C Options History — September 2017

In September 2017, C traded between $65.95 and $72.72. ATM implied volatility averaged 19.5%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.1% (HV 20d: 18.4%). Max pain ranged from $65.00 to $69.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2017-09-27: Highest Volume — 313,953 contracts
2017-09-05: Largest IV spike — 26.2% change
2017-09-05: Highest IV Rank — 37.5%
2017-09-07: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.77	$65.95	$72.72	$68.69	$72.72
Max Pain	$67.55	$65.00	$69.00	$65.00	$69.00
ATM IV	19.5%	17.1%	21.6%	17.1%	18.8%
Expected Move	5.6%	4.5%	6.6%	4.5%	5.3%
HV 20d	18.4%	14.4%	19.7%	14.4%	19.6%
HV 60d	16.9%	15.5%	17.6%	15.5%	16.5%
IV Rank	22.0%	4.2%	37.5%	4.2%	17.2%
IV Percentile	28.3%	5.2%	55.2%	5.2%	20.6%
Term Structure	0.4%	-1.0%	1.7%	0.5%	0.6%
VWIV	20.0%	16.3%	22.3%	16.3%	19.0%
Skew 25d	2.8%	1.8%	3.9%	2.6%	1.8%
Skew 10d	6.0%	3.6%	7.7%	6.2%	3.6%
Call IV 25d	18.4%	15.8%	20.1%	15.8%	17.9%
Put IV 25d	21.2%	18.4%	23.6%	18.4%	19.7%
Bid-Ask Spread %	3.14	1.72	6.18	4.08	3.36
Gamma HHI	0.17	0.12	0.32	0.23	0.13
Net GEX	108.8M	45.3M	191.7M	128.2M	116.6M
Net DEX	-2.39B	-3.28B	-1.06B	-2.38B	-3.28B
Net VEX	-15.0M	-17.4M	-14.3M	-14.9M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.23	1.37	0.78	0.69
Total Volume	91,115.7	52,217	313,953	77,048	62,895
Total OI	1,601,575.35	1,380,444	1,784,926	1,653,977	1,730,773

Daily Data (20 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
2017-09-01	$68.69	$65.00	17.1%	4.5%	14.4%	4.2%	16.3%	2.6%	0.5%	128.2M	-2.38B	-14.9M	0.78	4.08	43,284	33,764	890,040	763,937
2017-09-05	$67.08	$67.50	21.6%	6.4%	16.6%	37.5%	22.0%	3.9%	1.0%	74.5M	-1.52B	-15.3M	0.87	2.49	47,634	41,584	872,893	754,566
2017-09-06	$67.36	$67.50	20.0%	6.2%	16.7%	25.7%	21.8%	3.0%	1.7%	82.6M	-1.66B	-15.2M	0.80	2.25	30,424	24,454	891,908	770,321
2017-09-07	$65.95	$67.50	21.3%	6.6%	17.8%	35.6%	22.3%	3.1%	1.7%	45.3M	-1.06B	-14.7M	0.58	2.03	57,810	33,640	902,552	775,423
2017-09-08	$66.18	$67.50	21.6%	6.6%	17.4%	37.5%	22.2%	3.3%	1.7%	56.6M	-1.18B	-14.7M	0.78	2.21	44,335	34,469	921,226	784,962
2017-09-11	$67.77	$67.50	19.4%	5.8%	19.2%	21.5%	19.9%	2.9%	0.4%	117.3M	-1.98B	-14.4M	0.74	2.28	35,748	26,613	915,077	779,461
2017-09-12	$68.82	$67.50	19.2%	5.5%	19.1%	20.2%	19.5%	3.0%	-0.4%	166.1M	-2.51B	-14.3M	0.78	2.34	46,723	36,518	920,571	785,607
2017-09-13	$69.32	$67.50	19.1%	5.4%	19.2%	19.4%	20.4%	2.7%	-0.2%	191.7M	-2.75B	-14.3M	0.97	2.62	36,554	35,378	924,258	798,540
2017-09-14	$69.24	$67.50	19.1%	5.3%	18.9%	19.3%	19.2%	2.7%	-0.8%	168.6M	-2.57B	-14.6M	0.62	1.72	64,411	39,885	928,533	811,998
2017-09-15	$69.01	$67.50	18.6%	5.2%	18.1%	15.4%	18.7%	2.6%	-1.0%	84.7M	-2.54B	-14.5M	0.84	2.34	36,487	30,788	954,770	830,156
2017-09-18	$70.58	$67.50	19.4%	5.5%	19.6%	21.6%	19.5%	2.9%	0.1%	101.5M	-2.47B	-14.4M	0.68	3.12	68,447	46,410	759,101	621,343
2017-09-19	$71.19	$67.50	20.0%	5.7%	18.7%	25.8%	20.5%	3.1%	0.2%	103.0M	-2.61B	-15.3M	0.49	2.84	79,106	38,536	775,074	641,370
2017-09-20	$71.58	$67.50	19.5%	5.6%	18.5%	22.3%	19.1%	2.8%	0.3%	106.6M	-2.77B	-14.7M	0.39	3.75	86,502	33,505	786,770	659,899
2017-09-21	$71.75	$67.50	18.9%	5.4%	18.4%	18.1%	19.0%	2.7%	0.2%	110.3M	-2.85B	-14.7M	0.82	3.14	33,115	27,239	800,293	673,176
2017-09-22	$71.45	$67.50	18.3%	5.2%	18.6%	13.5%	19.4%	2.6%	0.3%	111.6M	-2.72B	-14.7M	1.37	3.13	22,015	30,202	807,307	679,187
2017-09-25	$70.82	$68.00	19.4%	5.6%	19.0%	21.1%	20.7%	3.0%	0.7%	88.2M	-2.33B	-15.3M	1.24	6.18	23,366	28,857	789,465	664,304
2017-09-26	$70.95	$68.00	19.1%	5.5%	18.9%	19.1%	19.5%	2.6%	0.8%	92.8M	-2.44B	-14.7M	1.14	5.43	30,838	35,305	797,832	676,289
2017-09-27	$72.33	$68.00	19.9%	5.8%	19.7%	25.2%	20.3%	2.5%	0.5%	105.6M	-2.94B	-14.6M	0.23	4.11	255,944	58,009	799,822	689,953
2017-09-28	$72.63	$68.00	19.1%	5.5%	19.6%	19.3%	20.2%	2.0%	0.4%	124.9M	-3.22B	-17.4M	0.96	3.33	41,531	39,989	986,647	716,103
2017-09-29	$72.72	$69.00	18.8%	5.3%	19.6%	17.2%	19.0%	1.8%	0.6%	116.6M	-3.28B	-17.2M	0.69	3.36	37,299	25,596	997,276	733,497