C Options History — July 2016

In July 2016, C traded between $40.77 and $44.65. ATM implied volatility averaged 25.8%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 18.9% (HV 20d: 44.7%). Max pain ranged from $42.50 to $43.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2016-07-14: Highest Volume — 221,593 contracts
2016-07-15: Largest IV drop — 14.8% change
2016-07-05: Highest IV Rank — 53.2%
2016-07-06: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.37	$40.77	$44.65	$42.26	$43.89
Max Pain	$42.58	$42.50	$43.00	$43.00	$43.00
ATM IV	25.8%	20.5%	35.3%	31.0%	20.5%
Expected Move	7.3%	5.8%	9.8%	9.3%	5.8%
HV 20d	44.7%	20.8%	51.7%	49.8%	21.0%
HV 60d	36.4%	35.5%	38.0%	37.3%	35.5%
IV Rank	26.4%	9.6%	53.2%	41.6%	9.6%
IV Percentile	40.3%	11.5%	88.5%	72.6%	11.5%
Term Structure	-0.0%	-1.0%	0.6%	-0.7%	0.5%
VWIV	25.8%	20.4%	34.0%	32.3%	20.4%
Skew 25d	3.8%	2.7%	5.4%	4.9%	3.0%
Skew 10d	7.2%	4.2%	11.2%	8.6%	4.4%
Call IV 25d	24.5%	19.4%	32.8%	29.3%	19.4%
Put IV 25d	28.3%	22.4%	38.1%	34.1%	22.4%
Bid-Ask Spread %	5.16	3.30	6.97	6.38	4.60
Gamma HHI	0.15	0.09	0.33	0.10	0.20
Net GEX	32.0M	-5.4M	75.0M	5.7M	36.0M
Net DEX	4.0M	-514.9M	750.1M	312.0M	-42.5M
Net VEX	-11.7M	-12.3M	-11.2M	-12.1M	-11.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.44	1.43	0.91	0.92
Total Volume	102,790.25	61,132	221,593	114,608	75,267
Total OI	1,870,608.95	1,705,427	2,056,869	1,967,623	1,836,749

Daily Data (20 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
2016-07-01	$42.26	$43.00	31.0%	9.3%	49.8%	41.6%	32.3%	4.9%	-0.7%	5.7M	312.0M	-12.1M	0.91	6.38	60,020	54,588	1,105,840	861,783
2016-07-05	$40.77	$42.50	35.3%	9.8%	50.8%	53.2%	34.0%	5.4%	-0.9%	-5.4M	750.1M	-11.3M	1.34	4.84	52,698	70,634	1,068,496	815,631
2016-07-06	$41.02	$42.50	34.5%	9.8%	51.0%	51.2%	32.9%	5.1%	-1.0%	-3.6M	722.1M	-11.2M	0.90	4.60	62,009	55,540	1,089,629	843,468
2016-07-07	$41.26	$42.50	34.7%	9.4%	51.1%	51.8%	32.9%	5.0%	-0.9%	-399.1K	593.6M	-11.6M	0.54	3.30	79,706	43,036	1,111,102	859,643
2016-07-08	$41.98	$42.50	30.1%	8.3%	51.7%	39.2%	29.5%	5.2%	-0.4%	75.0M	373.4M	-11.5M	0.65	3.65	70,307	46,009	1,147,810	856,130
2016-07-11	$42.37	$42.50	28.6%	8.0%	51.2%	35.0%	27.8%	4.7%	-0.5%	12.7M	306.5M	-11.4M	1.37	4.15	32,617	44,599	1,101,604	829,570
2016-07-12	$43.46	$42.50	27.8%	8.1%	51.7%	32.8%	27.4%	4.1%	0.5%	26.1M	-57.7M	-11.8M	0.83	5.83	58,906	49,108	1,106,015	848,060
2016-07-13	$43.33	$42.50	27.4%	8.0%	50.4%	31.9%	27.4%	3.7%	0.3%	26.9M	-36.9M	-11.7M	0.68	6.75	63,030	42,680	1,123,008	853,627
2016-07-14	$44.48	$42.50	27.1%	7.6%	51.2%	30.9%	28.0%	3.1%	-0.6%	49.1M	-514.9M	-12.3M	0.44	5.35	154,190	67,403	1,144,611	862,036
2016-07-15	$44.35	$42.50	23.1%	6.6%	51.2%	19.9%	23.2%	3.1%	-0.2%	43.5M	-371.1M	-12.0M	0.90	5.42	85,558	77,117	1,169,941	886,928
2016-07-18	$44.65	$42.50	21.8%	6.2%	51.2%	16.5%	21.8%	3.2%	0.5%	44.6M	-360.4M	-11.9M	0.96	6.97	42,244	40,427	998,212	707,215
2016-07-19	$44.31	$42.50	21.5%	6.1%	51.3%	15.2%	22.1%	3.2%	0.5%	40.1M	-236.8M	-11.7M	1.06	5.89	31,890	33,927	1,009,408	717,808
2016-07-20	$44.44	$42.50	21.5%	6.2%	51.3%	15.4%	21.6%	3.3%	0.3%	44.6M	-304.0M	-11.6M	0.83	5.79	39,902	32,972	1,018,892	720,829
2016-07-21	$44.12	$42.50	22.6%	6.5%	51.3%	16.7%	22.8%	3.8%	0.3%	39.7M	-195.9M	-11.9M	1.43	5.45	29,363	41,952	1,028,238	728,706
2016-07-22	$44.29	$42.50	21.9%	6.2%	49.3%	13.7%	21.9%	3.3%	0.4%	37.2M	-225.7M	-12.0M	0.61	5.04	60,819	37,382	1,036,711	740,620
2016-07-25	$44.00	$42.50	22.7%	6.5%	34.6%	15.6%	24.3%	2.9%	0.6%	37.2M	-127.2M	-11.7M	1.37	4.48	25,824	35,308	1,035,836	728,048
2016-07-26	$44.11	$42.50	22.1%	6.4%	28.9%	14.0%	22.8%	3.3%	0.4%	40.1M	-157.6M	-11.6M	0.73	3.64	54,535	39,912	1,043,520	740,285
2016-07-27	$44.29	$42.50	21.0%	6.0%	24.7%	10.9%	21.2%	2.7%	0.4%	47.9M	-223.0M	-11.5M	0.54	6.82	53,719	29,157	1,062,400	755,490
2016-07-28	$44.09	$43.00	21.7%	6.2%	20.8%	12.7%	22.1%	3.0%	0.4%	42.4M	-123.2M	-11.8M	0.72	4.21	47,347	34,103	1,056,220	762,060
2016-07-29	$43.89	$43.00	20.5%	5.8%	21.0%	9.6%	20.4%	3.0%	0.5%	36.0M	-42.5M	-11.4M	0.92	4.60	39,298	35,969	1,071,529	765,220