C Options History — January 2016

In January 2016, C traded between $39.48 and $51.13. ATM implied volatility averaged 32.7%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.8% (HV 20d: 33.6%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.78.

Notable Days

2016-01-20: Highest Volume — 246,186 contracts
2016-01-07: Largest IV spike — 16.9% change
2016-01-15: Highest IV Rank — 84.8%
2016-01-20: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.14	$39.48	$51.13	$51.13	$41.00
Max Pain	$48.42	$45.00	$52.50	$52.50	$45.00
ATM IV	32.7%	27.0%	36.6%	27.6%	32.0%
Expected Move	9.3%	7.6%	10.4%	7.9%	9.4%
HV 20d	33.6%	25.9%	39.0%	28.2%	39.0%
HV 60d	29.8%	26.3%	32.4%	26.3%	31.7%
IV Rank	69.4%	46.7%	84.8%	48.8%	66.5%
IV Percentile	94.2%	83.7%	98.8%	86.9%	90.5%
Term Structure	-0.8%	-1.6%	0.5%	-0.5%	-0.2%
VWIV	32.6%	25.2%	39.0%	26.2%	33.6%
Skew 25d	5.6%	3.9%	7.6%	4.0%	5.8%
Skew 10d	10.7%	4.7%	16.4%	11.2%	9.1%
Call IV 25d	30.6%	25.2%	34.9%	25.5%	29.8%
Put IV 25d	36.3%	29.6%	40.7%	29.6%	35.5%
Bid-Ask Spread %	9.70	5.41	13.67	9.54	7.39
Gamma HHI	0.10	0.06	0.31	0.09	0.08
Net GEX	686.0K	-18.5M	25.9M	11.3M	25.9M
Net DEX	912.7M	208.9M	1.82B	208.9M	655.1M
Net VEX	-8.3M	-10.2M	-6.8M	-10.2M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.35	1.44	0.58	0.59
Total Volume	127,707.105	71,353	246,186	74,727	71,353
Total OI	1,631,816	1,193,065	1,990,368	1,686,738	1,610,043

Daily Data (19 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
2016-01-04	$51.13	$52.50	27.6%	7.9%	28.2%	48.8%	26.2%	4.0%	-0.5%	11.3M	208.9M	-10.2M	0.58	9.54	47,166	27,561	1,020,210	666,528
2016-01-05	$50.85	$52.50	27.0%	7.6%	25.9%	46.7%	25.2%	4.4%	-0.8%	8.3M	277.6M	-10.0M	0.88	10.44	61,805	54,679	1,036,876	676,014
2016-01-06	$50.14	$52.50	28.5%	7.9%	26.0%	52.8%	26.5%	4.7%	-0.5%	1.8M	454.7M	-10.0M	0.37	8.65	76,242	28,430	1,039,554	680,110
2016-01-07	$47.83	$52.50	33.4%	9.2%	29.9%	72.0%	31.2%	5.0%	-1.0%	-8.9M	945.8M	-9.1M	0.56	9.53	84,707	47,021	1,059,542	684,241
2016-01-08	$46.15	$50.00	35.1%	9.8%	31.7%	79.0%	32.2%	4.1%	-1.3%	-12.5M	1.26B	-8.4M	0.55	13.26	107,662	59,484	1,098,702	699,138
2016-01-11	$46.89	$50.00	33.1%	9.0%	32.7%	70.9%	31.6%	4.5%	-1.6%	-10.3M	1.07B	-9.0M	0.84	12.00	57,355	47,934	1,112,696	705,047
2016-01-12	$47.07	$50.00	31.0%	8.5%	31.5%	62.5%	30.0%	3.9%	-1.5%	-10.7M	1.04B	-9.1M	0.90	7.73	38,819	34,805	1,137,083	719,457
2016-01-13	$45.18	$50.00	35.5%	9.7%	34.0%	80.3%	33.4%	6.5%	-1.2%	-13.5M	1.38B	-8.3M	0.96	10.00	46,311	44,487	1,144,266	724,620
2016-01-14	$45.24	$50.00	32.3%	9.0%	31.7%	67.6%	34.8%	5.7%	-0.9%	-18.5M	1.41B	-8.2M	1.11	7.74	82,012	91,232	1,163,066	733,596
2016-01-15	$42.44	$50.00	36.6%	10.2%	34.9%	84.8%	36.9%	5.8%	-1.5%	-7.2M	1.82B	-7.0M	1.10	10.72	105,140	115,327	1,209,501	780,867
2016-01-19	$42.06	$47.50	32.4%	9.3%	34.8%	68.1%	34.6%	6.3%	-1.0%	-1.6M	759.9M	-7.3M	1.24	11.93	48,931	60,744	753,224	439,841
2016-01-20	$40.48	$47.50	36.2%	10.4%	35.4%	83.3%	36.9%	7.0%	0.5%	-3.6M	874.8M	-6.8M	0.72	12.48	142,783	103,403	771,684	469,089
2016-01-21	$40.26	$45.00	34.4%	9.9%	34.6%	75.9%	39.0%	7.6%	-1.1%	3.7M	925.9M	-6.9M	1.44	10.79	61,645	89,009	842,156	516,211
2016-01-22	$41.08	$45.00	32.1%	9.2%	36.1%	66.8%	31.6%	6.0%	-0.4%	19.9M	823.7M	-7.4M	0.79	5.41	93,167	73,842	854,367	577,164
2016-01-25	$39.48	$45.00	35.3%	10.3%	36.3%	79.7%	36.1%	7.4%	-0.8%	-2.0M	970.0M	-7.1M	0.80	6.27	64,898	51,618	857,284	597,075
2016-01-26	$40.45	$45.00	33.0%	9.7%	38.4%	70.3%	32.9%	6.5%	0.0%	5.9M	857.8M	-7.7M	0.43	8.10	82,583	35,776	891,284	620,754
2016-01-27	$40.55	$45.00	33.6%	9.9%	38.7%	72.6%	33.1%	6.1%	-0.5%	11.7M	796.6M	-7.9M	0.62	13.67	48,744	30,458	926,415	619,021
2016-01-28	$40.42	$45.00	33.1%	9.8%	37.7%	71.0%	33.8%	5.7%	-0.3%	13.2M	802.0M	-8.0M	0.35	8.59	81,259	28,043	943,311	624,467
2016-01-29	$41.00	$45.00	32.0%	9.4%	39.0%	66.5%	33.6%	5.8%	-0.2%	25.9M	655.1M	-8.2M	0.59	7.39	44,922	26,431	991,697	618,346