13.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.322.030.431.57
Total Volume94,474.52423,625196,17023,62574,872
Total OI1,699,353.191,566,7701,802,0321,647,1661,716,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$58.44$57.5018.7%5.1%24.1%30.5%18.2%2.3%-0.2%69.8M-1.96B-15.2M0.439.0116,5447,081923,861723,305
2015-08-04$58.47$57.5017.6%5.0%23.4%24.4%20.6%3.0%-0.4%73.9M-1.99B-14.8M2.036.8926,04052,885923,151719,581
2015-08-05$58.75$57.5017.8%5.1%19.9%25.6%20.5%2.9%0.7%76.8M-2.15B-14.7M1.006.4351,48251,298927,803735,604
2015-08-06$58.14$55.0019.4%5.9%20.1%34.3%20.5%3.4%-0.2%68.1M-1.86B-15.5M1.516.8527,48141,453957,899748,643
2015-08-07$57.90$55.0019.1%5.9%19.9%32.7%20.7%3.3%-0.1%64.6M-1.80B-15.4M1.526.7227,75742,113968,608752,055
2015-08-10$58.66$55.0017.2%5.5%19.4%21.9%19.7%2.5%2.1%84.3M-2.13B-14.8M0.957.0524,09522,887954,559730,671
2015-08-11$57.64$55.0019.1%5.8%20.7%32.8%20.8%3.0%1.1%61.8M-1.64B-15.2M0.516.4137,25818,959960,277734,342
2015-08-12$56.94$55.0020.8%6.3%20.9%42.3%22.2%3.8%1.5%47.7M-1.35B-15.0M1.629.8062,747101,481961,958741,744
2015-08-13$57.32$55.0019.4%5.9%16.6%34.4%21.8%3.3%1.7%62.8M-1.54B-15.0M0.746.9540,57429,972977,108769,210
2015-08-14$57.51$55.0018.8%5.6%16.5%31.1%20.2%3.3%1.1%103.8M-1.71B-14.8M0.956.0029,82228,380985,615772,757
2015-08-17$57.75$55.0018.7%5.5%16.6%30.5%19.8%3.5%0.3%79.5M-1.75B-14.3M0.607.6844,29226,519967,883758,231
2015-08-18$57.52$55.0018.5%5.4%16.5%29.6%18.8%3.3%-0.1%88.6M-1.68B-14.4M1.145.0628,57232,632983,056761,706
2015-08-19$57.00$55.0019.7%5.6%14.8%36.1%20.7%3.9%-0.2%67.3M-1.39B-14.1M0.346.7753,65518,471988,937767,808
2015-08-20$55.46$55.0023.6%6.8%17.2%58.0%24.5%4.2%-1.4%18.9M-655.6M-14.3M0.778.4957,87544,352996,822772,159
2015-08-21$53.78$55.0029.6%8.5%19.0%92.2%31.4%6.4%-1.7%-119.0K-15.0M-14.2M1.0610.5857,43560,9931,016,279785,753
2015-08-24$50.91$55.0040.4%12.2%25.9%100.0%41.5%10.2%1.8%11.5M290.7M-12.9M0.6710.7076,90351,523905,065661,705
2015-08-25$50.42$55.0037.5%11.4%25.3%89.3%37.7%8.6%-1.3%7.6M448.5M-12.4M0.329.13148,64147,529916,598675,652
2015-08-26$52.18$55.0034.7%10.4%28.8%79.1%36.9%8.2%-0.7%17.9M65.0M-13.0M0.638.9677,18348,402946,766693,069
2015-08-27$53.30$55.0030.4%8.8%30.3%63.2%32.7%5.9%-1.1%31.3M-254.7M-13.6M0.658.7584,98654,973981,533707,562
2015-08-28$53.15$55.0030.3%9.2%30.3%62.9%32.6%6.8%-1.4%23.8M-183.4M-13.9M1.786.6055,28098,568992,548722,364
2015-08-31$53.61$55.0030.0%9.2%30.7%61.7%33.3%6.4%-0.6%29.3M-348.5M-13.8M1.576.4429,15845,714974,127742,043