C Options History — January 2017

In January 2017, C traded between $55.83 and $61.44. ATM implied volatility averaged 23.9%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.1% (HV 20d: 18.9%). Max pain ranged from $50.00 to $57.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-01-17: Highest Volume — 251,418 contracts
  • 2017-01-18: Largest IV drop — 8.3% change
  • 2017-01-03: Highest IV Rank — 26.8%
  • 2017-01-03: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.40$55.83$61.44$60.49$55.92
Max Pain$56.75$50.00$57.50$50.00$57.50
ATM IV23.9%20.4%28.5%28.5%21.8%
Expected Move6.9%5.9%8.4%8.4%6.4%
HV 20d18.9%16.5%21.2%17.8%20.5%
HV 60d21.9%20.4%23.0%20.4%23.0%
IV Rank12.8%2.0%26.8%26.8%6.3%
IV Percentile28.5%2.4%62.7%62.7%13.9%
Term Structure-0.2%-1.1%0.5%-0.4%0.1%
VWIV24.5%21.2%29.8%29.8%23.2%
Skew 25d1.6%0.7%3.1%3.1%2.0%
Skew 10d3.0%-0.5%6.5%6.5%4.3%
Call IV 25d23.5%20.4%27.1%27.1%21.3%
Put IV 25d25.1%21.1%30.2%30.2%23.3%
Bid-Ask Spread %7.153.9514.749.2210.35
Gamma HHI0.160.110.200.160.12
Net GEX54.4M-26.7M116.4M99.4M15.0M
Net DEX-2.30B-4.17B-524.0M-3.72B-544.8M
Net VEX-11.5M-12.1M-10.7M-12.0M-11.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.311.880.790.49
Total Volume122,54275,782251,41893,325108,304
Total OI1,842,193.751,153,5582,335,9772,075,4041,306,917

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$60.49$50.0028.5%8.4%17.8%26.8%29.8%3.1%-0.4%99.4M-3.72B-12.0M0.799.2252,08341,2421,203,411871,993
2017-01-04$61.44$50.0027.6%8.0%17.4%24.0%28.3%2.8%-0.6%116.4M-4.17B-11.8M1.268.1743,50954,9181,213,872883,364
2017-01-05$60.28$57.5027.5%7.8%18.6%23.7%28.7%2.4%-0.5%92.5M-3.59B-12.1M1.884.0933,06362,1741,216,592902,593
2017-01-06$60.63$57.5025.9%7.5%17.8%18.8%26.0%2.0%-0.4%92.2M-3.80B-11.7M1.293.9735,71946,1641,219,354924,284
2017-01-09$60.38$57.5026.0%7.5%16.6%19.1%25.7%2.2%0.3%93.8M-3.56B-11.6M0.984.0840,71240,0601,180,862894,218
2017-01-10$60.49$57.5025.5%7.4%16.5%17.7%25.7%2.1%0.1%99.8M-3.62B-11.6M0.973.9538,45237,3301,195,881910,665
2017-01-11$59.76$57.5025.2%7.2%17.0%16.7%26.0%1.7%-0.5%87.7M-3.28B-11.5M0.644.1470,12744,5691,200,035915,903
2017-01-12$59.26$57.5026.0%7.4%17.2%19.2%25.9%1.7%-0.3%80.3M-3.11B-11.7M1.007.7957,40357,1211,238,388938,589
2017-01-13$59.76$57.5025.0%7.1%17.5%16.2%25.2%1.9%-0.3%101.3M-3.34B-11.6M0.545.7673,92239,6681,252,798959,801
2017-01-17$58.21$57.5025.6%7.3%19.4%17.8%25.6%1.6%-1.1%43.7M-2.60B-11.1M0.317.22192,21959,1991,228,301946,070
2017-01-18$57.49$57.5023.4%6.7%19.6%11.3%23.7%1.2%-0.5%29.1M-2.09B-10.9M0.616.94100,78661,5521,247,001967,866
2017-01-19$56.62$57.5023.1%6.6%20.1%10.3%23.6%0.9%-0.3%19.1M-1.90B-10.7M0.354.54166,06858,7881,294,959970,270
2017-01-20$56.03$57.5021.3%6.2%18.8%4.8%21.6%1.3%-0.9%-8.6M-1.71B-10.7M0.845.5096,85480,9111,363,098972,879
2017-01-23$55.83$57.5021.1%6.1%18.7%4.3%21.6%1.5%0.1%13.3M-524.0M-10.9M0.468.35105,39148,781684,145469,413
2017-01-24$56.86$57.5021.6%6.3%20.3%5.6%22.4%0.7%0.3%34.7M-866.1M-11.5M0.698.9966,65645,666704,106498,869
2017-01-25$57.78$57.5020.9%6.1%21.2%3.5%21.9%0.8%0.5%46.4M-1.14B-11.7M0.704.9364,60645,523716,178518,562
2017-01-26$57.31$57.5020.8%6.1%21.2%3.2%22.0%0.8%0.3%37.5M-963.2M-11.7M0.849.2151,60543,114736,770528,259
2017-01-27$56.97$57.5020.4%5.9%20.6%2.0%21.2%0.8%0.5%-26.7M-834.3M-11.7M0.7110.9755,87339,685749,040545,929
2017-01-30$56.50$57.5021.4%6.3%20.4%5.2%22.3%1.6%0.2%20.4M-704.6M-11.7M0.6214.7456,20234,821736,750535,890
2017-01-31$55.92$57.5021.8%6.4%20.5%6.3%23.2%2.0%0.1%15.0M-544.8M-11.8M0.4910.3572,58935,715755,856551,061