C Options History — August 2016

In August 2016, C traded between $42.97 and $47.92. ATM implied volatility averaged 21.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.3% (HV 20d: 19.6%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.72.

Notable Days

2016-08-05: Highest Volume — 216,244 contracts
2016-08-22: Largest IV spike — 8.9% change
2016-08-25: Highest IV Rank — 19.5%
2016-08-25: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.99	$42.97	$47.92	$43.37	$47.72
Max Pain	$43.43	$42.50	$45.00	$43.50	$45.00
ATM IV	21.9%	19.7%	25.2%	21.5%	23.5%
Expected Move	6.2%	5.5%	6.8%	6.2%	6.1%
HV 20d	19.6%	17.0%	22.2%	21.5%	17.5%
HV 60d	34.6%	32.9%	36.4%	35.5%	33.0%
IV Rank	11.0%	3.6%	19.5%	12.2%	14.4%
IV Percentile	16.8%	4.0%	35.7%	15.5%	27.8%
Term Structure	0.8%	-0.2%	3.1%	0.1%	-0.1%
VWIV	22.4%	19.9%	24.9%	21.5%	22.9%
Skew 25d	3.6%	3.0%	4.2%	3.3%	3.4%
Skew 10d	7.4%	4.4%	11.2%	4.8%	6.6%
Call IV 25d	20.8%	19.2%	23.5%	20.3%	22.1%
Put IV 25d	24.3%	22.4%	27.1%	23.7%	25.5%
Bid-Ask Spread %	5.91	3.59	18.35	4.60	6.80
Gamma HHI	0.21	0.13	0.34	0.16	0.19
Net GEX	70.1M	13.2M	154.1M	20.4M	80.0M
Net DEX	-754.3M	-1.30B	221.5M	121.7M	-1.16B
Net VEX	-11.8M	-12.3M	-11.0M	-11.1M	-12.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.19	1.65	0.65	0.92
Total Volume	91,542.478	49,520	216,244	71,608	95,217
Total OI	1,862,813.217	1,761,849	1,984,419	1,805,381	1,868,672

Daily Data (23 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
2016-08-01	$43.37	$43.50	21.5%	6.2%	21.5%	12.2%	21.5%	3.3%	0.1%	20.4M	121.7M	-11.1M	0.65	4.60	43,496	28,112	1,054,392	750,989
2016-08-02	$42.97	$42.50	23.0%	6.6%	17.0%	16.4%	23.2%	3.5%	0.0%	13.2M	221.5M	-11.0M	0.49	4.67	75,587	37,081	1,067,042	749,775
2016-08-03	$43.85	$43.00	22.6%	6.7%	18.1%	15.4%	23.0%	3.5%	-0.1%	33.1M	-80.3M	-11.3M	0.54	6.78	51,544	27,617	1,070,865	763,595
2016-08-04	$43.82	$42.50	22.6%	6.5%	18.1%	15.5%	23.3%	3.2%	0.1%	33.1M	-92.0M	-11.3M	0.71	4.01	37,375	26,442	1,079,375	770,194
2016-08-05	$45.68	$42.50	21.6%	6.5%	22.2%	12.5%	22.5%	3.2%	-0.0%	57.4M	-939.0M	-11.8M	0.32	6.33	163,859	52,385	1,086,542	778,624
2016-08-08	$45.87	$42.50	21.7%	6.6%	22.2%	12.8%	22.9%	3.7%	1.3%	69.3M	-834.9M	-11.9M	1.06	3.95	38,482	40,725	1,076,260	758,616
2016-08-09	$45.87	$42.50	20.8%	6.4%	20.7%	10.4%	22.3%	3.2%	1.3%	72.9M	-821.1M	-11.8M	1.19	4.57	32,868	38,985	1,083,632	774,511
2016-08-10	$45.47	$42.50	21.3%	6.4%	21.0%	8.2%	24.1%	3.1%	1.0%	62.8M	-645.4M	-11.8M	1.65	4.10	23,918	39,422	1,086,165	788,045
2016-08-11	$45.80	$42.50	20.8%	6.3%	19.2%	6.8%	21.6%	3.2%	1.5%	73.5M	-781.2M	-11.9M	1.25	4.61	21,999	27,521	1,092,315	796,098
2016-08-12	$45.53	$42.50	21.1%	6.2%	19.3%	7.4%	24.9%	3.8%	1.0%	64.3M	-619.2M	-11.8M	1.24	4.26	31,427	38,900	1,094,679	809,925
2016-08-15	$46.44	$42.50	19.7%	5.6%	20.3%	3.6%	22.5%	4.2%	2.1%	76.2M	-935.4M	-11.8M	0.87	5.14	43,538	37,756	1,074,413	796,362
2016-08-16	$46.70	$42.50	20.2%	5.8%	20.0%	4.9%	21.9%	4.2%	2.3%	83.6M	-1.04B	-11.9M	0.50	4.05	68,065	33,808	1,084,452	810,814
2016-08-17	$46.63	$42.50	20.5%	5.9%	20.1%	5.7%	21.8%	4.0%	2.7%	77.1M	-1.02B	-11.9M	0.28	3.86	59,002	16,602	1,110,145	819,712
2016-08-18	$46.50	$42.50	20.5%	5.7%	19.8%	5.5%	21.0%	3.5%	2.8%	67.9M	-969.6M	-11.8M	0.19	6.23	88,585	17,055	1,133,266	827,371
2016-08-19	$46.50	$42.50	20.2%	5.5%	19.8%	4.9%	21.6%	3.0%	3.1%	79.5M	-979.4M	-11.8M	0.56	3.83	66,896	37,194	1,151,487	832,932
2016-08-22	$46.73	$45.00	22.0%	5.9%	19.6%	10.2%	20.8%	3.8%	0.1%	76.6M	-852.4M	-11.7M	0.72	3.92	44,114	31,979	1,043,201	718,648
2016-08-23	$46.67	$45.00	22.8%	6.1%	19.6%	12.4%	21.7%	3.1%	-0.0%	75.7M	-808.8M	-11.9M	0.81	3.59	35,352	28,590	1,057,662	734,532
2016-08-24	$46.66	$45.00	24.4%	6.5%	19.7%	17.2%	23.4%	3.9%	0.1%	74.2M	-841.2M	-12.1M	0.50	5.05	46,873	23,227	1,067,650	746,057
2016-08-25	$46.68	$45.00	25.2%	6.8%	19.5%	19.5%	23.8%	3.6%	-0.2%	82.5M	-872.0M	-12.2M	0.65	4.29	56,234	36,663	1,096,413	756,097
2016-08-26	$47.12	$45.00	23.8%	6.2%	19.4%	15.5%	23.2%	3.9%	-0.0%	154.1M	-1.04B	-12.3M	0.59	18.35	84,104	49,663	1,110,716	772,065
2016-08-29	$47.28	$45.00	22.0%	5.6%	18.5%	10.0%	19.9%	3.9%	0.1%	100.0M	-1.06B	-11.8M	0.38	16.59	104,036	39,104	1,079,254	763,716
2016-08-30	$47.92	$45.00	22.7%	5.9%	18.1%	12.2%	22.1%	4.2%	-0.0%	84.1M	-1.30B	-12.1M	0.63	6.33	51,569	32,506	1,080,753	776,675
2016-08-31	$47.72	$45.00	23.5%	6.1%	17.5%	14.4%	22.9%	3.4%	-0.1%	80.0M	-1.16B	-12.2M	0.92	6.80	49,638	45,579	1,081,109	787,563