C Options History — March 2016

In March 2016, C traded between $41.06 and $43.74. ATM implied volatility averaged 30.4%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 9.6% (HV 20d: 40.0%). Max pain ranged from $42.50 to $42.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.89.

Notable Days

2016-03-02: Highest Volume — 201,099 contracts
2016-03-08: Largest IV spike — 6.7% change
2016-03-01: Highest IV Rank — 48.0%
2016-03-09: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.27	$41.06	$43.74	$41.22	$41.77
Max Pain	$42.50	$42.50	$42.50	$42.50	$42.50
ATM IV	30.4%	28.1%	33.1%	33.1%	28.8%
Expected Move	9.1%	8.1%	10.4%	10.2%	8.9%
HV 20d	40.0%	24.7%	55.0%	55.0%	24.7%
HV 60d	43.0%	42.5%	43.9%	43.0%	42.7%
IV Rank	40.8%	34.6%	48.0%	48.0%	36.4%
IV Percentile	75.8%	67.1%	85.7%	85.7%	68.7%
Term Structure	0.4%	-1.0%	3.8%	-0.2%	-0.5%
VWIV	32.2%	28.5%	36.2%	35.0%	31.4%
Skew 25d	5.2%	4.2%	7.1%	7.1%	4.2%
Skew 10d	11.6%	5.7%	23.5%	23.5%	8.2%
Call IV 25d	28.3%	26.2%	30.6%	30.3%	26.8%
Put IV 25d	33.5%	30.5%	37.3%	37.3%	31.1%
Bid-Ask Spread %	3.83	2.35	7.56	6.79	2.72
Gamma HHI	0.08	0.06	0.11	0.07	0.11
Net GEX	28.4M	8.4M	53.4M	28.6M	8.4M
Net DEX	59.2M	-249.7M	325.3M	166.2M	325.3M
Net VEX	-10.7M	-11.5M	-10.0M	-10.5M	-10.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.41	1.56	0.48	0.77
Total Volume	95,983.636	50,054	201,099	113,042	119,176
Total OI	1,695,092.091	1,475,422	1,830,876	1,681,316	1,628,482

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
2016-03-01	$41.22	$42.50	33.1%	10.2%	55.0%	48.0%	35.0%	7.1%	-0.2%	28.6M	166.2M	-10.5M	0.48	6.79	76,367	36,675	1,042,266	639,050
2016-03-02	$42.13	$42.50	32.0%	9.7%	52.2%	45.1%	35.7%	7.0%	-0.1%	38.5M	-79.4M	-10.9M	0.49	6.47	134,973	66,126	1,060,817	651,299
2016-03-03	$42.78	$42.50	30.3%	9.1%	52.4%	40.4%	31.8%	5.8%	-0.5%	44.9M	-233.9M	-11.5M	0.44	4.89	79,633	34,711	1,091,985	674,377
2016-03-04	$42.86	$42.50	29.8%	9.2%	52.4%	39.0%	31.4%	5.9%	0.9%	36.8M	-249.7M	-11.4M	0.41	7.56	115,746	47,040	1,097,983	683,136
2016-03-07	$42.51	$42.50	30.6%	9.2%	51.4%	41.1%	33.1%	5.5%	1.6%	35.5M	-51.9M	-11.2M	0.46	4.22	42,501	19,643	1,078,640	668,916
2016-03-08	$41.09	$42.50	32.6%	10.3%	49.7%	46.6%	35.5%	5.3%	3.8%	26.9M	268.6M	-10.7M	0.88	3.90	43,928	38,776	1,092,771	671,544
2016-03-09	$41.06	$42.50	32.6%	10.4%	49.6%	46.6%	36.2%	5.8%	3.7%	24.2M	305.4M	-10.7M	1.03	4.05	26,458	27,197	1,097,323	688,774
2016-03-10	$41.27	$42.50	32.1%	9.4%	49.5%	45.3%	34.8%	5.8%	0.3%	27.2M	260.2M	-10.7M	0.97	4.28	44,154	42,769	1,103,525	689,505
2016-03-11	$42.90	$42.50	30.4%	9.2%	42.6%	40.8%	32.4%	5.6%	2.4%	53.4M	-178.2M	-11.2M	0.52	3.55	60,148	31,246	1,104,358	697,752
2016-03-14	$42.55	$42.50	32.3%	9.4%	37.1%	45.8%	33.6%	6.0%	-0.6%	38.0M	-60.6M	-11.1M	1.56	4.08	19,573	30,481	1,101,038	687,090
2016-03-15	$42.55	$42.50	32.0%	9.3%	35.5%	45.1%	33.5%	5.5%	-0.5%	37.3M	-43.6M	-10.8M	1.56	2.91	26,485	41,189	1,104,011	700,015
2016-03-16	$42.23	$42.50	30.3%	8.7%	35.1%	40.6%	32.9%	4.8%	1.2%	36.6M	67.4M	-10.5M	0.87	3.85	70,506	61,560	1,111,299	706,863
2016-03-17	$42.45	$42.50	29.6%	8.5%	33.9%	38.7%	30.2%	4.3%	0.2%	28.3M	78.6M	-10.6M	0.66	3.39	49,375	32,544	1,095,407	731,493
2016-03-18	$43.49	$42.50	29.5%	8.5%	34.6%	38.3%	29.8%	5.1%	-1.0%	35.9M	-242.8M	-10.7M	0.99	2.93	61,437	60,655	1,093,680	737,196
2016-03-21	$43.74	$42.50	28.7%	8.2%	34.5%	36.2%	28.5%	5.4%	-0.8%	31.1M	-147.7M	-10.6M	1.00	3.01	28,482	28,482	886,070	589,352
2016-03-22	$43.40	$42.50	28.1%	8.1%	32.0%	34.6%	30.7%	4.3%	-0.4%	29.3M	-86.0M	-10.6M	1.38	2.35	22,727	31,441	896,873	596,906
2016-03-23	$42.49	$42.50	29.1%	8.5%	33.2%	37.3%	29.5%	4.4%	0.3%	16.8M	133.7M	-10.4M	1.05	2.61	45,982	48,357	904,437	608,687
2016-03-24	$41.87	$42.50	29.5%	8.6%	33.9%	38.4%	30.6%	4.2%	-0.0%	11.9M	245.7M	-10.5M	0.87	2.51	55,852	48,454	930,477	630,907
2016-03-28	$41.97	$42.50	29.7%	8.9%	32.9%	38.9%	31.2%	4.6%	-0.2%	12.0M	230.8M	-10.4M	1.19	2.76	27,807	33,001	931,986	622,531
2016-03-29	$41.66	$42.50	29.6%	8.8%	32.5%	38.6%	31.4%	4.2%	-0.3%	9.4M	323.6M	-10.0M	0.86	2.75	53,462	46,131	939,978	626,254
2016-03-30	$41.91	$42.50	28.4%	8.6%	25.9%	35.3%	29.9%	4.4%	0.3%	12.8M	271.1M	-10.0M	1.16	2.64	46,576	53,814	955,139	641,834
2016-03-31	$41.77	$42.50	28.8%	8.9%	24.7%	36.4%	31.4%	4.2%	-0.5%	8.4M	325.3M	-10.0M	0.77	2.72	67,240	51,936	969,875	658,607