C Options History — May 2016

In May 2016, C traded between $43.07 and $46.94. ATM implied volatility averaged 26.8%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.9% (HV 20d: 27.7%). Max pain ranged from $43.50 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2016-05-18: Highest Volume — 179,281 contracts
  • 2016-05-04: Largest IV spike — 9.9% change
  • 2016-05-05: Highest IV Rank — 38.4%
  • 2016-05-04: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.00$43.07$46.94$46.63$46.62
Max Pain$46.14$43.50$47.50$43.50$47.00
ATM IV26.8%23.7%29.6%25.0%25.7%
Expected Move7.6%6.3%8.8%7.2%7.3%
HV 20d27.7%20.6%32.4%30.0%30.6%
HV 60d31.5%28.5%37.3%37.3%28.5%
IV Rank30.9%21.7%38.4%26.3%27.2%
IV Percentile54.8%38.9%67.5%50.4%48.4%
Term Structure0.5%-0.1%1.5%0.3%0.8%
VWIV26.5%22.3%30.8%26.5%25.0%
Skew 25d4.3%3.4%5.0%4.0%3.9%
Skew 10d7.8%4.3%10.0%8.9%6.6%
Call IV 25d25.0%22.2%28.0%23.5%24.3%
Put IV 25d29.3%25.6%32.2%27.5%28.2%
Bid-Ask Spread %6.052.6919.594.7519.59
Gamma HHI0.140.080.490.130.16
Net GEX36.7M4.0M112.0M58.7M53.7M
Net DEX-263.8M-813.1M259.9M-794.7M-656.8M
Net VEX-12.4M-13.0M-11.5M-12.8M-12.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.461.321.100.46
Total Volume82,863.33327,071179,28159,86296,114
Total OI1,766,496.0951,667,5531,917,2671,694,4081,727,645

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$46.63$43.5025.0%7.2%30.0%26.3%26.5%4.0%0.3%58.7M-794.7M-12.8M1.104.7528,48631,3761,021,093673,315
2016-05-03$45.54$44.5026.5%7.7%31.3%30.3%28.0%3.6%0.2%44.9M-414.7M-12.6M1.094.6837,99041,4091,029,571688,884
2016-05-04$44.67$45.0029.1%8.8%32.4%37.4%30.8%3.9%0.4%27.9M-150.1M-12.5M0.645.3758,66337,2521,031,728702,485
2016-05-05$44.20$47.5029.6%8.5%28.5%38.4%30.6%4.7%0.4%20.9M-30.3M-12.4M1.293.4339,60151,0551,052,493715,695
2016-05-06$44.38$47.5028.3%8.3%28.4%35.1%29.2%3.8%0.7%14.4M-69.0M-12.5M0.663.8049,55932,6131,067,717735,542
2016-05-09$43.84$47.5027.1%7.7%28.5%31.7%26.2%4.6%-0.1%13.7M69.1M-12.0M0.553.4148,95926,7471,019,508723,214
2016-05-10$44.81$47.5026.0%7.6%29.0%28.8%27.4%3.5%0.4%25.2M-248.7M-12.3M0.712.6938,37127,1861,033,765720,192
2016-05-11$44.47$45.0027.2%7.7%21.1%32.2%27.8%4.9%0.2%24.5M-169.6M-12.3M0.743.9041,94031,0191,046,037729,457
2016-05-12$44.00$45.0027.1%7.7%20.6%31.9%27.3%4.4%0.2%20.8M-24.1M-12.3M0.935.5331,54329,1921,062,464736,538
2016-05-13$43.07$45.0029.0%8.5%21.8%37.0%28.5%4.4%1.3%4.0M259.9M-11.8M0.854.1145,49138,7731,073,756738,805
2016-05-16$43.13$45.0028.5%8.2%21.8%35.7%27.8%4.4%0.6%4.8M238.2M-11.5M0.914.4227,43124,9441,055,179736,488
2016-05-17$43.33$45.0029.0%8.4%21.4%36.9%27.6%4.5%0.6%6.9M192.8M-11.8M1.323.8611,68715,3841,061,229745,892
2016-05-18$45.84$45.0027.0%7.7%28.4%31.5%25.3%4.7%0.4%37.2M-592.0M-12.8M0.525.97117,76261,5191,057,794760,935
2016-05-19$45.07$45.0027.0%7.7%29.0%31.5%26.1%5.0%1.5%32.6M-342.5M-12.7M0.806.2166,56952,9381,081,537783,766
2016-05-20$44.91$47.5026.1%7.4%28.8%29.1%24.4%4.7%0.4%112.0M-198.3M-12.3M0.686.5076,41751,9821,106,917810,350
2016-05-23$45.09$47.5025.8%7.2%28.8%28.4%25.5%4.6%0.3%35.4M-212.7M-12.3M0.707.6234,22124,1031,000,640666,913
2016-05-24$45.89$47.5025.2%6.8%29.4%26.4%23.8%4.6%0.6%48.8M-468.4M-12.5M0.577.0645,58225,8411,014,039673,305
2016-05-25$46.94$47.0025.0%6.7%30.4%25.7%23.6%4.3%0.3%55.0M-813.1M-13.0M0.838.0757,13947,3541,027,075681,183
2016-05-26$46.11$47.5024.9%6.8%30.7%25.3%23.4%4.1%0.7%47.5M-484.4M-12.5M0.776.9538,75229,8691,039,165703,096
2016-05-27$46.52$47.0023.7%6.3%30.7%21.7%22.3%3.4%0.3%82.1M-630.3M-12.7M0.669.0440,48626,8111,051,098709,913
2016-05-31$46.62$47.0025.7%7.3%30.6%27.2%25.0%3.9%0.8%53.7M-656.8M-12.8M0.4619.5965,94230,1721,034,265693,380