C Options History — December 2016

In December 2016, C traded between $56.10 and $61.10. ATM implied volatility averaged 25.3%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.5% (HV 20d: 21.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2016-12-08: Highest Volume — 220,391 contracts
2016-12-08: Largest IV spike — 9.0% change
2016-12-14: Highest IV Rank — 24.2%
2016-12-14: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.51	$56.10	$61.10	$57.16	$59.39
Max Pain	$50.95	$50.00	$55.00	$50.00	$50.00
ATM IV	25.3%	22.4%	27.6%	24.5%	27.2%
Expected Move	7.5%	7.0%	8.3%	7.6%	7.8%
HV 20d	21.8%	17.4%	27.8%	26.8%	18.6%
HV 60d	21.5%	20.0%	22.2%	21.5%	20.2%
IV Rank	17.0%	8.1%	24.2%	14.6%	23.0%
IV Percentile	39.2%	15.1%	59.5%	32.5%	56.7%
Term Structure	0.6%	-0.2%	1.8%	-0.2%	0.4%
VWIV	26.5%	24.5%	29.0%	27.1%	27.9%
Skew 25d	2.4%	1.7%	3.1%	2.6%	2.8%
Skew 10d	4.6%	3.5%	7.1%	4.6%	4.0%
Call IV 25d	24.4%	21.4%	27.0%	23.6%	26.1%
Put IV 25d	26.7%	23.8%	28.9%	26.2%	28.8%
Bid-Ask Spread %	6.88	3.91	13.53	13.53	4.96
Gamma HHI	0.19	0.11	0.43	0.11	0.16
Net GEX	84.6M	-90.2M	184.7M	75.8M	95.7M
Net DEX	-3.77B	-4.38B	-2.94B	-3.36B	-3.28B
Net VEX	-13.0M	-19.7M	-11.7M	-12.1M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.38	1.38	0.65	0.91
Total Volume	122,768.714	54,908	220,391	125,438	123,470
Total OI	2,250,347.524	1,925,901	3,823,854	2,018,723	2,142,301

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
2016-12-01	$57.16	$50.00	24.5%	7.6%	26.8%	14.6%	27.1%	2.6%	-0.2%	75.8M	-3.36B	-12.1M	0.65	13.53	76,053	49,385	1,129,222	889,501
2016-12-02	$56.10	$50.00	23.7%	7.1%	27.6%	12.2%	25.4%	2.0%	-0.2%	62.4M	-2.94B	-12.3M	1.15	11.19	42,907	49,219	1,152,702	910,815
2016-12-05	$57.20	$50.00	23.0%	7.1%	27.8%	10.0%	25.4%	2.1%	0.6%	78.3M	-3.39B	-11.8M	1.38	5.46	32,741	45,289	1,140,152	896,239
2016-12-06	$58.04	$50.00	22.4%	7.1%	26.5%	8.1%	24.6%	2.4%	0.7%	79.7M	-3.67B	-11.7M	1.06	4.70	34,466	36,655	1,146,776	931,094
2016-12-07	$59.07	$50.00	24.0%	7.5%	26.7%	13.0%	26.8%	1.7%	0.7%	84.4M	-4.05B	-11.9M	0.46	3.91	126,002	58,534	1,156,253	957,117
2016-12-08	$60.19	$50.00	26.1%	7.9%	25.5%	19.6%	28.1%	1.8%	0.3%	92.9M	-4.38B	-12.4M	0.53	5.25	144,048	76,343	1,179,277	987,523
2016-12-09	$59.97	$50.00	25.5%	7.8%	23.2%	17.7%	27.8%	2.2%	0.7%	107.9M	-4.38B	-13.1M	0.81	3.97	71,273	57,461	1,246,097	1,060,359
2016-12-12	$59.65	$55.00	26.9%	8.1%	22.4%	21.8%	28.6%	2.4%	1.3%	75.1M	-4.01B	-13.6M	0.65	6.41	68,949	44,540	1,227,321	1,140,131
2016-12-13	$59.84	$55.00	26.3%	8.0%	20.4%	20.0%	27.8%	2.1%	1.3%	51.9M	-3.97B	-14.5M	0.42	5.03	102,638	43,552	1,252,495	1,338,323
2016-12-14	$59.70	$55.00	27.6%	8.3%	20.1%	24.2%	29.0%	1.9%	1.3%	-8.7M	-3.48B	-16.7M	0.52	5.02	107,681	56,490	1,286,683	1,731,075
2016-12-15	$60.33	$55.00	26.6%	8.1%	19.1%	21.0%	27.9%	2.3%	1.8%	-90.2M	-3.28B	-19.7M	0.74	4.74	67,210	49,572	1,310,692	2,513,162
2016-12-16	$59.79	$50.00	24.6%	7.3%	19.1%	14.8%	25.9%	2.2%	1.7%	184.7M	-4.27B	-12.6M	0.63	5.30	85,822	53,988	1,308,958	990,092
2016-12-19	$59.68	$50.00	24.9%	7.3%	19.2%	15.9%	24.5%	2.4%	0.3%	98.1M	-3.60B	-12.1M	0.38	11.24	114,385	43,167	1,143,590	782,311
2016-12-20	$60.75	$50.00	24.8%	7.2%	19.7%	15.6%	24.8%	3.1%	0.6%	109.6M	-4.04B	-12.2M	0.53	7.82	86,599	46,321	1,171,689	802,119
2016-12-21	$60.85	$50.00	24.5%	7.0%	19.6%	14.5%	24.9%	2.7%	0.5%	116.4M	-4.10B	-12.4M	0.64	6.80	72,275	46,205	1,203,227	826,740
2016-12-22	$60.55	$50.00	24.9%	7.1%	19.7%	15.8%	25.4%	2.6%	0.4%	111.5M	-3.92B	-12.7M	0.72	7.00	37,547	26,968	1,215,529	849,532
2016-12-23	$60.97	$50.00	24.7%	7.1%	19.7%	15.3%	25.5%	2.5%	0.3%	139.9M	-4.11B	-12.6M	0.58	7.19	56,510	32,522	1,224,446	858,020
2016-12-27	$61.10	$50.00	25.0%	7.2%	17.4%	16.0%	24.9%	2.5%	0.5%	118.1M	-4.07B	-12.1M	1.01	7.38	27,313	27,595	1,185,850	836,920
2016-12-28	$60.08	$50.00	26.8%	7.7%	18.9%	21.6%	27.2%	2.7%	0.2%	104.5M	-3.58B	-12.4M	0.61	8.88	79,412	48,588	1,190,674	847,560
2016-12-29	$59.34	$50.00	27.1%	7.7%	18.9%	22.6%	26.7%	2.7%	0.3%	88.1M	-3.25B	-12.3M	0.41	8.67	90,902	37,546	1,231,704	863,027
2016-12-30	$59.39	$50.00	27.2%	7.8%	18.6%	23.0%	27.9%	2.8%	0.4%	95.7M	-3.28B	-12.6M	0.91	4.96	64,587	58,883	1,266,914	875,387