C Options History — July 2017

In July 2017, C traded between $66.00 and $68.56. ATM implied volatility averaged 18.8%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.7% (HV 20d: 16.1%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.50.

Notable Days

  • 2017-07-27: Highest Volume — 158,992 contracts
  • 2017-07-14: Largest IV drop — 11.3% change
  • 2017-07-11: Highest IV Rank — 36.5%
  • 2017-07-05: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.33$66.00$68.56$68.26$68.56
Max Pain$64.50$62.50$65.00$62.50$65.00
ATM IV18.8%16.5%22.7%22.2%16.6%
Expected Move5.3%4.7%6.2%6.0%4.7%
HV 20d16.1%13.8%17.6%17.4%14.9%
HV 60d17.6%16.5%18.4%18.3%17.4%
IV Rank14.7%0.0%36.5%29.9%0.2%
IV Percentile17.5%0.0%57.1%52.0%0.4%
Term Structure-0.1%-1.6%0.6%-0.5%0.1%
VWIV19.0%16.7%22.1%20.3%16.7%
Skew 25d2.6%1.9%3.6%1.9%2.5%
Skew 10d5.3%3.7%9.0%7.9%4.4%
Call IV 25d17.9%15.7%20.8%20.6%15.9%
Put IV 25d20.5%18.3%24.5%22.5%18.5%
Bid-Ask Spread %6.921.7038.2016.373.34
Gamma HHI0.190.140.620.150.18
Net GEX152.7M-3.1M479.7M137.4M143.6M
Net DEX-2.90B-3.55B-1.90B-3.52B-2.90B
Net VEX-15.9M-16.8M-15.0M-16.2M-15.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.240.750.330.39
Total Volume101,005.5554,229158,992147,311102,651
Total OI1,688,383.21,509,0261,806,8551,648,8821,593,443

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$68.26$62.5022.2%6.0%17.4%29.9%20.3%1.9%-0.5%137.4M-3.52B-16.2M0.3316.37111,17036,141949,986698,896
2017-07-05$68.47$62.5021.2%6.2%17.1%24.8%22.1%2.5%-0.5%142.4M-3.55B-16.3M0.538.7955,51329,557957,412709,318
2017-07-06$67.74$62.5022.7%6.1%17.6%33.5%21.8%3.6%-1.6%138.4M-3.23B-16.6M0.592.7347,05927,817967,413715,633
2017-07-07$67.92$62.5021.1%5.8%16.4%25.0%20.3%2.6%-1.0%121.3M-3.33B-16.4M0.323.42107,94734,304981,023724,403
2017-07-10$67.75$65.0020.8%5.9%15.6%31.2%20.6%3.1%-0.2%130.6M-3.24B-16.5M0.752.0045,58133,985959,539712,643
2017-07-11$66.93$65.0021.5%6.0%16.4%36.5%21.0%2.8%-0.5%127.6M-2.87B-16.8M0.371.7075,73628,150972,174724,234
2017-07-12$67.08$65.0020.6%5.8%16.3%29.7%20.1%2.6%-0.2%140.7M-3.02B-16.0M0.6338.2053,34533,720993,442733,218
2017-07-13$67.00$65.0020.6%5.8%16.3%30.2%21.3%2.8%-0.5%138.0M-2.94B-16.4M0.561.9865,69736,6831,004,570747,276
2017-07-14$66.83$65.0018.3%5.2%15.9%12.7%18.6%2.7%0.1%145.6M-2.88B-16.3M0.4625.29105,16048,0061,028,364769,413
2017-07-17$66.84$65.0017.2%4.9%15.7%4.1%18.1%2.6%0.2%154.7M-2.91B-15.4M0.672.0242,33928,2371,011,478745,863
2017-07-18$66.88$65.0017.3%4.9%15.4%4.9%18.4%2.6%0.5%151.5M-2.95B-15.3M0.491.7850,20224,5711,016,225756,068
2017-07-19$66.70$65.0016.5%4.7%15.1%0.0%17.2%2.6%0.6%142.7M-2.77B-15.7M0.461.9448,02122,0551,018,083761,588
2017-07-20$66.45$65.0017.0%4.8%15.2%3.3%18.4%2.6%0.6%124.9M-2.71B-15.1M0.662.1632,74721,4821,031,151765,232
2017-07-21$66.00$65.0016.9%4.9%15.3%3.1%18.4%2.6%-0.7%-3.1M-2.47B-15.2M0.571.7648,35727,7921,032,510774,345
2017-07-24$66.17$65.0017.2%4.9%15.1%4.8%17.5%2.5%-0.1%114.5M-1.90B-15.2M0.542.3455,63629,981874,463634,563
2017-07-25$68.05$65.0017.2%4.9%17.5%5.0%17.5%2.3%0.1%167.3M-2.89B-15.0M0.245.34122,73229,070903,171645,834
2017-07-26$67.95$65.0016.9%4.8%17.5%2.9%17.4%1.9%0.2%183.3M-2.77B-15.6M0.452.3167,97330,277927,346654,937
2017-07-27$67.57$65.0017.6%5.0%17.5%8.2%17.7%1.9%0.3%173.7M-2.59B-15.4M0.3712.58116,23742,755936,922663,890
2017-07-28$67.47$65.0016.9%4.8%13.8%2.9%17.0%2.2%0.3%479.7M-2.55B-16.0M0.652.4161,33340,092992,705678,890
2017-07-31$68.56$65.0016.6%4.7%14.9%0.2%16.7%2.5%0.1%143.6M-2.90B-15.7M0.393.3473,86528,786931,895661,548