C Options History — February 2017

In February 2017, C traded between $55.96 and $60.72. ATM implied volatility averaged 20.6%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.7% (HV 20d: 21.3%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.75.

Notable Days

2017-02-14: Highest Volume — 162,227 contracts
2017-02-13: Largest IV spike — 4.1% change
2017-02-28: Highest IV Rank — 8.1%
2017-02-02: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.80	$55.96	$60.72	$56.23	$59.83
Max Pain	$56.32	$55.00	$57.50	$57.50	$57.50
ATM IV	20.6%	19.6%	21.6%	21.4%	21.6%
Expected Move	6.0%	5.6%	6.4%	6.2%	6.3%
HV 20d	21.3%	17.8%	24.2%	19.2%	20.9%
HV 60d	21.1%	20.1%	23.0%	22.9%	20.1%
IV Rank	3.5%	0.0%	8.1%	5.0%	8.1%
IV Percentile	6.0%	0.0%	18.7%	9.5%	18.7%
Term Structure	0.4%	-0.0%	1.0%	0.3%	-0.0%
VWIV	21.5%	20.1%	22.9%	22.2%	22.6%
Skew 25d	1.5%	0.9%	1.8%	1.7%	1.7%
Skew 10d	3.1%	-0.7%	4.6%	3.9%	4.1%
Call IV 25d	20.2%	19.0%	21.1%	21.0%	21.1%
Put IV 25d	21.7%	20.1%	22.8%	22.6%	22.8%
Bid-Ask Spread %	6.74	3.86	14.08	12.31	4.86
Gamma HHI	0.17	0.12	0.50	0.12	0.12
Net GEX	65.7M	14.6M	171.3M	22.7M	52.3M
Net DEX	-1.46B	-2.16B	-569.1M	-665.5M	-1.53B
Net VEX	-12.3M	-12.7M	-11.9M	-12.0M	-12.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.38	1.20	0.54	0.80
Total Volume	90,532.842	54,473	162,227	89,218	71,199
Total OI	1,363,924.105	1,231,449	1,503,430	1,351,321	1,303,406

Daily Data (19 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
2017-02-01	$56.23	$57.50	21.4%	6.2%	19.2%	5.0%	22.2%	1.7%	0.3%	22.7M	-665.5M	-12.0M	0.54	12.31	58,103	31,115	785,887	565,434
2017-02-02	$55.96	$55.00	21.3%	6.4%	17.8%	4.8%	22.3%	1.8%	0.3%	19.2M	-569.1M	-12.0M	0.59	4.65	45,752	26,887	782,701	572,353
2017-02-03	$57.85	$55.00	20.7%	6.3%	21.5%	2.9%	22.0%	1.3%	0.5%	63.1M	-1.33B	-12.2M	0.66	5.08	65,759	43,242	787,468	576,154
2017-02-06	$57.60	$55.00	20.5%	6.1%	21.3%	2.2%	21.8%	1.7%	0.7%	49.3M	-1.10B	-12.0M	0.97	4.40	39,463	38,372	759,338	565,073
2017-02-07	$57.16	$55.00	20.2%	6.0%	21.4%	1.4%	22.4%	1.4%	0.7%	40.9M	-946.8M	-11.9M	1.05	5.57	26,562	27,911	766,674	582,819
2017-02-08	$56.30	$55.00	20.6%	6.0%	21.7%	2.6%	21.2%	1.5%	0.4%	14.6M	-645.0M	-11.9M	0.51	4.77	78,394	40,112	775,920	590,844
2017-02-09	$57.33	$55.00	20.1%	5.9%	22.8%	1.1%	21.0%	0.9%	0.7%	69.0M	-1.14B	-12.3M	0.88	5.88	52,954	46,646	817,480	604,054
2017-02-10	$57.63	$55.00	19.6%	5.8%	22.8%	0.0%	20.4%	1.1%	1.0%	69.0M	-1.23B	-12.3M	0.40	4.12	70,485	28,272	819,737	630,647
2017-02-13	$59.00	$55.00	20.4%	5.9%	24.2%	3.0%	20.8%	1.5%	0.5%	83.8M	-1.69B	-12.4M	0.54	4.15	78,904	42,358	804,176	621,039
2017-02-14	$59.90	$55.00	21.0%	6.0%	22.9%	5.7%	21.3%	1.3%	0.3%	85.6M	-1.99B	-12.4M	0.38	4.16	117,506	44,721	803,274	636,242
2017-02-15	$60.47	$57.50	21.4%	6.1%	22.4%	7.3%	21.6%	1.4%	0.1%	85.0M	-2.16B	-12.4M	0.67	4.12	63,472	42,698	812,516	649,952
2017-02-16	$60.26	$57.50	20.5%	5.9%	21.5%	3.9%	21.3%	1.8%	0.1%	95.1M	-2.08B	-12.4M	0.75	3.86	51,453	38,555	819,509	655,580
2017-02-17	$60.10	$57.50	19.7%	5.6%	21.1%	0.5%	20.1%	1.8%	0.5%	171.3M	-2.04B	-12.6M	0.83	4.45	43,719	36,302	838,020	665,410
2017-02-21	$60.60	$57.50	20.3%	5.8%	21.0%	3.0%	20.5%	1.6%	0.4%	70.8M	-1.82B	-12.4M	0.65	14.08	40,954	26,650	699,029	532,420
2017-02-22	$60.72	$57.50	20.6%	5.9%	20.3%	4.2%	20.8%	1.4%	0.1%	74.0M	-1.88B	-12.4M	0.95	13.70	34,164	32,429	713,715	540,537
2017-02-23	$60.63	$57.50	20.1%	5.8%	19.8%	2.0%	20.4%	1.5%	0.4%	71.1M	-1.81B	-12.6M	0.94	5.74	28,853	27,041	719,309	554,604
2017-02-24	$59.43	$57.50	20.4%	5.9%	21.0%	3.6%	22.9%	1.8%	0.3%	52.0M	-1.40B	-12.7M	1.20	9.88	49,288	58,953	725,566	556,328
2017-02-27	$60.11	$57.50	20.8%	6.1%	21.1%	5.2%	22.4%	1.5%	0.4%	58.5M	-1.63B	-12.6M	0.92	12.22	36,978	33,898	713,458	567,885
2017-02-28	$59.83	$57.50	21.6%	6.3%	20.9%	8.1%	22.6%	1.7%	-0.0%	52.3M	-1.53B	-12.7M	0.80	4.86	39,614	31,585	722,845	580,561