C Options History — June 2017 In June 2017, C traded between $60.96 and $67.19. ATM implied volatility averaged 20.0%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.5% (HV 20d: 18.4%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.53.
Notable Days 2017-06-29 : Highest Volume — 273,709 contracts2017-06-16 : Largest IV drop — 8.6% change2017-06-28 : Highest IV Rank — 23.6%2017-06-28 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $63.77 $60.96 $67.19 $60.96 $67.19 Max Pain $61.59 $60.00 $62.50 $60.00 $62.50 ATM IV 20.0% 18.5% 21.4% 19.4% 19.5% Expected Move 5.8% 5.3% 6.3% 5.6% 5.5% HV 20d 18.4% 14.0% 22.6% 19.9% 17.0% HV 60d 18.0% 17.0% 19.1% 18.3% 18.1% IV Rank 13.0% 6.7% 23.6% 10.3% 15.6% IV Percentile 18.9% 6.3% 39.7% 9.1% 12.3% Term Structure 0.1% -1.2% 1.6% -0.4% -0.5% VWIV 20.6% 18.4% 22.2% 20.0% 19.6% Skew 25d 2.7% 1.9% 3.1% 1.9% 2.8% Skew 10d 5.5% 3.2% 8.8% 4.6% 6.7% Call IV 25d 18.9% 17.6% 20.2% 19.0% 18.1% Put IV 25d 21.5% 19.7% 23.2% 20.9% 20.9% Bid-Ask Spread % 4.15 2.58 10.84 3.22 3.73 Gamma HHI 0.16 0.14 0.20 0.14 0.16 Net GEX 111.2M 67.3M 150.3M 67.3M 138.3M Net DEX -2.19B -3.37B -1.17B -1.17B -3.37B Net VEX -16.1M -16.8M -15.0M -15.4M -16.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.34 0.80 0.49 0.58 Total Volume 116,685.955 73,800 273,709 106,240 97,592 Total OI 1,665,244.364 1,504,999 1,841,739 1,626,681 1,719,498
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 2017-06-01 $60.96 $60.00 19.4% 5.6% 19.9% 10.3% 20.0% 1.9% -0.4% 67.3M -1.17B -15.4M 0.49 3.22 71,527 34,713 913,762 712,919 2017-06-02 $61.10 $60.00 18.9% 5.3% 19.9% 8.4% 18.4% 2.4% 0.2% 72.0M -1.24B -15.3M 0.48 5.04 72,660 35,211 933,640 723,888 2017-06-05 $61.26 $60.00 18.5% 5.6% 20.0% 6.7% 20.3% 2.1% 1.4% 75.0M -1.32B -15.3M 0.45 3.37 57,982 25,830 897,665 713,153 2017-06-06 $61.03 $60.00 18.9% 6.0% 20.0% 8.5% 22.2% 2.2% 1.2% 68.2M -1.21B -15.0M 0.80 3.47 47,940 38,445 906,205 721,293 2017-06-07 $62.05 $60.00 18.8% 5.8% 20.7% 8.1% 21.0% 2.0% 1.4% 98.2M -1.67B -15.5M 0.41 3.85 70,511 29,134 912,822 736,459 2017-06-08 $63.38 $60.00 18.9% 5.9% 21.8% 8.3% 20.8% 2.1% 1.6% 121.3M -2.29B -15.8M 0.43 3.74 100,922 43,815 937,523 746,625 2017-06-09 $64.52 $60.00 19.9% 5.8% 22.5% 11.9% 20.8% 2.6% 1.0% 133.1M -2.81B -15.7M 0.34 6.38 165,875 55,949 955,571 757,192 2017-06-12 $64.32 $60.00 20.8% 6.0% 22.6% 15.4% 21.5% 3.1% -0.2% 131.9M -2.68B -15.7M 0.37 3.00 110,957 41,296 973,995 752,806 2017-06-13 $64.71 $62.50 20.2% 5.7% 22.6% 13.0% 20.9% 2.8% -0.6% 149.0M -2.91B -15.7M 0.58 2.58 75,820 44,087 1,010,698 770,977 2017-06-14 $64.66 $62.50 20.5% 5.7% 21.8% 14.1% 20.7% 2.8% -0.6% 150.3M -2.82B -16.6M 0.58 10.84 83,850 48,776 1,028,788 789,707 2017-06-15 $64.06 $62.50 20.7% 5.7% 16.1% 15.0% 20.1% 2.9% -1.2% 128.1M -2.53B -16.7M 0.54 3.46 53,671 29,172 1,036,212 801,928 2017-06-16 $63.81 $62.50 18.9% 5.3% 16.3% 8.5% 18.9% 3.1% -0.8% 87.7M -2.41B -16.4M 0.51 3.33 56,699 28,862 1,036,978 804,761 2017-06-19 $64.50 $62.50 20.1% 5.7% 16.2% 12.8% 20.3% 2.9% -0.0% 108.6M -2.19B -16.3M 0.54 3.78 64,960 34,863 871,637 633,362 2017-06-20 $64.01 $62.50 20.1% 5.7% 16.5% 12.7% 21.0% 2.9% 0.2% 105.6M -2.00B -16.5M 0.80 4.07 42,424 34,124 902,201 643,807 2017-06-21 $63.93 $62.50 19.9% 5.7% 16.0% 11.8% 21.0% 3.1% 0.3% 105.3M -1.99B -16.1M 0.56 3.29 60,583 33,664 913,281 649,939 2017-06-22 $63.60 $62.50 20.7% 5.9% 15.9% 14.9% 20.9% 2.4% 0.5% 99.9M -1.83B -16.7M 0.62 5.14 58,180 36,192 935,897 661,780 2017-06-23 $63.30 $62.50 20.7% 5.9% 15.8% 15.0% 21.0% 2.7% 0.1% 92.1M -1.70B -16.2M 0.56 4.53 47,338 26,462 956,991 677,470 2017-06-26 $63.92 $62.50 20.2% 5.8% 16.1% 13.1% 20.1% 2.6% -0.1% 112.6M -1.95B -16.1M 0.36 3.07 57,919 20,640 919,594 664,744 2017-06-27 $64.41 $62.50 21.0% 6.0% 16.1% 15.8% 21.3% 3.0% -0.3% 134.0M -2.14B -16.7M 0.71 3.76 77,213 54,810 932,644 663,860 2017-06-28 $65.06 $62.50 21.4% 6.3% 14.0% 23.6% 22.0% 3.0% -0.6% 136.1M -2.51B -16.3M 0.48 3.67 82,970 39,744 961,369 683,251 2017-06-29 $67.09 $62.50 20.7% 6.1% 17.0% 22.1% 21.2% 3.0% -0.6% 132.9M -3.35B -16.8M 0.42 4.01 193,230 80,479 967,151 701,333 2017-06-30 $67.19 $62.50 19.5% 5.5% 17.0% 15.6% 19.6% 2.8% -0.5% 138.3M -3.37B -16.6M 0.58 3.73 61,948 35,644 993,671 725,827
« May 2017 | All History | Jul 2017 » Home C History June 2017