C Options History — May 2017 In May 2017, C traded between $59.51 and $62.49. ATM implied volatility averaged 18.3%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.0% (HV 20d: 18.2%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.80.
Notable Days 2017-05-17 : Highest Volume — 184,984 contracts2017-05-17 : Largest IV spike — 31.6% change2017-05-17 : Highest IV Rank — 19.3%2017-05-17 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $60.88 $59.51 $62.49 $59.65 $60.54 Max Pain $58.95 $57.50 $60.00 $59.00 $60.00 ATM IV 18.3% 16.6% 21.9% 18.8% 20.0% Expected Move 5.3% 4.8% 6.3% 5.2% 5.7% HV 20d 18.2% 16.3% 22.2% 16.7% 20.2% HV 60d 18.6% 17.4% 20.0% 20.0% 18.3% IV Rank 4.7% 0.0% 19.3% 0.3% 12.2% IV Percentile 5.1% 0.0% 37.3% 0.8% 12.3% Term Structure 0.5% -1.2% 1.3% -0.0% -0.3% VWIV 18.7% 17.1% 22.5% 18.3% 20.0% Skew 25d 2.4% 1.9% 3.9% 2.4% 2.0% Skew 10d 5.4% 3.7% 8.8% 4.5% 4.7% Call IV 25d 17.3% 15.7% 20.4% 17.6% 19.5% Put IV 25d 19.8% 18.1% 24.2% 19.9% 21.5% Bid-Ask Spread % 3.32 1.69 12.52 12.52 4.26 Gamma HHI 0.13 0.09 0.26 0.11 0.16 Net GEX 88.0M 47.6M 191.2M 59.4M 47.6M Net DEX -1.34B -2.03B -912.7M -1.02B -964.7M Net VEX -15.3M -15.8M -14.8M -15.3M -15.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.45 1.42 0.85 0.58 Total Volume 99,017.091 56,172 184,984 80,969 145,280 Total OI 1,565,971.045 1,486,118 1,713,988 1,498,736 1,574,317
Daily Data (22 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 2017-05-01 $59.65 $59.00 18.8% 5.2% 16.7% 0.3% 18.3% 2.4% -0.0% 59.4M -1.02B -15.3M 0.85 12.52 43,783 37,186 812,351 686,385 2017-05-02 $59.51 $59.00 18.5% 5.3% 16.6% 0.0% 18.7% 2.3% 0.2% 48.2M -912.7M -15.0M 0.97 2.58 31,446 30,442 811,444 698,549 2017-05-03 $60.23 $59.00 18.0% 5.1% 17.2% 0.0% 17.7% 1.9% 0.5% 70.4M -1.20B -15.1M 0.80 5.48 32,069 25,599 817,952 703,038 2017-05-04 $60.21 $57.50 18.0% 5.4% 17.2% 0.2% 19.6% 2.2% 0.1% 70.0M -1.19B -15.1M 1.07 2.53 44,247 47,302 820,076 707,071 2017-05-05 $60.29 $57.50 17.2% 5.3% 17.1% 0.0% 17.9% 2.5% 0.2% 66.6M -1.23B -15.0M 1.10 2.40 36,590 40,294 834,200 720,586 2017-05-08 $60.46 $57.50 16.7% 5.1% 16.9% 0.0% 17.7% 2.0% 0.9% 77.2M -1.24B -15.2M 1.42 2.16 29,429 41,827 823,896 709,520 2017-05-09 $60.17 $57.50 17.6% 5.3% 16.9% 3.3% 18.6% 2.3% 0.7% 68.6M -1.10B -15.0M 0.95 3.81 37,644 35,906 828,962 719,354 2017-05-10 $60.41 $57.50 17.0% 5.2% 16.8% 1.0% 18.3% 2.3% 1.2% 80.0M -1.20B -15.0M 1.28 1.69 24,643 31,529 833,701 724,113 2017-05-11 $60.70 $57.50 17.9% 5.4% 16.6% 4.3% 18.2% 2.3% 0.9% 91.3M -1.32B -15.2M 0.65 1.91 56,333 36,749 837,755 727,862 2017-05-12 $61.01 $57.50 17.2% 5.2% 16.4% 1.9% 18.6% 2.4% 1.3% 191.2M -1.51B -14.8M 0.86 1.76 39,626 34,207 848,882 733,580 2017-05-15 $61.35 $57.50 16.6% 4.8% 16.3% 0.0% 17.4% 2.7% 1.0% 106.1M -1.54B -14.9M 0.65 1.81 56,568 36,637 834,948 719,678 2017-05-16 $62.49 $60.00 16.7% 4.8% 17.2% 0.1% 17.9% 2.8% 0.4% 123.7M -2.03B -15.2M 0.56 2.08 108,724 61,225 850,955 729,692 2017-05-17 $60.06 $60.00 21.9% 6.3% 22.2% 19.3% 22.5% 3.9% 0.4% 60.5M -954.8M -15.6M 0.95 3.45 95,089 89,895 903,361 751,287 2017-05-18 $60.25 $60.00 20.9% 5.9% 21.5% 15.4% 21.0% 3.5% 1.2% 61.0M -992.1M -15.6M 0.84 3.10 67,461 56,691 917,768 769,758 2017-05-19 $61.03 $60.00 19.9% 5.8% 21.2% 11.8% 19.3% 3.2% -1.2% 111.0M -1.54B -15.4M 0.63 3.45 91,119 57,622 934,579 779,409 2017-05-22 $60.95 $60.00 18.0% 5.1% 19.2% 5.0% 18.3% 2.6% 0.6% 72.0M -1.23B -15.3M 0.55 3.65 61,240 33,664 819,982 666,136 2017-05-23 $61.78 $60.00 18.0% 5.2% 19.3% 5.1% 18.4% 2.2% 0.8% 89.3M -1.55B -15.6M 0.46 3.22 62,546 28,654 847,651 676,179 2017-05-24 $62.40 $60.00 17.8% 5.1% 19.5% 4.4% 18.0% 2.0% 0.7% 102.7M -1.81B -15.6M 0.45 3.64 86,463 38,787 858,016 683,902 2017-05-25 $62.01 $60.00 17.8% 5.0% 19.0% 4.3% 18.3% 2.0% 0.7% 113.5M -1.68B -15.8M 0.68 2.12 61,801 41,719 886,116 695,757 2017-05-26 $62.04 $60.00 17.6% 4.8% 18.8% 3.5% 17.1% 2.0% 0.6% 140.9M -1.69B -15.8M 0.55 2.53 54,352 30,008 892,722 704,419 2017-05-30 $61.76 $60.00 19.4% 5.4% 18.7% 10.3% 19.3% 2.2% -0.5% 84.2M -1.47B -15.6M 0.73 2.95 43,954 32,026 874,168 681,286 2017-05-31 $60.54 $60.00 20.0% 5.7% 20.2% 12.2% 20.0% 2.0% -0.3% 47.6M -964.7M -15.2M 0.58 4.26 91,833 53,447 882,979 691,338
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