C Options History — December 2015

In December 2015, C traded between $51.03 and $55.06. ATM implied volatility averaged 24.1%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 1.6% (HV 20d: 25.7%). Max pain ranged from $54.50 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.02.

Notable Days

2015-12-16: Highest Volume — 133,190 contracts
2015-12-11: Largest IV spike — 23.4% change
2015-12-14: Highest IV Rank — 62.2%
2015-12-11: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.84	$51.03	$55.06	$54.88	$51.99
Max Pain	$54.95	$54.50	$55.00	$54.50	$55.00
ATM IV	24.1%	20.1%	30.9%	21.1%	23.7%
Expected Move	7.3%	6.5%	9.2%	6.5%	7.4%
HV 20d	25.7%	21.9%	28.5%	23.6%	27.9%
HV 60d	26.4%	25.5%	27.7%	25.7%	26.1%
IV Rank	35.0%	19.2%	62.2%	23.2%	33.5%
IV Percentile	69.0%	35.3%	94.4%	47.6%	72.6%
Term Structure	0.4%	-1.5%	3.0%	-0.1%	-0.4%
VWIV	25.4%	22.5%	30.4%	23.2%	27.1%
Skew 25d	4.1%	2.7%	5.8%	3.2%	4.7%
Skew 10d	8.1%	4.6%	11.8%	7.7%	9.4%
Call IV 25d	22.6%	18.9%	28.5%	19.7%	22.0%
Put IV 25d	26.6%	21.8%	34.0%	22.9%	26.6%
Bid-Ask Spread %	7.14	3.94	10.57	7.76	3.94
Gamma HHI	0.11	0.08	0.17	0.11	0.10
Net GEX	30.9M	2.5M	79.1M	57.0M	15.9M
Net DEX	-332.5M	-1.27B	385.5M	-1.03B	-22.1M
Net VEX	-11.9M	-13.4M	-10.7M	-13.0M	-10.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.56	1.83	0.56	0.96
Total Volume	72,305.364	36,577	133,190	36,577	60,508
Total OI	1,745,502.364	1,646,349	1,866,648	1,691,468	1,700,344

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
2015-12-01	$54.88	$54.50	21.1%	6.5%	23.6%	23.2%	23.2%	3.2%	-0.1%	57.0M	-1.03B	-13.0M	0.56	7.76	23,498	13,079	1,027,929	663,539
2015-12-02	$54.11	$54.50	21.1%	6.7%	24.1%	23.3%	23.8%	3.0%	0.4%	45.4M	-731.1M	-12.9M	1.36	5.89	34,080	46,480	1,037,948	669,620
2015-12-03	$53.56	$55.00	22.8%	7.4%	24.1%	29.9%	24.1%	3.7%	0.0%	31.6M	-528.8M	-12.9M	0.76	6.51	47,184	35,966	1,050,143	688,272
2015-12-04	$55.06	$55.00	20.1%	6.5%	25.8%	19.2%	22.5%	2.9%	0.6%	79.1M	-1.27B	-13.4M	1.09	7.22	42,463	46,351	1,070,444	692,548
2015-12-07	$54.40	$55.00	20.9%	6.7%	23.8%	22.5%	24.1%	2.7%	2.1%	53.0M	-851.0M	-13.0M	1.38	6.01	21,529	29,669	1,056,279	677,157
2015-12-08	$53.44	$55.00	22.7%	7.4%	24.5%	29.4%	25.3%	3.5%	3.0%	34.1M	-513.8M	-12.7M	1.05	5.87	30,839	32,299	1,062,931	691,981
2015-12-09	$52.82	$55.00	23.9%	7.5%	24.7%	34.5%	25.8%	3.6%	2.4%	24.3M	-248.2M	-12.3M	0.94	9.72	35,045	33,024	1,074,294	695,363
2015-12-10	$52.61	$55.00	24.5%	7.5%	24.6%	36.6%	26.4%	3.9%	2.1%	23.2M	-222.9M	-12.4M	1.27	8.82	31,987	40,560	1,084,209	700,494
2015-12-11	$51.03	$55.00	30.2%	9.2%	21.9%	59.4%	30.4%	5.8%	2.7%	2.5M	308.5M	-11.9M	1.22	6.66	53,628	65,343	1,093,406	711,198
2015-12-14	$51.09	$55.00	30.9%	9.0%	21.9%	62.2%	29.1%	5.5%	-1.0%	3.6M	238.3M	-11.7M	0.64	5.73	59,555	37,983	1,089,803	711,515
2015-12-15	$52.54	$55.00	27.8%	8.1%	24.1%	49.9%	27.2%	5.0%	-1.1%	21.2M	-263.4M	-12.2M	0.76	5.34	50,127	38,278	1,088,755	720,250
2015-12-16	$53.96	$55.00	23.5%	6.7%	26.0%	32.5%	24.5%	4.2%	0.5%	52.7M	-755.7M	-12.3M	0.60	10.57	83,070	50,120	1,101,552	727,991
2015-12-17	$52.95	$55.00	25.3%	7.3%	25.1%	39.6%	26.0%	4.1%	-1.5%	23.1M	-395.4M	-11.9M	1.49	7.47	30,569	45,511	1,113,793	745,440
2015-12-18	$51.28	$55.00	26.2%	7.5%	27.2%	43.3%	27.2%	5.6%	-0.7%	11.0M	385.5M	-11.0M	1.02	7.73	45,713	46,502	1,117,491	749,157
2015-12-21	$51.74	$55.00	25.6%	7.3%	27.5%	41.1%	26.4%	4.0%	-0.3%	13.4M	23.5M	-11.1M	0.75	10.45	36,591	27,451	996,059	650,290
2015-12-22	$51.99	$55.00	24.5%	7.2%	27.6%	36.7%	25.2%	3.9%	0.2%	21.2M	-58.1M	-11.1M	0.94	7.16	35,263	32,974	1,006,170	661,191
2015-12-23	$52.58	$55.00	23.3%	6.7%	28.0%	31.9%	23.4%	3.9%	0.1%	34.0M	-270.6M	-11.4M	1.34	8.60	28,793	38,466	1,018,345	675,308
2015-12-24	$52.71	$55.00	23.0%	6.6%	28.0%	30.7%	23.0%	3.8%	0.1%	31.6M	-311.6M	-11.5M	1.83	6.01	16,898	30,882	1,027,306	691,478
2015-12-28	$52.39	$55.00	23.4%	7.1%	28.0%	32.2%	24.9%	4.0%	0.1%	28.8M	-194.7M	-10.9M	0.74	6.67	22,425	16,559	1,009,705	668,799
2015-12-29	$53.05	$55.00	22.2%	6.7%	28.5%	27.7%	24.4%	4.2%	-0.3%	44.0M	-431.9M	-11.1M	0.65	5.89	32,018	20,873	1,017,337	671,296
2015-12-30	$52.33	$55.00	23.0%	7.0%	28.2%	30.6%	25.6%	4.7%	-0.3%	28.0M	-163.3M	-11.0M	1.03	7.05	19,956	20,609	1,019,829	674,093
2015-12-31	$51.99	$55.00	23.7%	7.4%	27.9%	33.5%	27.1%	4.7%	-0.4%	15.9M	-22.1M	-10.7M	0.96	3.94	30,868	29,640	1,024,258	676,086