C Options History — June 2016

Name: C Options Analytics - June 2016
Creator: Options Analysis Suite

In June 2016, C traded between $38.58 and $46.91. ATM implied volatility averaged 31.3%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 1.2% (HV 20d: 32.5%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.91.

Notable Days

2016-06-24: Highest Volume — 236,402 contracts
2016-06-24: Largest IV spike — 24.9% change
2016-06-27: Highest IV Rank — 77.5%
2016-06-27: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.34	$38.58	$46.91	$46.91	$42.29
Max Pain	$44.93	$43.00	$47.00	$47.00	$43.00
ATM IV	31.3%	23.3%	44.1%	25.3%	31.2%
Expected Move	9.4%	6.9%	13.9%	6.9%	9.3%
HV 20d	32.5%	23.1%	50.8%	29.3%	50.8%
HV 60d	30.1%	27.3%	38.3%	28.5%	38.2%
IV Rank	42.4%	20.7%	77.5%	26.1%	42.2%
IV Percentile	70.7%	33.7%	98.0%	46.0%	73.4%
Term Structure	-0.2%	-2.3%	3.3%	-0.5%	-0.6%
VWIV	33.0%	25.2%	46.5%	25.2%	33.7%
Skew 25d	4.9%	2.6%	7.3%	3.5%	5.0%
Skew 10d	9.9%	4.3%	15.4%	13.8%	9.7%
Call IV 25d	29.5%	22.0%	40.5%	24.1%	29.6%
Put IV 25d	34.4%	25.6%	47.8%	27.7%	34.6%
Bid-Ask Spread %	7.52	4.54	15.07	9.55	9.26
Gamma HHI	0.12	0.08	0.34	0.14	0.08
Net GEX	8.5M	-47.0M	57.9M	52.7M	8.5M
Net DEX	299.2M	-720.2M	1.19B	-701.0M	287.1M
Net VEX	-11.6M	-12.6M	-10.0M	-12.6M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.43	2.11	0.63	0.96
Total Volume	127,100.909	54,349	236,402	75,421	133,646
Total OI	1,808,756.136	1,646,121	2,002,488	1,730,554	1,954,560

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
2016-06-01	$46.91	$47.00	25.3%	6.9%	29.3%	26.1%	25.2%	3.5%	-0.5%	52.7M	-701.0M	-12.6M	0.63	9.55	46,131	29,290	1,028,120	702,434
2016-06-02	$46.91	$45.00	24.1%	7.5%	28.3%	22.8%	26.7%	3.4%	-0.0%	57.9M	-720.2M	-12.6M	0.84	4.54	36,828	30,798	1,035,422	714,364
2016-06-03	$45.42	$45.00	25.3%	7.9%	30.6%	25.9%	28.2%	3.1%	-0.5%	27.5M	-171.8M	-11.9M	0.78	8.50	89,510	70,135	1,043,622	722,080
2016-06-06	$45.81	$45.00	23.8%	7.7%	30.7%	22.0%	26.7%	3.3%	3.3%	35.8M	-252.4M	-11.8M	0.60	7.29	49,473	29,763	1,017,782	729,705
2016-06-07	$45.56	$45.00	24.7%	7.7%	30.4%	24.3%	28.3%	2.6%	2.1%	31.6M	-149.7M	-11.7M	1.33	7.20	23,280	31,069	1,022,815	738,415
2016-06-08	$45.55	$45.00	23.3%	7.4%	29.4%	20.7%	26.5%	3.9%	2.1%	30.3M	-130.1M	-11.4M	0.78	5.36	61,912	48,373	1,025,200	746,433
2016-06-09	$45.07	$45.00	24.5%	7.6%	29.6%	23.8%	27.2%	3.7%	2.2%	16.7M	62.7M	-11.7M	0.90	6.06	49,015	43,922	1,046,046	775,056
2016-06-10	$43.98	$45.00	27.5%	8.2%	30.7%	31.9%	29.7%	4.0%	1.0%	13.0M	383.4M	-11.7M	1.04	8.19	42,760	44,584	1,064,099	785,736
2016-06-13	$43.16	$45.00	33.9%	9.8%	30.4%	49.5%	32.2%	5.6%	-2.3%	540.8K	488.9M	-11.6M	0.70	6.07	73,340	51,651	1,053,025	773,475
2016-06-14	$41.87	$45.00	36.1%	10.4%	32.3%	55.5%	35.5%	4.9%	-0.9%	-8.2M	765.4M	-11.1M	0.69	6.60	92,990	63,787	1,082,299	788,978
2016-06-15	$42.00	$45.00	34.7%	9.9%	32.2%	51.6%	34.1%	5.8%	-0.6%	-5.1M	752.8M	-11.3M	0.77	7.39	69,457	53,552	1,125,630	812,825
2016-06-16	$42.08	$45.00	34.0%	9.7%	24.0%	49.7%	35.3%	5.5%	0.6%	-7.5M	771.6M	-11.3M	2.11	5.29	54,697	115,368	1,130,377	822,674
2016-06-17	$42.46	$45.00	34.3%	9.9%	24.0%	50.5%	35.1%	5.8%	-1.2%	-47.0M	705.4M	-11.6M	1.92	8.25	56,475	108,387	1,144,064	858,424
2016-06-20	$42.80	$45.00	32.0%	9.5%	24.3%	44.2%	33.4%	5.3%	-0.8%	-3.2M	406.9M	-11.5M	1.06	7.25	45,630	48,494	900,277	745,844
2016-06-21	$42.94	$45.00	32.3%	9.7%	24.3%	45.2%	33.1%	5.3%	-0.7%	-516.0K	353.0M	-11.5M	0.90	5.43	39,357	35,517	919,617	745,376
2016-06-22	$42.73	$45.00	35.4%	10.9%	23.1%	53.6%	36.2%	6.4%	-1.6%	-1.4M	418.7M	-11.6M	0.65	5.66	71,055	46,065	931,522	756,692
2016-06-23	$44.46	$45.00	31.6%	9.7%	26.2%	43.3%	33.9%	5.3%	-2.1%	18.5M	-118.3M	-12.2M	0.56	11.25	106,915	59,467	955,498	765,209
2016-06-24	$40.44	$45.00	39.5%	12.4%	41.7%	64.8%	42.4%	7.0%	-2.0%	-11.6M	1.01B	-10.9M	0.96	15.07	120,897	115,505	998,055	788,903
2016-06-27	$38.58	$45.00	44.1%	13.9%	43.7%	77.5%	46.5%	7.3%	-1.0%	-13.6M	1.19B	-10.0M	0.82	7.54	92,836	75,894	1,009,596	785,489
2016-06-28	$40.44	$45.00	36.8%	11.0%	48.0%	57.3%	38.4%	5.2%	-0.7%	-13.5M	871.8M	-11.4M	0.68	7.80	73,848	50,464	1,035,719	824,653
2016-06-29	$42.11	$43.50	34.3%	10.4%	50.7%	50.7%	36.6%	5.0%	-0.6%	5.1M	364.9M	-12.1M	0.43	5.91	150,050	64,033	1,062,279	824,246
2016-06-30	$42.29	$43.00	31.2%	9.3%	50.8%	42.2%	33.7%	5.0%	-0.6%	8.5M	287.1M	-12.0M	0.96	9.26	68,034	65,612	1,106,675	847,885