C Options History — March 2017

In March 2017, C traded between $57.99 and $61.82. ATM implied volatility averaged 21.1%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.5% (HV 20d: 20.6%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.73.

Notable Days

2017-03-21: Highest Volume — 147,449 contracts
2017-03-21: Largest IV spike — 19.1% change
2017-03-24: Highest IV Rank — 18.8%
2017-03-24: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.18	$57.99	$61.82	$61.82	$60.05
Max Pain	$58.98	$57.50	$60.00	$57.50	$59.50
ATM IV	21.1%	19.1%	23.8%	20.1%	20.4%
Expected Move	6.1%	5.5%	6.8%	5.8%	5.8%
HV 20d	20.6%	18.1%	24.1%	22.8%	18.9%
HV 60d	20.5%	19.8%	21.1%	21.0%	20.9%
IV Rank	7.2%	0.0%	18.8%	2.4%	5.3%
IV Percentile	16.4%	0.0%	42.9%	2.0%	9.5%
Term Structure	0.4%	-0.8%	2.0%	0.2%	1.6%
VWIV	21.4%	19.5%	23.9%	20.8%	20.5%
Skew 25d	2.1%	1.5%	2.9%	1.6%	2.3%
Skew 10d	4.2%	2.5%	7.3%	5.0%	3.4%
Call IV 25d	20.3%	17.9%	22.9%	19.8%	19.5%
Put IV 25d	22.4%	20.2%	25.3%	21.4%	21.8%
Bid-Ask Spread %	6.07	2.77	10.39	7.21	4.66
Gamma HHI	0.11	0.08	0.15	0.14	0.15
Net GEX	59.0M	-11.4M	95.9M	85.8M	94.1M
Net DEX	-1.42B	-2.22B	-464.0M	-2.22B	-1.24B
Net VEX	-13.3M	-14.7M	-12.5M	-12.5M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.45	1.19	0.54	0.77
Total Volume	100,041.957	44,691	147,449	141,182	89,398
Total OI	1,381,051.609	1,183,116	1,525,643	1,317,111	1,467,433

Daily Data (23 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
2017-03-01	$61.82	$57.50	20.1%	5.8%	22.8%	2.4%	20.8%	1.6%	0.2%	85.8M	-2.22B	-12.5M	0.54	7.21	91,795	49,387	731,794	585,317
2017-03-02	$60.76	$57.50	20.2%	5.8%	24.1%	2.7%	20.6%	1.6%	0.2%	75.6M	-1.85B	-12.7M	0.64	6.46	51,713	33,000	748,428	597,212
2017-03-03	$60.98	$57.50	19.7%	5.6%	23.9%	0.5%	19.5%	1.5%	0.4%	92.4M	-1.93B	-12.8M	0.61	5.44	50,207	30,682	759,716	607,054
2017-03-06	$60.39	$57.50	19.7%	6.3%	21.7%	0.6%	21.7%	1.6%	1.7%	68.2M	-1.67B	-12.6M	0.86	3.06	23,966	20,725	744,169	593,163
2017-03-07	$60.39	$57.50	19.5%	6.2%	21.6%	0.0%	22.2%	1.5%	2.0%	69.7M	-1.67B	-12.7M	0.81	3.91	31,871	25,888	750,342	600,222
2017-03-08	$61.15	$57.50	20.8%	6.5%	21.6%	5.5%	22.7%	2.0%	1.4%	82.8M	-1.91B	-12.9M	0.68	4.35	87,340	59,592	759,021	614,935
2017-03-09	$61.57	$57.50	21.7%	6.4%	20.4%	9.0%	22.7%	2.2%	1.6%	93.8M	-2.04B	-13.2M	0.85	4.07	55,630	47,437	788,907	646,036
2017-03-10	$61.49	$57.50	20.1%	5.9%	19.9%	2.3%	21.8%	2.2%	1.3%	95.9M	-1.99B	-13.2M	0.56	3.95	71,126	40,183	798,471	660,070
2017-03-13	$61.61	$60.00	20.8%	6.0%	19.9%	5.1%	21.0%	2.3%	-0.1%	82.5M	-1.96B	-13.1M	1.19	2.81	33,539	39,903	781,863	652,470
2017-03-14	$61.39	$60.00	22.1%	6.1%	18.5%	10.7%	22.4%	1.9%	-0.8%	77.0M	-1.87B	-13.3M	0.75	4.57	44,386	33,153	789,189	663,197
2017-03-15	$60.80	$60.00	21.9%	6.1%	18.3%	9.7%	21.3%	1.8%	-0.6%	62.1M	-1.64B	-13.2M	0.56	5.54	70,708	39,459	799,109	674,593
2017-03-16	$61.13	$60.00	20.7%	5.9%	18.1%	4.8%	20.1%	2.0%	-0.4%	73.2M	-1.77B	-13.1M	0.50	2.77	62,023	30,946	814,317	687,751
2017-03-17	$60.40	$60.00	20.2%	5.7%	18.6%	2.8%	19.7%	2.3%	-0.1%	43.1M	-1.54B	-13.1M	0.70	5.18	52,640	37,063	834,137	691,506
2017-03-20	$60.14	$60.00	19.1%	5.5%	18.6%	0.0%	19.5%	2.3%	0.8%	46.2M	-1.12B	-12.9M	1.16	6.95	42,579	49,600	674,781	508,335
2017-03-21	$58.04	$60.00	22.8%	6.5%	22.2%	14.6%	22.2%	2.4%	0.0%	12.9M	-552.0M	-13.0M	0.69	8.81	87,005	60,444	687,361	535,591
2017-03-22	$57.99	$60.00	22.8%	6.5%	22.1%	14.6%	22.2%	2.9%	0.1%	12.8M	-464.0M	-13.2M	0.66	7.16	84,294	55,498	715,642	565,332
2017-03-23	$58.03	$59.50	23.1%	6.6%	22.2%	15.9%	22.6%	2.9%	-0.4%	16.1M	-525.2M	-13.8M	1.10	10.39	46,380	50,938	748,633	587,401
2017-03-24	$58.06	$59.50	23.8%	6.8%	21.2%	18.8%	23.9%	2.4%	0.3%	-11.4M	-515.2M	-13.8M	1.06	9.99	50,384	53,523	747,140	602,264
2017-03-27	$58.40	$59.50	23.3%	6.6%	20.8%	16.7%	23.1%	2.7%	-0.3%	20.3M	-639.3M	-13.6M	0.57	8.11	61,166	34,669	743,868	593,510
2017-03-28	$59.52	$59.50	21.6%	6.3%	22.0%	9.9%	22.0%	2.0%	-0.1%	43.7M	-1.03B	-14.0M	0.58	9.26	60,828	35,579	772,443	609,207
2017-03-29	$59.46	$59.50	20.7%	5.8%	18.2%	6.2%	20.2%	2.4%	0.2%	45.6M	-990.6M	-13.9M	0.56	5.78	54,932	30,687	784,918	615,743
2017-03-30	$60.59	$59.50	20.8%	5.9%	18.7%	6.9%	20.8%	2.2%	0.6%	75.1M	-1.42B	-14.5M	0.45	9.16	95,580	43,119	804,590	627,006
2017-03-31	$60.05	$59.50	20.4%	5.8%	18.9%	5.3%	20.5%	2.3%	1.6%	94.1M	-1.24B	-14.7M	0.77	4.66	50,464	38,934	826,905	640,528