C Options History — August 2017

In August 2017, C traded between $66.00 and $69.34. ATM implied volatility averaged 18.3%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.8% (HV 20d: 16.5%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.75.

Notable Days

2017-08-02: Highest Volume — 329,821 contracts
2017-08-14: Largest IV drop — 14.0% change
2017-08-11: Highest IV Rank — 35.9%
2017-08-11: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.86	$66.00	$69.34	$69.34	$68.01
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	18.3%	16.8%	21.3%	16.8%	18.3%
Expected Move	5.2%	4.7%	6.0%	4.7%	5.1%
HV 20d	16.5%	14.4%	19.1%	14.4%	14.7%
HV 60d	16.9%	15.9%	18.2%	17.5%	15.9%
IV Rank	13.6%	1.8%	35.9%	2.2%	13.4%
IV Percentile	15.1%	2.0%	48.8%	2.0%	15.1%
Term Structure	0.3%	-0.6%	1.0%	-0.1%	0.5%
VWIV	18.7%	14.9%	22.7%	17.1%	19.0%
Skew 25d	2.8%	1.5%	4.5%	1.7%	3.3%
Skew 10d	6.1%	3.0%	9.4%	3.3%	6.3%
Call IV 25d	17.4%	16.2%	20.1%	16.6%	16.9%
Put IV 25d	20.2%	18.1%	23.8%	18.2%	20.1%
Bid-Ask Spread %	2.94	1.38	4.99	2.12	4.42
Gamma HHI	0.18	0.14	0.23	0.19	0.17
Net GEX	115.1M	61.2M	170.3M	149.2M	127.3M
Net DEX	-2.05B	-3.30B	-1.15B	-3.30B	-2.03B
Net VEX	-15.7M	-16.6M	-15.1M	-15.1M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.17	1.25	0.37	0.97
Total Volume	105,420.87	55,388	329,821	116,472	64,291
Total OI	1,650,717.696	1,584,803	1,792,224	1,640,833	1,643,151

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
2017-08-01	$69.34	$65.00	16.8%	4.7%	14.4%	2.2%	17.1%	1.7%	-0.1%	149.2M	-3.30B	-15.1M	0.37	2.12	85,149	31,323	969,481	671,352
2017-08-02	$69.22	$65.00	16.8%	4.7%	14.4%	1.8%	14.9%	1.7%	0.2%	170.3M	-3.30B	-15.4M	0.17	2.85	282,978	46,843	991,554	676,442
2017-08-03	$68.07	$65.00	17.0%	5.1%	15.2%	3.3%	18.7%	2.2%	0.2%	111.8M	-2.10B	-15.4M	0.70	2.71	74,267	52,048	887,477	697,326
2017-08-04	$68.96	$65.00	17.4%	5.1%	15.8%	6.4%	18.4%	1.5%	0.1%	158.2M	-2.54B	-15.7M	0.42	3.96	126,021	52,836	909,645	720,571
2017-08-07	$69.08	$65.00	17.3%	5.1%	15.8%	5.6%	18.2%	1.8%	0.3%	131.0M	-2.60B	-15.6M	0.69	1.38	37,631	25,864	903,804	699,342
2017-08-08	$69.03	$65.00	17.7%	5.2%	15.0%	8.5%	18.9%	1.8%	0.4%	128.0M	-2.53B	-15.9M	0.46	2.06	72,194	32,853	910,158	705,928
2017-08-09	$68.21	$65.00	18.5%	5.5%	15.8%	14.5%	20.6%	1.9%	0.7%	113.3M	-2.16B	-16.0M	0.70	1.88	55,221	38,903	919,524	715,231
2017-08-10	$67.35	$65.00	20.6%	5.9%	16.5%	30.2%	22.7%	3.4%	0.2%	93.4M	-1.76B	-16.3M	0.73	3.26	79,591	58,237	935,297	728,391
2017-08-11	$66.86	$65.00	21.3%	6.0%	16.7%	35.9%	22.0%	3.4%	-0.6%	74.4M	-1.54B	-16.5M	0.91	2.73	55,526	50,421	970,128	757,694
2017-08-14	$67.99	$65.00	18.4%	5.3%	17.7%	13.7%	17.7%	3.3%	0.1%	129.0M	-2.08B	-15.8M	0.75	1.82	45,021	33,848	941,673	751,299
2017-08-15	$68.24	$65.00	18.6%	5.3%	17.7%	15.5%	18.8%	2.6%	-0.1%	137.9M	-2.27B	-15.8M	0.91	1.69	50,112	45,530	948,309	755,797
2017-08-16	$67.62	$65.00	18.1%	5.2%	18.0%	11.3%	18.7%	3.3%	0.8%	118.2M	-1.89B	-15.7M	0.86	3.19	47,265	40,475	956,052	768,726
2017-08-17	$66.69	$65.00	20.3%	5.8%	18.7%	28.3%	21.2%	4.5%	1.0%	75.5M	-1.42B	-16.6M	0.85	3.47	62,911	53,173	972,239	781,249
2017-08-18	$66.86	$65.00	19.1%	5.4%	18.5%	18.9%	19.3%	4.0%	1.0%	94.0M	-1.46B	-16.3M	1.06	1.85	50,515	53,488	997,582	794,642
2017-08-21	$66.00	$65.00	19.1%	5.4%	19.1%	19.4%	19.2%	3.4%	0.5%	61.2M	-1.15B	-15.9M	0.44	2.01	77,407	34,285	859,865	724,987
2017-08-22	$66.82	$65.00	18.1%	5.1%	16.7%	11.6%	18.1%	2.9%	0.4%	86.9M	-1.50B	-15.5M	1.13	3.08	30,287	34,322	854,691	732,953
2017-08-23	$67.30	$65.00	17.8%	5.0%	17.0%	9.8%	17.1%	3.1%	0.3%	103.6M	-1.71B	-15.5M	0.77	3.57	38,066	29,497	861,285	744,205
2017-08-24	$67.73	$65.00	18.4%	5.3%	17.0%	14.1%	18.9%	3.1%	0.0%	121.9M	-1.92B	-15.6M	0.72	3.01	54,347	39,116	875,036	752,517
2017-08-25	$68.07	$65.00	17.6%	4.8%	17.1%	8.4%	16.6%	2.9%	0.5%	131.5M	-2.13B	-15.5M	0.79	4.02	49,179	38,698	883,026	757,225
2017-08-28	$67.80	$65.00	18.0%	5.0%	16.1%	10.8%	17.1%	3.1%	0.3%	107.4M	-1.86B	-15.6M	1.25	3.43	24,585	30,803	862,439	740,158
2017-08-29	$67.57	$65.00	18.5%	5.1%	15.5%	14.9%	18.5%	3.5%	0.3%	101.9M	-1.75B	-15.6M	0.80	4.01	42,413	33,765	865,605	744,947
2017-08-30	$68.07	$65.00	18.4%	5.2%	15.8%	13.6%	18.9%	3.0%	0.4%	120.6M	-2.04B	-15.2M	0.73	4.99	36,542	26,833	875,338	752,166
2017-08-31	$68.01	$65.00	18.3%	5.1%	14.7%	13.4%	19.0%	3.3%	0.5%	127.3M	-2.03B	-15.1M	0.97	4.42	32,614	31,677	882,489	760,662