C Options History — September 2015

In September 2015, C traded between $48.93 and $52.54. ATM implied volatility averaged 30.8%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 4.7% (HV 20d: 35.6%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2015-09-18: Highest Volume — 167,088 contracts
2015-09-28: Largest IV spike — 17.3% change
2015-09-01: Highest IV Rank — 97.1%
2015-09-01: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.71	$48.93	$52.54	$50.72	$49.64
Max Pain	$52.74	$52.50	$55.00	$55.00	$52.50
ATM IV	30.8%	26.1%	39.6%	39.6%	32.1%
Expected Move	9.1%	7.5%	12.4%	12.4%	9.8%
HV 20d	35.6%	27.6%	38.9%	35.5%	27.6%
HV 60d	27.9%	26.7%	29.6%	26.7%	29.6%
IV Rank	64.6%	47.1%	97.1%	97.1%	69.5%
IV Percentile	94.7%	86.9%	99.6%	99.6%	96.8%
Term Structure	-0.3%	-1.5%	3.4%	-1.3%	-0.6%
VWIV	31.5%	25.9%	42.1%	42.1%	33.9%
Skew 25d	6.4%	5.1%	9.7%	9.7%	5.6%
Skew 10d	12.8%	8.9%	18.5%	18.5%	12.1%
Call IV 25d	28.3%	23.7%	35.1%	35.1%	29.7%
Put IV 25d	34.7%	29.5%	44.8%	44.8%	35.4%
Bid-Ask Spread %	6.49	4.34	8.94	6.77	8.62
Gamma HHI	0.08	0.06	0.10	0.07	0.06
Net GEX	11.8M	1.9M	32.5M	1.9M	16.5M
Net DEX	306.9M	-148.1M	581.7M	423.4M	390.8M
Net VEX	-11.8M	-13.1M	-10.9M	-13.0M	-11.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.41	1.24	0.87	0.57
Total Volume	107,565.143	53,747	167,088	93,188	100,456
Total OI	1,746,435.524	1,534,285	1,906,511	1,733,104	1,691,686

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
2015-09-01	$50.72	$55.00	39.6%	12.4%	35.5%	97.1%	42.1%	9.7%	-1.3%	1.9M	423.4M	-13.0M	0.87	6.77	49,965	43,223	979,509	753,595
2015-09-02	$51.62	$55.00	33.5%	9.7%	36.4%	74.5%	34.0%	7.1%	-0.4%	8.6M	218.3M	-12.9M	0.41	7.45	92,187	38,235	995,941	765,185
2015-09-03	$51.84	$52.50	30.9%	8.9%	36.5%	65.1%	31.8%	6.8%	-0.4%	16.1M	142.8M	-13.1M	0.72	8.16	50,279	36,286	1,042,788	775,663
2015-09-04	$50.74	$52.50	35.5%	10.3%	36.9%	82.0%	34.9%	8.5%	-0.9%	3.9M	410.0M	-12.9M	1.24	5.57	64,589	79,810	1,050,016	780,182
2015-09-08	$51.65	$52.50	31.1%	8.9%	37.3%	65.8%	32.3%	7.8%	-1.1%	13.9M	184.1M	-12.7M	0.76	6.28	30,583	23,164	1,043,963	750,251
2015-09-09	$50.78	$52.50	30.9%	9.6%	37.3%	64.8%	31.4%	7.5%	3.4%	4.9M	404.6M	-12.3M	0.64	4.70	51,180	32,884	1,057,939	749,501
2015-09-10	$51.06	$52.50	30.4%	9.2%	37.5%	63.0%	31.7%	6.7%	1.9%	6.0M	372.3M	-11.9M	0.85	5.30	39,964	34,123	1,068,560	757,704
2015-09-11	$50.92	$52.50	30.1%	9.0%	37.2%	62.1%	30.4%	6.7%	1.7%	5.8M	417.4M	-11.9M	1.00	4.34	33,549	33,704	1,074,992	764,576
2015-09-14	$50.88	$52.50	30.6%	8.9%	37.1%	63.7%	29.9%	6.0%	-1.5%	4.9M	364.5M	-11.7M	0.88	4.56	40,075	35,285	1,049,724	731,074
2015-09-15	$52.00	$52.50	28.0%	8.1%	38.3%	54.3%	27.6%	6.5%	-0.6%	20.1M	56.9M	-12.2M	0.56	6.12	102,884	57,159	1,064,947	743,269
2015-09-16	$52.54	$52.50	26.5%	7.6%	38.6%	48.8%	26.1%	6.2%	-0.2%	32.5M	-148.1M	-12.2M	0.89	6.88	64,997	57,895	1,107,569	761,897
2015-09-17	$51.58	$52.50	26.6%	7.6%	38.9%	48.9%	26.8%	5.6%	-0.7%	12.7M	234.5M	-11.7M	0.56	8.94	74,791	42,039	1,113,972	776,804
2015-09-18	$50.24	$52.50	28.5%	8.2%	38.9%	56.0%	27.4%	5.3%	-1.5%	10.2M	581.7M	-11.1M	0.58	5.98	105,449	61,639	1,123,923	782,588
2015-09-21	$50.71	$52.50	26.1%	7.5%	37.9%	47.1%	25.9%	5.8%	0.1%	14.0M	198.7M	-11.0M	0.65	7.27	54,155	35,348	911,617	622,668
2015-09-22	$49.99	$52.50	28.3%	8.4%	33.0%	55.4%	28.8%	5.1%	0.1%	11.8M	333.5M	-11.0M	0.51	5.18	61,509	31,160	926,853	637,708
2015-09-23	$50.16	$52.50	28.6%	8.5%	32.8%	56.6%	29.9%	5.4%	-0.3%	16.2M	280.5M	-11.2M	0.55	5.14	54,682	29,849	964,690	661,007
2015-09-24	$49.11	$52.50	31.9%	9.5%	30.9%	68.6%	32.9%	5.4%	-1.1%	7.0M	531.8M	-10.9M	0.51	7.63	79,428	40,790	981,461	666,604
2015-09-25	$50.60	$52.50	29.1%	8.7%	32.0%	58.2%	31.0%	5.2%	-0.4%	21.1M	98.4M	-11.5M	0.60	6.88	74,806	45,216	1,005,779	677,303
2015-09-28	$49.16	$52.50	34.1%	10.6%	33.3%	76.7%	36.2%	5.8%	-1.3%	10.1M	431.5M	-11.1M	0.46	7.89	109,332	49,869	976,213	637,532
2015-09-29	$48.93	$52.50	34.8%	10.6%	33.0%	79.3%	36.4%	5.8%	-0.9%	9.9M	518.1M	-11.0M	0.64	6.72	70,781	45,549	990,268	657,625
2015-09-30	$49.64	$52.50	32.1%	9.8%	27.6%	69.5%	33.9%	5.6%	-0.6%	16.5M	390.8M	-11.5M	0.57	8.62	63,909	36,547	1,013,908	677,778