C Options History — January 2018

In January 2018, C traded between $74.30 and $79.97. ATM implied volatility averaged 19.7%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.8% (HV 20d: 13.9%). Max pain ranged from $70.00 to $77.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2018-01-16: Highest Volume — 237,479 contracts
2018-01-29: Largest IV spike — 7.7% change
2018-01-09: Highest IV Rank — 61.9%
2018-01-09: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.20	$74.30	$79.97	$74.30	$78.47
Max Pain	$74.98	$70.00	$77.50	$70.00	$77.50
ATM IV	19.7%	17.1%	22.4%	20.8%	19.3%
Expected Move	5.7%	4.9%	6.3%	6.0%	5.8%
HV 20d	13.9%	11.6%	17.8%	17.8%	12.9%
HV 60d	16.1%	15.6%	17.1%	16.7%	16.0%
IV Rank	31.7%	5.6%	61.9%	35.4%	29.5%
IV Percentile	50.7%	6.0%	90.5%	72.6%	44.8%
Term Structure	-0.0%	-0.8%	0.6%	0.1%	0.3%
VWIV	20.1%	17.7%	22.0%	21.3%	20.2%
Skew 25d	1.5%	1.0%	1.9%	1.4%	1.8%
Skew 10d	2.2%	-1.4%	4.1%	1.9%	-1.4%
Call IV 25d	19.4%	16.7%	21.9%	20.4%	19.0%
Put IV 25d	20.8%	18.1%	23.5%	21.8%	20.7%
Bid-Ask Spread %	3.24	1.98	8.58	2.57	8.58
Gamma HHI	0.16	0.11	0.30	0.13	0.15
Net GEX	130.3M	77.7M	205.4M	77.7M	98.1M
Net DEX	-2.71B	-3.99B	-1.97B	-2.15B	-1.97B
Net VEX	-16.0M	-17.2M	-15.0M	-15.0M	-17.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.32	1.29	0.46	0.58
Total Volume	113,996.667	65,500	237,479	87,531	67,704
Total OI	1,663,289.429	1,236,783	1,979,734	1,787,611	1,353,552

Daily Data (21 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
2018-01-02	$74.30	$70.00	20.8%	6.0%	17.8%	35.4%	21.3%	1.4%	0.1%	77.7M	-2.15B	-15.0M	0.46	2.57	60,092	27,439	1,002,666	784,945
2018-01-03	$74.63	$70.00	21.2%	6.1%	15.4%	39.1%	21.6%	1.4%	-0.6%	91.5M	-2.31B	-15.0M	0.71	2.44	38,387	27,113	1,021,394	797,314
2018-01-04	$75.53	$75.00	21.4%	6.0%	15.9%	44.3%	20.5%	1.1%	-0.8%	119.6M	-2.73B	-15.3M	0.32	2.88	89,482	28,398	1,019,085	809,084
2018-01-05	$75.41	$75.00	20.7%	5.9%	14.8%	38.5%	20.4%	1.4%	-0.7%	138.4M	-2.70B	-15.7M	0.57	2.13	54,137	30,820	1,044,426	816,929
2018-01-08	$74.49	$75.00	21.8%	6.1%	15.3%	55.1%	21.6%	1.5%	-0.3%	92.0M	-2.23B	-15.4M	0.69	2.18	56,648	39,090	1,028,472	797,669
2018-01-09	$75.36	$75.00	22.4%	6.3%	15.4%	61.9%	22.0%	1.6%	-0.2%	107.1M	-2.64B	-15.5M	0.42	2.41	78,585	33,036	1,039,035	814,122
2018-01-10	$75.58	$75.00	21.9%	6.2%	15.4%	55.8%	21.3%	1.7%	-0.1%	116.2M	-2.75B	-15.8M	0.62	2.24	54,067	33,606	1,051,632	826,564
2018-01-11	$75.50	$75.00	22.1%	6.3%	15.3%	58.0%	21.9%	1.6%	-0.3%	111.8M	-2.68B	-15.7M	0.45	2.74	80,273	36,347	1,059,269	830,066
2018-01-12	$76.80	$75.00	20.6%	5.8%	15.6%	42.6%	20.9%	1.3%	-0.4%	199.9M	-3.45B	-15.8M	0.63	7.57	107,566	67,881	1,090,567	843,369
2018-01-16	$77.11	$75.00	20.0%	5.7%	14.1%	36.1%	20.2%	1.9%	-0.3%	174.3M	-3.53B	-15.2M	0.32	3.57	180,220	57,259	1,069,671	823,421
2018-01-17	$77.44	$75.00	19.7%	5.6%	13.8%	32.6%	19.8%	1.8%	-0.5%	193.4M	-3.64B	-15.7M	0.49	2.59	108,315	52,977	1,091,705	837,168
2018-01-18	$77.32	$75.00	18.5%	5.3%	13.2%	21.0%	19.7%	1.5%	-0.2%	205.4M	-3.49B	-15.5M	0.63	1.98	68,017	42,825	1,091,004	853,432
2018-01-19	$78.33	$75.00	17.4%	5.0%	12.8%	9.2%	18.2%	1.2%	-0.3%	152.5M	-3.99B	-15.5M	0.34	2.30	127,985	44,058	1,107,937	871,797
2018-01-22	$78.59	$75.00	17.1%	4.9%	12.8%	5.6%	17.7%	1.6%	0.3%	131.2M	-2.18B	-16.3M	0.97	2.54	45,549	44,072	791,976	444,807
2018-01-23	$78.53	$75.00	17.2%	5.0%	12.0%	6.8%	18.3%	1.2%	0.6%	130.8M	-2.23B	-16.5M	1.29	2.38	45,266	58,485	810,059	468,745
2018-01-24	$79.52	$75.00	17.5%	5.2%	12.3%	9.9%	18.6%	1.4%	0.5%	134.2M	-2.56B	-16.7M	0.44	2.98	87,818	38,360	815,314	502,796
2018-01-25	$79.49	$76.00	17.3%	5.0%	11.6%	7.8%	17.8%	1.3%	0.6%	130.5M	-2.53B	-16.7M	0.56	4.20	77,328	43,142	816,725	516,075
2018-01-26	$79.97	$76.50	17.8%	5.2%	11.6%	13.1%	18.4%	1.0%	0.3%	111.3M	-2.64B	-16.8M	0.64	2.20	67,048	42,807	818,631	528,415
2018-01-29	$79.97	$77.00	19.1%	5.7%	11.7%	27.2%	20.1%	1.3%	0.5%	123.1M	-2.54B	-17.1M	0.69	5.16	41,235	28,563	804,203	506,579
2018-01-30	$78.79	$77.50	20.1%	5.9%	12.8%	37.0%	21.3%	1.5%	0.3%	96.5M	-2.05B	-17.1M	0.58	2.34	51,979	29,951	810,651	517,807
2018-01-31	$78.47	$77.50	19.3%	5.8%	12.9%	29.5%	20.2%	1.8%	0.3%	98.1M	-1.97B	-17.2M	0.58	8.58	42,838	24,866	827,061	526,491