C Options History — September 2016

In September 2016, C traded between $45.89 and $47.81. ATM implied volatility averaged 25.1%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 11.3% (HV 20d: 13.7%). Max pain ranged from $45.00 to $46.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2016-09-02: Highest Volume — 169,552 contracts
2016-09-29: Largest IV spike — 19.4% change
2016-09-29: Highest IV Rank — 30.8%
2016-09-29: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.99	$45.89	$47.81	$47.32	$47.46
Max Pain	$45.31	$45.00	$46.50	$45.00	$46.00
ATM IV	25.1%	21.1%	29.0%	24.4%	26.2%
Expected Move	7.2%	5.1%	8.5%	6.5%	7.8%
HV 20d	13.7%	11.2%	20.9%	18.0%	20.9%
HV 60d	26.7%	17.2%	33.0%	33.0%	18.9%
IV Rank	19.2%	7.3%	30.8%	17.1%	22.4%
IV Percentile	39.2%	11.1%	64.7%	31.3%	50.0%
Term Structure	0.1%	-1.2%	2.0%	-0.2%	-0.2%
VWIV	26.1%	18.1%	30.8%	24.2%	28.6%
Skew 25d	4.3%	2.9%	5.3%	3.1%	5.1%
Skew 10d	7.8%	2.6%	11.4%	7.2%	11.3%
Call IV 25d	23.4%	19.9%	27.2%	23.5%	24.2%
Put IV 25d	27.7%	23.0%	32.2%	26.6%	29.3%
Bid-Ask Spread %	5.79	2.78	14.77	8.46	14.77
Gamma HHI	0.20	0.08	0.54	0.18	0.23
Net GEX	66.2M	15.0M	189.3M	73.3M	67.9M
Net DEX	-658.9M	-1.20B	-135.2M	-986.9M	-641.1M
Net VEX	-11.4M	-12.3M	-10.8M	-12.3M	-11.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.45	1.66	0.73	1.24
Total Volume	89,859.333	54,101	169,552	145,977	96,064
Total OI	1,780,200.476	1,558,321	1,962,143	1,901,105	1,709,598

Daily Data (21 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
2016-09-01	$47.32	$45.00	24.4%	6.5%	18.0%	17.1%	24.2%	3.1%	-0.2%	73.3M	-986.9M	-12.3M	0.73	8.46	84,500	61,477	1,093,110	807,995
2016-09-02	$47.54	$45.00	21.8%	5.1%	11.2%	9.5%	18.1%	2.9%	-0.0%	189.3M	-1.18B	-11.9M	0.45	4.66	117,018	52,534	1,127,496	829,782
2016-09-06	$47.16	$45.00	22.3%	7.0%	11.7%	11.0%	24.7%	3.4%	2.0%	82.7M	-902.1M	-11.7M	0.78	2.78	40,967	32,057	1,091,210	789,616
2016-09-07	$47.48	$45.00	21.3%	6.8%	11.9%	8.0%	25.8%	3.1%	2.0%	98.3M	-1.03B	-11.6M	0.91	4.24	40,177	36,375	1,091,997	799,378
2016-09-08	$47.81	$45.00	21.1%	6.7%	11.3%	7.3%	23.3%	3.1%	2.0%	112.9M	-1.20B	-11.6M	0.70	7.19	45,895	32,079	1,099,259	812,210
2016-09-09	$47.40	$45.00	24.1%	7.2%	11.8%	16.2%	26.2%	4.9%	1.6%	162.5M	-944.4M	-11.8M	0.93	6.00	59,804	55,757	1,097,886	822,052
2016-09-12	$47.76	$45.00	24.6%	7.3%	11.7%	17.9%	26.5%	4.7%	0.6%	76.8M	-1.11B	-11.7M	0.70	5.42	54,890	38,632	1,083,409	820,308
2016-09-13	$46.89	$45.00	28.5%	7.9%	12.0%	29.2%	28.5%	5.2%	-1.1%	45.0M	-703.9M	-11.7M	1.17	4.07	35,838	41,767	1,078,066	833,884
2016-09-14	$46.84	$45.00	28.8%	8.0%	11.8%	30.1%	28.9%	5.3%	-0.8%	46.9M	-695.7M	-11.7M	1.14	2.90	39,563	45,074	1,085,975	843,504
2016-09-15	$47.18	$45.00	27.0%	7.5%	12.1%	24.8%	27.9%	4.7%	-0.8%	65.9M	-847.5M	-11.7M	0.66	4.68	40,527	26,560	1,095,821	851,788
2016-09-16	$46.50	$45.00	26.1%	7.2%	13.2%	22.3%	26.0%	4.7%	-1.2%	15.0M	-501.0M	-11.3M	0.93	5.55	39,666	36,708	1,106,274	855,869
2016-09-19	$46.66	$45.00	26.0%	7.4%	13.2%	22.0%	25.6%	4.7%	-0.1%	35.9M	-368.3M	-11.1M	0.79	4.57	35,838	28,422	900,948	657,373
2016-09-20	$46.64	$45.00	25.8%	7.4%	13.1%	21.2%	26.1%	4.7%	-0.5%	36.3M	-346.8M	-11.2M	0.81	3.88	33,108	26,653	910,763	666,338
2016-09-21	$46.98	$45.00	24.6%	7.0%	13.4%	17.6%	24.1%	4.4%	-0.0%	48.6M	-441.2M	-11.2M	0.73	8.32	60,542	44,466	922,164	675,343
2016-09-22	$47.16	$45.00	24.0%	6.9%	13.4%	16.0%	24.0%	4.5%	-0.3%	61.5M	-480.2M	-11.2M	0.52	6.10	47,986	25,060	940,605	688,276
2016-09-23	$47.07	$46.00	23.8%	6.9%	13.4%	15.5%	24.4%	4.1%	-0.6%	62.2M	-453.1M	-11.1M	1.22	6.01	26,249	31,944	940,153	696,514
2016-09-26	$45.94	$46.50	27.5%	8.1%	15.6%	26.2%	29.9%	4.2%	-0.4%	20.7M	-151.6M	-10.8M	1.66	4.83	48,282	80,079	906,562	670,908
2016-09-27	$46.38	$46.00	25.4%	7.5%	16.0%	20.1%	26.0%	3.8%	0.1%	29.6M	-285.9M	-10.8M	0.74	5.58	31,158	22,943	928,522	715,917
2016-09-28	$46.81	$46.00	24.3%	7.2%	15.6%	16.9%	27.5%	4.2%	0.1%	38.8M	-420.7M	-10.9M	0.99	6.78	31,850	31,375	939,205	721,411
2016-09-29	$45.89	$46.00	29.0%	8.5%	16.9%	30.8%	30.8%	5.0%	-0.5%	20.4M	-135.2M	-10.9M	1.38	4.86	53,377	73,785	942,694	734,027
2016-09-30	$47.46	$46.00	26.2%	7.8%	20.9%	22.4%	28.6%	5.1%	-0.2%	67.9M	-641.1M	-11.2M	1.24	14.77	42,902	53,162	950,007	759,591