C Options History — April 2017

In April 2017, C traded between $57.60 and $60.26. ATM implied volatility averaged 22.2%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.8% (HV 20d: 17.4%). Max pain ranged from $59.50 to $60.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.87.

Notable Days

2017-04-13: Highest Volume — 173,810 contracts
2017-04-24: Largest IV drop — 15.3% change
2017-04-11: Highest IV Rank — 27.8%
2017-04-12: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.07	$57.60	$60.26	$59.70	$59.09
Max Pain	$59.92	$59.50	$60.00	$59.50	$60.00
ATM IV	22.2%	18.8%	26.1%	21.9%	18.8%
Expected Move	6.3%	5.2%	7.3%	6.2%	5.2%
HV 20d	17.4%	13.3%	18.7%	18.7%	16.6%
HV 60d	19.9%	19.1%	20.5%	20.5%	20.0%
IV Rank	12.4%	0.0%	27.8%	11.0%	0.0%
IV Percentile	30.8%	0.0%	71.0%	29.4%	0.0%
Term Structure	-0.4%	-1.8%	0.3%	0.2%	0.3%
VWIV	22.2%	17.8%	26.5%	21.6%	17.8%
Skew 25d	2.7%	1.7%	4.1%	2.1%	2.1%
Skew 10d	5.3%	3.1%	8.1%	6.1%	4.1%
Call IV 25d	21.0%	17.5%	24.7%	20.8%	17.5%
Put IV 25d	23.7%	19.6%	27.7%	22.9%	19.6%
Bid-Ask Spread %	8.24	3.69	35.60	10.17	5.04
Gamma HHI	0.10	0.08	0.14	0.09	0.10
Net GEX	36.8M	-19.4M	86.2M	50.3M	23.9M
Net DEX	-780.1M	-1.31B	-194.6M	-1.04B	-713.1M
Net VEX	-14.9M	-15.4M	-14.3M	-14.6M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.50	1.27	0.86	0.50
Total Volume	104,042.895	49,388	173,810	87,442	102,107
Total OI	1,542,323.474	1,454,317	1,688,167	1,454,317	1,552,603

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
2017-04-03	$59.70	$59.50	21.9%	6.2%	18.7%	11.0%	21.6%	2.1%	0.2%	50.3M	-1.04B	-14.6M	0.86	10.17	46,956	40,486	819,643	634,674
2017-04-04	$59.68	$59.50	22.2%	6.4%	18.7%	12.3%	22.5%	2.3%	-0.0%	52.1M	-1.04B	-14.7M	0.88	5.29	35,208	30,995	828,546	647,351
2017-04-05	$59.73	$59.50	23.6%	6.6%	18.0%	17.9%	23.2%	2.5%	-1.6%	55.8M	-1.08B	-14.8M	0.61	11.68	66,637	40,475	831,367	653,679
2017-04-06	$59.94	$60.00	23.2%	6.5%	17.9%	16.4%	22.8%	2.3%	0.1%	62.9M	-1.11B	-15.4M	0.79	7.51	46,654	36,836	848,444	673,739
2017-04-07	$59.44	$60.00	23.5%	6.6%	18.1%	17.3%	23.6%	3.5%	0.1%	62.2M	-891.0M	-15.2M	1.01	5.72	43,094	43,398	853,361	681,984
2017-04-10	$59.21	$60.00	24.2%	6.8%	18.0%	20.4%	24.3%	3.4%	-0.5%	30.4M	-797.0M	-15.1M	1.22	4.83	30,893	37,721	828,954	669,308
2017-04-11	$58.88	$60.00	26.1%	7.0%	18.1%	27.8%	25.6%	2.6%	-1.8%	24.1M	-682.5M	-15.1M	1.19	4.12	52,443	62,251	838,845	676,232
2017-04-12	$58.53	$60.00	25.6%	7.3%	17.9%	26.0%	26.5%	3.7%	0.1%	16.7M	-569.2M	-15.0M	1.27	4.09	58,067	73,600	854,626	694,531
2017-04-13	$58.27	$60.00	23.4%	6.6%	17.7%	17.1%	22.6%	4.1%	-0.2%	11.5M	-403.4M	-14.6M	0.85	35.60	93,893	79,917	869,756	715,000
2017-04-17	$58.06	$60.00	24.1%	6.9%	17.3%	19.6%	25.0%	3.3%	-0.9%	7.6M	-387.2M	-14.5M	0.98	15.96	24,945	24,443	871,975	695,657
2017-04-18	$58.48	$60.00	22.5%	6.5%	17.6%	13.5%	22.0%	3.4%	-0.6%	21.9M	-538.2M	-14.5M	0.55	6.62	79,879	43,635	880,857	702,655
2017-04-19	$57.60	$60.00	22.1%	6.3%	13.3%	11.8%	22.4%	2.6%	-0.3%	-19.4M	-194.6M	-14.3M	0.76	6.65	66,419	50,347	906,805	714,391
2017-04-20	$58.58	$60.00	21.1%	6.0%	14.7%	7.8%	21.2%	2.9%	-0.6%	26.5M	-609.7M	-14.8M	1.02	5.22	51,671	52,764	922,532	732,115
2017-04-21	$57.89	$60.00	22.6%	6.5%	15.3%	13.7%	22.8%	3.3%	-0.7%	-9.4M	-339.8M	-14.7M	1.06	9.47	58,990	62,680	936,655	751,512
2017-04-24	$59.47	$60.00	19.1%	5.5%	18.1%	0.0%	19.8%	2.2%	-0.6%	61.0M	-992.8M	-15.0M	0.97	4.46	59,965	57,975	787,925	670,926
2017-04-25	$60.26	$60.00	18.8%	5.7%	18.5%	0.0%	20.1%	1.7%	-0.3%	71.3M	-1.31B	-15.1M	0.65	5.94	67,776	44,249	800,794	693,715
2017-04-26	$60.14	$60.00	19.7%	5.6%	17.4%	3.4%	19.5%	2.3%	0.3%	86.2M	-1.25B	-15.1M	0.54	4.42	74,422	39,841	824,217	707,563
2017-04-27	$59.39	$60.00	18.9%	5.4%	18.0%	0.4%	19.2%	1.7%	0.1%	64.1M	-879.6M	-15.0M	0.82	3.69	52,354	42,829	820,853	710,356
2017-04-28	$59.09	$60.00	18.8%	5.2%	16.6%	0.0%	17.8%	2.1%	0.3%	23.9M	-713.1M	-15.1M	0.50	5.04	67,998	34,109	828,420	724,183