C Options History — October 2015

In October 2015, C traded between $49.50 and $54.67. ATM implied volatility averaged 23.5%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.1% (HV 20d: 26.6%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2015-10-02: Highest Volume — 202,405 contracts
2015-10-15: Largest IV drop — 18.8% change
2015-10-01: Highest IV Rank — 69.2%
2015-10-01: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.07	$49.50	$54.67	$49.50	$53.28
Max Pain	$51.48	$50.00	$52.50	$52.50	$52.50
ATM IV	23.5%	18.6%	32.1%	32.1%	19.4%
Expected Move	6.8%	5.4%	9.8%	9.8%	5.7%
HV 20d	26.6%	23.7%	29.2%	26.7%	28.2%
HV 60d	29.1%	27.9%	30.9%	29.0%	30.9%
IV Rank	37.6%	19.6%	69.2%	69.2%	22.7%
IV Percentile	62.5%	34.5%	96.4%	96.4%	40.5%
Term Structure	-0.1%	-1.0%	0.8%	-1.0%	0.8%
VWIV	23.8%	19.5%	34.2%	34.2%	20.8%
Skew 25d	3.9%	2.3%	6.2%	5.6%	2.7%
Skew 10d	7.6%	0.9%	11.7%	10.7%	1.8%
Call IV 25d	22.0%	17.9%	30.1%	30.1%	18.8%
Put IV 25d	25.9%	20.3%	35.7%	35.7%	21.4%
Bid-Ask Spread %	8.57	5.86	14.40	5.86	7.82
Gamma HHI	0.09	0.06	0.18	0.06	0.10
Net GEX	38.5M	13.4M	80.4M	14.3M	41.1M
Net DEX	-289.5M	-1.11B	408.0M	408.0M	-546.6M
Net VEX	-12.2M	-13.5M	-11.4M	-11.5M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.39	1.14	0.58	1.03
Total Volume	93,497.682	45,245	202,405	65,015	74,931
Total OI	1,699,197.045	1,579,090	1,792,072	1,700,888	1,701,462

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
2015-10-01	$49.50	$52.50	32.1%	9.8%	26.7%	69.2%	34.2%	5.6%	-1.0%	14.3M	408.0M	-11.5M	0.58	5.86	41,023	23,992	1,019,653	681,235
2015-10-02	$49.75	$52.50	30.9%	9.6%	26.7%	65.1%	33.5%	4.9%	-0.9%	13.4M	342.9M	-11.4M	0.46	8.83	139,082	63,323	1,026,139	683,846
2015-10-05	$51.16	$50.00	27.4%	7.8%	27.7%	52.0%	25.2%	4.6%	-0.2%	28.8M	-68.6M	-12.2M	0.39	7.11	61,214	23,695	1,031,631	670,713
2015-10-06	$51.04	$50.00	27.8%	7.9%	26.9%	53.6%	26.4%	5.1%	-0.5%	33.0M	-60.4M	-12.3M	0.40	7.17	65,818	26,621	1,056,279	678,928
2015-10-07	$51.25	$50.00	27.3%	7.7%	26.2%	51.6%	25.9%	5.0%	-0.8%	34.2M	-104.0M	-12.3M	0.41	7.37	63,888	26,083	1,054,258	685,091
2015-10-08	$51.61	$50.00	26.9%	7.2%	26.3%	50.1%	28.4%	5.1%	-0.6%	39.3M	-224.4M	-12.3M	0.49	7.99	59,351	28,817	1,055,317	689,477
2015-10-09	$51.19	$50.00	27.2%	7.7%	26.4%	51.2%	26.9%	6.2%	-0.3%	27.1M	-51.4M	-12.2M	0.85	7.92	41,177	35,064	1,067,887	696,723
2015-10-12	$51.22	$50.00	25.6%	7.5%	26.4%	45.5%	25.5%	4.7%	0.2%	31.5M	-26.5M	-11.7M	0.86	7.52	37,433	32,187	1,044,133	679,990
2015-10-13	$51.23	$50.00	26.5%	7.7%	25.2%	48.7%	24.8%	4.7%	0.5%	31.8M	-47.8M	-11.9M	0.86	8.22	40,272	34,735	1,055,010	689,498
2015-10-14	$50.68	$50.00	26.6%	7.7%	25.1%	49.0%	25.8%	5.0%	0.1%	23.9M	139.0M	-11.5M	0.64	9.14	75,633	48,607	1,059,270	693,919
2015-10-15	$52.99	$50.00	21.6%	6.2%	29.2%	30.6%	21.1%	3.9%	0.4%	80.4M	-781.9M	-12.6M	0.60	9.60	102,090	60,987	1,076,958	707,220
2015-10-16	$52.71	$52.50	20.4%	5.8%	27.4%	26.2%	20.0%	3.5%	-0.1%	74.8M	-608.5M	-12.3M	0.57	6.58	87,303	49,937	1,069,811	722,261
2015-10-19	$52.84	$52.50	20.3%	5.8%	27.3%	25.7%	20.7%	3.2%	-0.3%	43.6M	-515.7M	-12.3M	0.84	10.20	40,583	34,285	952,728	626,362
2015-10-20	$52.99	$52.50	20.1%	5.8%	26.6%	25.3%	21.2%	3.0%	0.1%	42.4M	-529.9M	-12.6M	0.63	6.80	40,824	25,884	966,481	638,914
2015-10-21	$51.84	$52.50	20.7%	5.9%	28.0%	27.3%	21.9%	3.3%	0.1%	28.1M	-158.5M	-12.0M	1.01	10.20	45,727	46,077	986,880	648,339
2015-10-22	$52.43	$52.50	19.3%	5.5%	26.9%	22.3%	20.0%	3.0%	-0.4%	29.6M	-266.4M	-12.1M	0.62	14.40	55,710	34,795	991,631	665,620
2015-10-23	$53.66	$52.50	18.6%	5.4%	26.1%	19.6%	19.5%	2.4%	-0.2%	43.0M	-688.4M	-12.6M	0.66	7.06	56,870	37,788	1,008,949	675,604
2015-10-26	$53.19	$52.50	19.2%	5.6%	23.7%	21.8%	20.5%	2.5%	0.4%	39.2M	-388.2M	-11.8M	1.14	6.38	23,256	26,605	983,222	655,737
2015-10-27	$52.62	$52.50	19.9%	5.7%	24.1%	24.4%	20.6%	2.9%	0.4%	34.2M	-346.0M	-12.3M	0.70	6.87	26,540	18,705	989,295	665,685
2015-10-28	$54.67	$52.50	18.9%	5.6%	26.8%	20.6%	19.6%	2.3%	0.4%	63.2M	-1.11B	-13.5M	0.53	13.99	73,381	38,670	1,001,403	667,892
2015-10-29	$53.72	$52.50	20.3%	6.0%	27.9%	25.9%	21.1%	2.5%	0.4%	49.7M	-739.5M	-13.2M	0.67	11.48	52,578	35,408	985,907	674,977
2015-10-30	$53.28	$52.50	19.4%	5.7%	28.2%	22.7%	20.8%	2.7%	0.8%	41.1M	-546.6M	-12.7M	1.03	7.82	36,828	38,103	1,012,860	688,602