C Options History — December 2017

In December 2017, C traded between $73.86 and $77.21. ATM implied volatility averaged 19.8%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.1% (HV 20d: 19.9%). Max pain ranged from $65.00 to $72.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.77.

Notable Days

2017-12-04: Highest Volume — 179,603 contracts
2017-12-18: Largest IV spike — 7.7% change
2017-12-26: Highest IV Rank — 35.4%
2017-12-01: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.31	$73.86	$77.21	$75.37	$74.53
Max Pain	$67.75	$65.00	$72.50	$72.50	$70.00
ATM IV	19.8%	18.0%	20.8%	20.5%	19.5%
Expected Move	6.0%	5.6%	6.6%	6.6%	5.6%
HV 20d	19.9%	17.3%	22.1%	17.3%	17.8%
HV 60d	17.2%	16.6%	17.6%	16.8%	17.4%
IV Rank	27.5%	12.2%	35.4%	33.4%	24.6%
IV Percentile	49.6%	19.0%	71.4%	59.1%	44.4%
Term Structure	0.7%	-0.8%	2.2%	0.3%	1.5%
VWIV	21.2%	19.9%	23.4%	23.4%	20.3%
Skew 25d	1.6%	0.5%	4.2%	1.2%	1.5%
Skew 10d	3.0%	0.8%	11.1%	2.0%	2.5%
Call IV 25d	19.4%	17.6%	21.6%	20.0%	19.0%
Put IV 25d	21.0%	19.3%	23.4%	21.2%	20.4%
Bid-Ask Spread %	6.88	1.69	65.32	2.91	2.84
Gamma HHI	0.14	0.10	0.34	0.14	0.34
Net GEX	112.1M	-89.5M	162.2M	124.5M	-89.5M
Net DEX	-2.89B	-3.90B	-2.24B	-3.27B	-2.24B
Net VEX	-16.4M	-17.4M	-15.4M	-17.2M	-15.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.43	1.13	0.77	1.13
Total Volume	92,088.15	47,907	179,603	96,283	71,393
Total OI	1,842,341.35	1,681,108	1,997,238	1,854,241	1,825,662

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
2017-12-01	$75.37	$72.50	20.5%	6.6%	17.3%	33.4%	23.4%	1.2%	0.3%	124.5M	-3.27B	-17.2M	0.77	2.91	54,524	41,759	1,052,363	801,878
2017-12-04	$77.21	$65.00	20.4%	6.2%	18.8%	32.7%	22.7%	1.9%	0.2%	143.9M	-3.90B	-17.3M	0.43	2.21	125,703	53,900	1,031,805	790,467
2017-12-05	$76.54	$65.00	20.8%	6.3%	19.1%	35.3%	22.7%	1.9%	0.3%	142.7M	-3.62B	-17.4M	0.95	2.86	38,733	36,828	1,051,236	803,898
2017-12-06	$75.31	$65.00	20.3%	6.3%	19.0%	31.1%	22.0%	4.2%	0.7%	130.4M	-2.96B	-17.2M	0.77	65.32	42,141	32,523	1,055,562	816,291
2017-12-07	$74.86	$65.00	19.7%	6.2%	19.2%	26.4%	22.1%	1.7%	0.7%	125.5M	-2.86B	-16.7M	0.57	3.22	74,498	42,720	1,057,942	821,759
2017-12-08	$75.61	$65.00	18.8%	6.0%	19.4%	18.6%	20.8%	1.8%	1.0%	139.8M	-3.31B	-16.7M	0.85	1.69	38,597	32,646	1,073,962	831,024
2017-12-11	$75.89	$65.00	18.0%	5.8%	19.2%	12.2%	20.3%	1.9%	2.2%	159.9M	-3.43B	-16.2M	0.94	1.76	26,559	25,046	1,065,739	815,312
2017-12-12	$76.19	$65.00	19.2%	6.1%	19.2%	22.5%	21.3%	1.7%	1.9%	162.2M	-3.59B	-16.5M	0.45	2.17	84,847	38,543	1,070,661	822,428
2017-12-13	$75.10	$67.50	18.3%	5.8%	19.8%	14.4%	20.5%	2.1%	2.0%	159.4M	-3.02B	-16.2M	0.67	5.29	55,746	37,124	1,099,282	838,638
2017-12-14	$73.86	$67.50	19.5%	5.9%	20.9%	24.6%	21.6%	1.4%	1.3%	98.1M	-2.24B	-16.0M	0.74	2.57	77,519	57,061	1,101,263	855,259
2017-12-15	$74.67	$67.50	19.0%	5.7%	21.1%	20.4%	20.7%	1.0%	1.4%	149.5M	-2.68B	-16.4M	0.73	2.37	69,399	50,705	1,121,986	875,252
2017-12-18	$75.63	$67.50	20.4%	6.0%	21.2%	32.6%	20.9%	1.7%	0.2%	101.6M	-2.76B	-16.0M	0.60	10.37	62,618	37,571	953,343	727,765
2017-12-19	$74.68	$67.50	20.4%	5.9%	21.7%	32.1%	20.8%	0.8%	-0.1%	84.6M	-2.40B	-16.2M	0.72	4.27	63,024	45,282	985,222	737,161
2017-12-20	$74.71	$70.00	20.2%	5.8%	21.7%	31.0%	20.4%	1.2%	-0.8%	80.0M	-2.36B	-16.1M	0.66	9.26	43,248	28,349	1,001,192	761,729
2017-12-21	$75.80	$70.00	20.5%	5.9%	22.1%	33.4%	20.7%	1.2%	-0.1%	119.0M	-2.93B	-16.8M	0.50	4.42	57,329	28,850	1,014,367	772,113
2017-12-22	$75.42	$70.00	20.2%	5.8%	22.1%	30.8%	21.2%	1.0%	0.4%	130.1M	-2.73B	-16.4M	0.95	3.46	46,042	43,815	1,019,906	780,777
2017-12-26	$74.74	$70.00	20.8%	6.0%	22.1%	35.4%	21.6%	0.5%	0.5%	86.6M	-2.39B	-16.0M	1.08	3.85	37,603	40,729	1,007,912	770,752
2017-12-27	$74.91	$70.00	20.2%	5.8%	18.9%	30.4%	20.3%	1.7%	0.6%	92.1M	-2.45B	-15.8M	0.91	3.71	25,034	22,873	1,021,436	790,057
2017-12-28	$75.08	$70.00	19.8%	5.7%	17.8%	27.2%	19.9%	1.8%	0.3%	100.8M	-2.54B	-15.7M	0.89	3.00	26,890	23,992	1,023,213	800,213
2017-12-29	$74.53	$70.00	19.5%	5.6%	17.8%	24.6%	20.3%	1.5%	1.5%	-89.5M	-2.24B	-15.4M	1.13	2.84	33,534	37,859	1,021,163	804,499