C Options History — October 2016

In October 2016, C traded between $47.04 and $50.06. ATM implied volatility averaged 23.9%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.8% (HV 20d: 20.0%). Max pain ranged from $45.00 to $47.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-10-14: Highest Volume — 157,723 contracts
  • 2016-10-18: Largest IV drop — 13.5% change
  • 2016-10-13: Highest IV Rank — 27.5%
  • 2016-10-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.12$47.04$50.06$47.04$49.32
Max Pain$46.10$45.00$47.50$46.00$47.50
ATM IV23.9%20.3%27.9%26.9%21.8%
Expected Move6.9%5.9%8.1%8.1%6.5%
HV 20d20.0%12.6%22.5%21.0%12.6%
HV 60d18.0%15.4%19.0%18.8%15.4%
IV Rank15.2%4.2%27.5%24.6%7.0%
IV Percentile31.9%4.0%61.1%52.8%15.9%
Term Structure-0.0%-1.7%1.1%0.2%0.2%
VWIV24.7%20.6%29.4%29.4%23.1%
Skew 25d4.4%3.6%5.5%5.0%4.2%
Skew 10d7.8%3.6%11.2%10.3%8.5%
Call IV 25d22.2%18.2%25.8%24.7%20.5%
Put IV 25d26.6%22.5%31.2%29.7%24.7%
Bid-Ask Spread %6.883.6117.923.8017.92
Gamma HHI0.150.100.250.100.16
Net GEX52.1M28.5M79.9M28.5M57.0M
Net DEX-1.03B-1.28B-429.8M-429.8M-931.6M
Net VEX-11.5M-12.1M-11.1M-11.1M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.441.361.211.01
Total Volume86,661.28644,539157,72364,22952,918
Total OI1,804,026.7621,666,5451,925,1851,666,5451,831,587

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$47.04$46.0026.9%8.1%21.0%24.6%29.4%5.0%0.2%28.5M-429.8M-11.1M1.213.8028,99935,230920,074746,471
2016-10-04$47.83$46.0026.5%8.1%21.7%23.5%29.0%4.7%0.3%32.0M-692.5M-11.2M1.239.5862,22976,576929,152784,784
2016-10-05$48.72$46.0026.3%8.0%22.5%22.7%28.5%4.6%0.6%36.3M-925.7M-11.9M0.677.5764,09543,258954,184823,060
2016-10-06$49.05$45.0026.2%7.3%22.5%22.4%26.9%4.7%1.1%40.9M-1.07B-12.1M0.604.1755,31233,390970,523830,814
2016-10-07$49.35$45.0025.6%7.2%22.2%20.7%25.5%4.4%0.9%37.7M-1.25B-12.1M0.594.1868,05440,395986,143836,358
2016-10-10$49.58$45.0025.6%7.2%22.2%20.8%25.2%4.0%-0.4%51.3M-1.26B-11.9M1.073.6128,42730,408973,773810,058
2016-10-11$48.95$45.0027.6%7.6%21.6%26.6%28.0%5.3%-1.4%43.2M-1.02B-11.9M1.034.2128,32129,142979,857822,615
2016-10-12$48.79$45.0027.2%7.5%21.6%25.6%28.1%5.4%-1.2%43.1M-971.3M-11.8M1.365.6126,96436,732984,991827,014
2016-10-13$48.64$45.0027.9%8.0%21.6%27.5%27.2%5.5%-0.1%43.0M-883.6M-11.8M0.816.2862,53550,393988,968834,624
2016-10-14$48.84$45.0025.0%6.9%20.8%18.9%24.9%5.0%-0.8%56.5M-1.01B-11.7M0.454.36108,87548,8481,014,968845,631
2016-10-17$48.63$45.0025.7%7.4%20.9%21.1%25.3%4.5%-1.7%60.4M-901.8M-11.4M0.704.1345,32131,651996,111815,419
2016-10-18$49.00$45.0022.3%6.3%21.0%10.8%22.8%4.4%0.2%67.4M-1.03B-11.4M0.703.8440,21428,0461,003,693826,487
2016-10-19$49.54$45.0021.5%6.2%21.1%8.5%22.4%3.9%-0.2%79.9M-1.22B-11.2M0.454.1382,41437,3211,018,073831,707
2016-10-20$49.63$47.5021.2%6.1%21.1%7.8%22.4%3.7%0.0%74.0M-1.28B-11.3M0.445.5363,84027,8551,052,885845,671
2016-10-21$49.62$47.5020.4%5.9%21.1%5.4%21.4%3.6%-0.1%55.1M-1.26B-11.3M0.4910.1558,65628,9881,074,404850,781
2016-10-24$49.65$47.5020.3%6.0%18.6%4.9%20.6%4.3%0.4%55.8M-1.06B-11.1M0.488.2551,00224,2991,002,961715,545
2016-10-25$49.62$47.5020.3%6.1%18.5%4.2%21.4%3.9%0.3%56.8M-1.00B-11.1M1.118.0321,08623,4531,036,760725,508
2016-10-26$50.06$47.5020.3%6.0%18.5%4.4%22.2%4.0%0.5%61.3M-1.20B-11.3M0.668.0929,60019,5471,041,438735,502
2016-10-27$50.01$47.5020.6%6.1%16.5%5.3%20.6%3.7%0.4%64.7M-1.20B-11.2M0.478.8555,54825,8881,053,349743,747
2016-10-28$49.59$47.5021.9%6.5%12.9%7.4%23.5%4.2%0.2%49.0M-968.9M-11.2M0.8612.0961,47652,5811,064,111754,761
2016-10-31$49.32$47.5021.8%6.5%12.6%7.0%23.1%4.2%0.2%57.0M-931.6M-11.3M1.0117.9226,31426,6041,071,638759,949