C Options History — October 2017

In October 2017, C traded between $71.72 and $75.66. ATM implied volatility averaged 18.6%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.0% (HV 20d: 17.7%). Max pain ranged from $69.00 to $72.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2017-10-12: Highest Volume — 279,262 contracts
2017-10-13: Largest IV drop — 8.0% change
2017-10-09: Highest IV Rank — 32.1%
2017-10-09: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.75	$71.72	$75.66	$73.73	$73.51
Max Pain	$71.75	$69.00	$72.50	$69.00	$72.50
ATM IV	18.6%	16.9%	20.8%	19.4%	18.6%
Expected Move	5.3%	4.8%	5.9%	5.5%	5.4%
HV 20d	17.7%	14.2%	19.8%	19.8%	17.4%
HV 60d	17.6%	16.5%	18.6%	16.7%	17.3%
IV Rank	15.8%	2.5%	32.1%	21.3%	15.3%
IV Percentile	23.0%	2.8%	53.2%	28.2%	23.8%
Term Structure	0.0%	-0.7%	1.0%	-0.1%	0.8%
VWIV	19.1%	17.0%	21.8%	19.4%	19.3%
Skew 25d	1.6%	1.0%	2.6%	2.5%	1.0%
Skew 10d	3.0%	1.3%	5.1%	4.8%	4.2%
Call IV 25d	18.2%	16.4%	20.6%	18.4%	18.8%
Put IV 25d	19.8%	17.9%	22.2%	20.9%	19.8%
Bid-Ask Spread %	4.01	1.89	16.08	3.54	2.50
Gamma HHI	0.14	0.10	0.18	0.13	0.15
Net GEX	129.0M	81.8M	174.9M	126.5M	123.8M
Net DEX	-3.37B	-4.30B	-2.42B	-3.60B	-3.12B
Net VEX	-18.7M	-19.5M	-17.1M	-17.1M	-19.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.34	1.05	0.85	0.65
Total Volume	118,741.591	58,166	279,262	76,330	70,896
Total OI	1,896,982.318	1,692,363	2,110,343	1,692,363	1,902,965

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
2017-10-02	$73.73	$69.00	19.4%	5.5%	19.8%	21.3%	19.4%	2.5%	-0.1%	126.5M	-3.60B	-17.1M	0.85	3.54	41,218	35,112	976,730	715,633
2017-10-03	$74.13	$69.50	19.7%	5.6%	17.0%	23.3%	20.1%	2.6%	-0.1%	124.0M	-3.69B	-17.8M	0.99	3.48	42,949	42,608	984,629	726,999
2017-10-04	$73.98	$70.00	20.1%	5.5%	17.1%	26.5%	19.6%	2.6%	-0.4%	120.2M	-3.65B	-17.4M	0.42	4.51	93,041	38,915	992,879	744,028
2017-10-05	$75.66	$70.00	20.8%	5.9%	15.3%	31.8%	21.8%	1.9%	-0.7%	119.2M	-4.23B	-18.0M	0.41	2.38	151,776	62,752	1,002,610	754,025
2017-10-06	$75.57	$70.00	20.5%	5.8%	15.5%	30.0%	20.3%	1.6%	-0.4%	134.4M	-4.30B	-18.2M	0.39	2.77	116,368	45,665	1,049,960	770,769
2017-10-09	$75.32	$70.00	20.8%	5.9%	14.5%	32.1%	21.1%	1.6%	-0.2%	145.8M	-4.12B	-18.8M	0.96	2.76	42,019	40,421	1,071,058	757,693
2017-10-10	$75.19	$72.50	20.1%	5.7%	14.2%	26.3%	20.2%	2.0%	-0.4%	148.6M	-4.06B	-19.0M	1.05	2.93	42,596	44,625	1,081,513	772,756
2017-10-11	$74.96	$72.50	20.2%	5.6%	14.4%	27.1%	20.6%	1.6%	-0.5%	143.5M	-4.00B	-18.8M	0.97	16.08	71,430	69,061	1,094,448	792,288
2017-10-12	$72.44	$72.50	19.0%	5.5%	19.7%	18.7%	19.4%	1.4%	0.2%	86.4M	-2.61B	-18.8M	0.49	3.37	187,672	91,590	1,125,063	833,722
2017-10-13	$72.13	$72.50	17.5%	5.0%	19.8%	7.3%	17.8%	1.6%	0.0%	81.8M	-2.44B	-18.7M	0.49	1.89	160,360	77,934	1,188,094	864,192
2017-10-16	$71.72	$72.50	17.7%	5.1%	18.4%	9.0%	17.7%	1.2%	-0.1%	105.3M	-2.42B	-18.9M	0.44	2.95	76,449	33,644	1,190,085	827,601
2017-10-17	$72.14	$72.50	17.8%	5.1%	18.3%	9.3%	17.9%	1.5%	-0.1%	137.5M	-2.69B	-19.1M	0.41	10.58	82,859	34,140	1,214,281	833,627
2017-10-18	$73.21	$72.50	17.1%	4.9%	18.9%	4.1%	17.3%	1.4%	-0.4%	164.7M	-3.38B	-18.9M	0.34	2.00	100,972	34,438	1,237,111	842,828
2017-10-19	$72.77	$72.50	16.9%	4.8%	19.1%	2.5%	17.5%	1.4%	-0.1%	174.9M	-3.12B	-19.0M	0.69	2.25	49,627	34,485	1,244,835	851,003
2017-10-20	$73.49	$72.50	16.9%	4.9%	19.2%	2.6%	17.0%	1.5%	-0.5%	124.7M	-3.52B	-19.5M	0.52	2.10	67,093	34,656	1,248,981	861,362
2017-10-23	$73.52	$72.50	17.1%	4.9%	18.9%	4.4%	17.6%	1.5%	0.4%	129.2M	-3.12B	-18.9M	0.61	2.62	43,119	26,313	1,082,835	735,774
2017-10-24	$74.17	$72.50	17.9%	5.2%	19.0%	10.1%	18.5%	1.6%	0.8%	135.3M	-3.42B	-19.3M	0.51	2.51	73,483	37,495	1,089,407	746,257
2017-10-25	$73.65	$72.50	18.1%	5.4%	18.2%	12.0%	19.6%	1.5%	0.5%	121.5M	-3.10B	-19.3M	0.57	5.56	58,295	33,352	1,090,675	755,793
2017-10-26	$73.77	$72.50	18.2%	5.3%	18.1%	12.4%	19.4%	1.5%	0.5%	129.9M	-3.21B	-19.1M	0.62	4.45	52,978	32,834	1,110,092	767,712
2017-10-27	$73.77	$72.50	17.6%	5.2%	18.1%	8.1%	18.3%	1.1%	0.6%	127.5M	-3.19B	-19.4M	0.70	4.32	46,388	32,521	1,129,956	779,809
2017-10-30	$73.77	$72.50	18.3%	5.2%	17.5%	13.3%	19.0%	1.2%	1.0%	133.3M	-3.19B	-19.4M	0.79	2.63	32,542	25,624	1,122,841	768,692
2017-10-31	$73.51	$72.50	18.6%	5.4%	17.4%	15.3%	19.3%	1.0%	0.8%	123.8M	-3.12B	-19.0M	0.65	2.50	42,938	27,958	1,128,380	774,585