C Options History — February 2018

In February 2018, C traded between $72.13 and $79.03. ATM implied volatility averaged 23.2%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 4.2% (HV 20d: 27.5%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.68.

Notable Days

2018-02-05: Highest Volume — 154,524 contracts
2018-02-05: Largest IV spike — 26.8% change
2018-02-05: Highest IV Rank — 100.0%
2018-02-09: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.91	$72.13	$79.03	$79.03	$75.67
Max Pain	$75.00	$75.00	$75.00	$75.00	$75.00
ATM IV	23.2%	19.2%	31.2%	19.5%	21.7%
Expected Move	6.7%	5.5%	8.8%	5.7%	6.3%
HV 20d	27.5%	13.0%	30.6%	13.0%	30.5%
HV 60d	21.1%	15.9%	22.6%	15.9%	21.6%
IV Rank	51.1%	18.1%	100.0%	30.8%	35.0%
IV Percentile	82.2%	42.9%	100.0%	48.4%	84.9%
Term Structure	0.2%	-1.1%	3.0%	0.3%	0.1%
VWIV	23.3%	18.6%	29.4%	22.6%	22.1%
Skew 25d	3.8%	-3.2%	13.4%	1.1%	3.6%
Skew 10d	6.1%	-9.7%	14.0%	2.2%	7.1%
Call IV 25d	22.0%	17.9%	32.7%	19.3%	20.3%
Put IV 25d	25.8%	20.4%	38.8%	20.4%	23.9%
Bid-Ask Spread %	5.54	2.14	12.78	2.15	5.72
Gamma HHI	0.12	0.08	0.17	0.17	0.11
Net GEX	72.0M	17.2M	121.3M	109.7M	68.5M
Net DEX	-1.27B	-2.19B	-60.3M	-2.19B	-1.22B
Net VEX	-17.4M	-18.2M	-16.6M	-17.4M	-17.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.36	1.01	0.37	0.84
Total Volume	103,426.158	52,896	154,524	105,860	87,446
Total OI	1,435,215.684	1,346,640	1,569,126	1,368,991	1,436,950

Daily Data (19 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
2018-02-01	$79.03	$75.00	19.5%	5.7%	13.0%	30.8%	22.6%	1.1%	0.3%	109.7M	-2.19B	-17.4M	0.37	2.15	77,282	28,578	837,227	531,764
2018-02-02	$76.97	$75.00	21.9%	6.3%	16.2%	56.1%	22.3%	2.2%	-0.0%	54.5M	-1.35B	-17.3M	0.77	4.30	73,864	56,953	831,987	537,302
2018-02-05	$73.34	$75.00	27.8%	8.3%	23.8%	100.0%	28.0%	-3.2%	3.0%	25.3M	-400.4M	-16.6M	0.54	12.78	100,524	54,000	830,498	523,405
2018-02-06	$74.78	$75.00	27.2%	7.5%	24.5%	95.1%	26.0%	3.6%	-1.1%	42.0M	-800.3M	-17.6M	0.60	7.43	83,546	50,391	864,654	535,456
2018-02-07	$75.22	$75.00	24.4%	7.0%	24.3%	69.7%	24.2%	3.2%	-0.1%	47.3M	-949.8M	-17.4M	0.49	5.31	81,275	39,886	870,794	549,418
2018-02-08	$72.13	$75.00	29.4%	8.6%	28.4%	100.0%	28.5%	5.7%	0.6%	17.2M	-60.3M	-16.8M	0.85	11.31	62,991	53,663	894,144	556,854
2018-02-09	$73.70	$75.00	31.2%	8.8%	29.6%	100.0%	29.4%	13.4%	-0.9%	28.8M	-462.7M	-17.8M	0.83	8.41	81,782	67,605	914,358	570,781
2018-02-12	$74.67	$75.00	26.6%	7.6%	29.4%	68.7%	28.3%	5.3%	-0.1%	36.6M	-806.8M	-17.8M	0.83	5.20	50,662	42,162	918,601	572,046
2018-02-13	$75.13	$75.00	24.7%	7.1%	29.4%	56.0%	24.4%	5.0%	0.0%	41.1M	-982.1M	-17.5M	0.78	3.14	49,302	38,415	930,983	580,736
2018-02-14	$76.72	$75.00	21.0%	6.0%	30.4%	30.5%	21.6%	4.3%	1.0%	91.4M	-1.61B	-18.2M	0.76	3.06	56,414	43,153	943,591	596,267
2018-02-15	$76.89	$75.00	21.2%	6.0%	30.4%	31.8%	21.6%	3.5%	0.9%	101.6M	-1.69B	-17.7M	1.01	2.14	36,642	37,162	954,319	606,110
2018-02-16	$76.98	$75.00	20.2%	5.8%	30.0%	25.2%	20.8%	4.0%	0.4%	121.3M	-1.72B	-17.4M	0.91	3.09	50,378	45,888	958,597	610,529
2018-02-20	$76.45	$75.00	21.1%	6.2%	30.1%	31.4%	21.7%	3.8%	0.0%	80.9M	-1.50B	-17.1M	0.80	4.24	29,469	23,427	830,514	516,126
2018-02-21	$77.09	$75.00	21.7%	6.2%	30.3%	35.5%	20.8%	3.7%	0.0%	95.4M	-1.74B	-17.6M	0.36	8.87	97,310	35,005	840,276	523,059
2018-02-22	$76.27	$75.00	21.8%	6.2%	30.0%	35.9%	21.5%	3.5%	-0.3%	79.1M	-1.45B	-17.4M	0.61	4.70	48,162	29,203	865,685	533,840
2018-02-23	$77.03	$75.00	20.5%	5.7%	30.3%	27.1%	20.0%	3.3%	0.6%	114.9M	-1.74B	-17.2M	0.41	5.90	69,477	28,529	866,149	543,841
2018-02-26	$77.59	$75.00	19.2%	5.5%	30.4%	18.1%	18.6%	3.1%	-0.2%	118.0M	-1.93B	-17.0M	0.55	3.53	45,623	25,105	853,292	530,400
2018-02-27	$76.55	$75.00	19.9%	5.8%	30.6%	23.3%	20.7%	2.7%	0.1%	95.3M	-1.56B	-16.9M	0.66	4.02	50,521	33,302	867,876	540,669
2018-02-28	$75.67	$75.00	21.7%	6.3%	30.5%	35.0%	22.1%	3.6%	0.1%	68.5M	-1.22B	-17.1M	0.84	5.72	47,524	39,922	880,300	556,650