C Options History — March 2018

In March 2018, C traded between $67.94 and $76.19. ATM implied volatility averaged 24.0%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.3% (HV 20d: 24.3%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.77.

Notable Days

2018-03-01: Highest Volume — 171,533 contracts
2018-03-22: Largest IV spike — 20.2% change
2018-03-23: Highest IV Rank — 100.0%
2018-03-23: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.61	$67.94	$76.19	$73.71	$69.19
Max Pain	$74.69	$72.50	$75.00	$75.00	$72.50
ATM IV	24.0%	19.6%	31.6%	23.1%	28.0%
Expected Move	7.2%	6.3%	9.2%	7.1%	8.4%
HV 20d	24.3%	19.4%	31.7%	31.7%	28.1%
HV 60d	22.7%	21.3%	25.5%	22.2%	25.5%
IV Rank	50.2%	21.2%	100.0%	44.8%	75.9%
IV Percentile	88.1%	50.4%	100.0%	92.9%	97.6%
Term Structure	0.2%	-2.3%	2.3%	-1.0%	-0.1%
VWIV	24.7%	21.2%	31.9%	23.7%	28.8%
Skew 25d	4.1%	3.2%	5.9%	5.0%	3.8%
Skew 10d	8.9%	5.0%	16.9%	8.5%	9.2%
Call IV 25d	22.4%	17.8%	30.0%	20.9%	26.7%
Put IV 25d	26.5%	21.1%	35.9%	26.0%	30.5%
Bid-Ask Spread %	5.12	2.57	9.23	8.26	3.78
Gamma HHI	0.10	0.05	0.49	0.09	0.05
Net GEX	32.0M	-160.5M	185.1M	32.0M	4.1M
Net DEX	-406.9M	-1.72B	686.3M	-503.3M	335.5M
Net VEX	-16.4M	-17.0M	-15.3M	-16.4M	-16.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.41	1.36	0.57	0.79
Total Volume	111,952.381	61,929	171,533	171,533	95,401
Total OI	1,505,244.238	1,329,240	1,672,054	1,456,480	1,531,219

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
2018-03-01	$73.71	$75.00	23.1%	7.1%	31.7%	44.8%	23.7%	5.0%	-1.0%	32.0M	-503.3M	-16.4M	0.57	8.26	109,335	62,198	889,368	567,112
2018-03-02	$73.85	$75.00	22.1%	6.6%	31.5%	38.2%	23.5%	4.4%	-0.4%	43.2M	-507.0M	-16.7M	0.68	5.17	77,220	52,784	917,501	588,837
2018-03-05	$74.51	$75.00	21.4%	6.6%	30.6%	33.4%	23.4%	3.3%	0.5%	60.3M	-861.6M	-16.6M	0.96	3.48	47,695	45,684	904,610	580,019
2018-03-06	$73.97	$75.00	21.6%	6.6%	25.3%	34.7%	23.3%	3.9%	1.5%	43.3M	-644.1M	-16.5M	0.81	2.62	66,096	53,551	911,839	593,421
2018-03-07	$74.02	$75.00	21.6%	6.8%	24.2%	34.5%	24.2%	5.0%	1.1%	50.7M	-695.7M	-16.9M	0.61	6.02	53,894	32,815	942,209	610,938
2018-03-08	$73.95	$75.00	21.7%	6.6%	24.1%	35.1%	23.0%	3.6%	0.3%	51.3M	-708.0M	-16.9M	0.46	3.91	57,954	26,764	949,196	609,009
2018-03-09	$76.06	$75.00	19.6%	6.4%	20.9%	21.2%	21.5%	3.2%	0.9%	185.1M	-1.72B	-17.0M	0.41	7.57	106,760	44,143	966,048	615,543
2018-03-12	$76.19	$75.00	20.4%	6.4%	19.7%	26.5%	21.2%	3.6%	2.1%	143.5M	-1.67B	-16.8M	0.50	2.70	52,686	26,433	957,890	604,121
2018-03-13	$74.91	$75.00	21.8%	6.6%	20.2%	35.7%	23.4%	3.7%	1.0%	93.0M	-1.08B	-16.9M	1.20	7.67	42,412	51,089	973,861	611,119
2018-03-14	$73.56	$75.00	22.1%	6.9%	21.1%	38.1%	23.0%	3.3%	2.3%	22.3M	-429.3M	-16.3M	0.93	6.00	63,384	58,894	980,705	632,420
2018-03-15	$73.35	$75.00	22.9%	6.7%	19.4%	43.3%	22.6%	3.9%	1.2%	-23.9M	-272.3M	-16.7M	0.67	4.66	38,598	25,997	997,466	661,062
2018-03-16	$73.58	$75.00	21.4%	6.3%	19.5%	33.1%	21.2%	4.0%	1.1%	-160.5M	-378.9M	-16.4M	0.78	2.57	64,201	49,891	1,007,075	664,979
2018-03-19	$72.74	$75.00	23.9%	6.9%	19.7%	50.2%	22.9%	4.0%	-0.4%	24.4M	-375.2M	-16.2M	0.61	4.78	56,646	34,507	787,698	541,542
2018-03-20	$73.00	$75.00	23.3%	6.7%	19.8%	46.3%	22.6%	3.8%	0.6%	38.1M	-549.5M	-16.9M	0.72	3.68	36,081	25,848	817,941	554,003
2018-03-21	$73.40	$75.00	23.4%	6.7%	19.6%	46.8%	22.8%	3.9%	-1.1%	45.3M	-646.3M	-16.7M	0.96	6.54	45,240	43,553	830,013	559,080
2018-03-22	$70.40	$75.00	28.1%	8.1%	23.9%	79.1%	27.1%	4.8%	-1.1%	12.4M	157.3M	-16.3M	0.72	9.23	96,305	69,260	841,424	570,389
2018-03-23	$67.94	$75.00	31.6%	9.2%	25.8%	100.0%	31.2%	5.9%	-2.3%	-315.8K	686.3M	-15.3M	0.95	4.67	84,868	80,552	865,108	584,980
2018-03-26	$69.82	$74.00	27.7%	8.2%	28.1%	74.1%	27.9%	4.1%	-0.7%	7.2M	210.5M	-15.8M	0.53	2.73	89,459	47,446	844,383	590,340
2018-03-27	$68.29	$74.00	29.1%	8.8%	28.6%	83.2%	28.9%	4.5%	-0.7%	1.4M	550.6M	-15.5M	0.87	7.27	63,819	55,293	856,982	600,296
2018-03-28	$68.27	$73.00	28.6%	9.0%	28.5%	80.1%	31.9%	4.1%	0.3%	-1.1M	559.2M	-15.9M	1.36	4.27	49,228	67,016	874,928	623,455
2018-03-29	$69.19	$72.50	28.0%	8.4%	28.1%	75.9%	28.8%	3.8%	-0.1%	4.1M	335.5M	-16.0M	0.79	3.78	53,352	42,049	889,050	642,169