C Options History — February 2016

In February 2016, C traded between $35.04 and $42.55. ATM implied volatility averaged 38.8%, placing in the 72.4% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 10.7% (HV 20d: 49.6%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2016-02-11: Highest Volume — 234,230 contracts
  • 2016-02-08: Largest IV spike — 20.7% change
  • 2016-02-08: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.92$35.04$42.55$42.55$38.97
Max Pain$44.38$42.50$45.00$45.00$42.50
ATM IV38.8%30.2%52.4%30.2%35.4%
Expected Move11.3%9.0%14.9%9.0%10.7%
HV 20d49.6%42.8%55.6%42.8%52.7%
HV 60d37.6%32.8%41.3%32.8%41.2%
IV Rank72.4%50.1%100.0%59.2%54.2%
IV Percentile95.5%85.3%100.0%85.3%91.3%
Term Structure0.0%-0.8%1.3%0.1%-0.1%
VWIV40.1%31.7%52.5%31.7%36.7%
Skew 25d7.4%4.8%9.7%4.8%6.0%
Skew 10d15.1%10.7%21.8%18.2%10.7%
Call IV 25d36.2%28.5%48.4%28.5%32.8%
Put IV 25d43.6%33.3%58.1%33.3%38.9%
Bid-Ask Spread %8.425.0413.5413.547.83
Gamma HHI0.070.050.120.070.07
Net GEX6.6M-9.9M24.0M24.0M8.2M
Net DEX750.0M336.1M1.23B336.1M592.3M
Net VEX-9.0M-10.0M-7.5M-9.1M-9.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.471.991.220.69
Total Volume123,883.465,574234,23070,10265,574
Total OI1,784,640.851,585,3432,071,0251,585,3431,662,368

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$42.55$45.0030.2%9.0%42.8%59.2%31.7%4.8%0.1%24.0M336.1M-9.1M1.2213.5431,61938,483984,127601,216
2016-02-02$40.40$45.0035.9%10.9%45.2%82.2%36.8%6.6%-0.4%11.2M692.8M-8.4M1.599.0543,75069,488994,337612,709
2016-02-03$40.37$45.0037.5%11.4%45.3%88.4%41.7%6.0%0.0%6.4M726.3M-8.6M1.0410.82112,731117,7161,007,848650,632
2016-02-04$40.75$45.0037.2%10.7%45.9%87.1%36.5%6.3%-0.7%16.7M571.9M-8.9M1.286.4463,71481,2391,054,435698,450
2016-02-05$39.66$45.0037.8%10.7%44.3%89.7%41.5%7.6%-0.6%4.6M849.1M-8.6M1.759.3746,75982,0051,058,744734,271
2016-02-08$37.81$45.0045.7%13.0%45.5%100.0%43.9%8.1%0.2%-784.3K957.1M-8.2M0.6510.8074,86148,7681,034,023720,331
2016-02-09$37.49$45.0046.4%13.2%44.4%100.0%44.5%9.2%-0.1%-566.5K988.6M-8.1M1.128.4761,98069,6781,056,747730,255
2016-02-10$37.53$45.0044.7%12.7%44.3%94.5%42.5%8.8%0.5%-768.7K975.9M-8.5M1.199.2947,58156,4211,088,054756,089
2016-02-11$35.04$45.0052.4%14.9%47.7%100.0%52.5%9.7%-0.1%-9.9M1.23B-7.5M0.736.64135,26398,9671,097,337790,680
2016-02-12$37.51$45.0046.8%13.5%55.6%84.8%46.6%8.9%0.6%6.1M894.1M-8.9M0.475.04102,41548,6241,176,167811,523
2016-02-16$38.86$45.0040.6%11.6%53.8%68.3%44.2%9.5%0.6%9.6M737.7M-9.5M0.646.9473,55447,4191,162,323792,327
2016-02-17$39.72$45.0036.7%10.5%54.6%57.7%37.0%8.6%0.3%21.0M574.7M-10.0M0.586.2189,33251,6441,203,195809,741
2016-02-18$38.88$45.0036.1%10.3%53.4%56.0%40.0%8.4%1.2%9.4M797.0M-9.4M1.996.4636,18472,0021,214,691824,050
2016-02-19$38.94$45.0035.0%9.9%53.4%53.0%35.7%7.2%1.3%-4.1M847.7M-9.2M0.936.1484,77878,9901,222,434848,591
2016-02-22$39.52$45.0033.9%9.9%53.2%50.1%34.5%6.1%-0.4%11.8M551.1M-9.7M0.539.2764,36634,021999,757609,474
2016-02-23$38.27$42.5036.0%10.6%52.5%55.7%36.9%6.5%-0.8%3.1M740.6M-9.1M0.856.8836,40130,9151,031,481622,204
2016-02-24$38.09$42.5038.0%11.2%51.6%61.1%39.6%6.6%-0.3%1.5M751.7M-9.2M0.727.7151,77037,5201,042,245628,922
2016-02-25$38.54$42.5035.8%10.6%51.9%55.3%42.2%6.6%-0.3%1.5M690.4M-9.4M0.779.6146,39735,5241,032,507643,662
2016-02-26$39.55$42.5034.4%10.3%52.8%51.5%36.0%6.5%-0.8%13.0M497.0M-9.8M0.5111.8572,40536,8101,034,069650,801
2016-02-29$38.97$42.5035.4%10.7%52.7%54.2%36.7%6.0%-0.1%8.2M592.3M-9.5M0.697.8338,78826,7861,028,832633,536