C Options History — April 2018

In April 2018, C traded between $67.71 and $72.46. ATM implied volatility averaged 24.5%, placing in the 52.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 6.2% (HV 20d: 30.7%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2018-04-13: Highest Volume — 217,457 contracts
2018-04-06: Largest IV spike — 13.2% change
2018-04-02: Highest IV Rank — 91.6%
2018-04-02: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.65	$67.71	$72.46	$67.71	$68.64
Max Pain	$71.67	$70.00	$72.50	$72.50	$70.00
ATM IV	24.5%	19.7%	30.4%	30.4%	19.7%
Expected Move	7.2%	5.8%	9.8%	9.8%	5.8%
HV 20d	30.7%	25.5%	35.3%	28.8%	25.5%
HV 60d	27.6%	25.8%	28.6%	25.8%	28.4%
IV Rank	52.5%	20.8%	91.6%	91.6%	20.8%
IV Percentile	85.8%	50.0%	99.2%	99.2%	50.0%
Term Structure	-0.5%	-2.4%	0.4%	-0.6%	0.1%
VWIV	24.7%	20.3%	33.4%	33.4%	21.0%
Skew 25d	4.0%	2.6%	6.1%	5.8%	3.3%
Skew 10d	8.3%	2.2%	17.6%	12.6%	12.4%
Call IV 25d	22.9%	18.6%	28.3%	28.2%	18.6%
Put IV 25d	27.0%	21.7%	34.0%	34.0%	21.9%
Bid-Ask Spread %	5.52	3.14	12.56	5.47	11.23
Gamma HHI	0.06	0.05	0.10	0.06	0.09
Net GEX	23.6M	-2.5M	70.4M	-2.5M	14.8M
Net DEX	148.3M	-971.1M	670.4M	670.4M	445.0M
Net VEX	-15.4M	-17.4M	-14.2M	-15.4M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.43	1.24	1.07	0.65
Total Volume	108,133.667	64,412	217,457	105,026	64,412
Total OI	1,614,697.762	1,439,878	1,742,353	1,504,662	1,622,491

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
2018-04-02	$67.71	$72.50	30.4%	9.8%	28.8%	91.6%	33.4%	5.8%	-0.6%	-2.5M	670.4M	-15.4M	1.07	5.47	50,827	54,199	868,694	635,968
2018-04-03	$68.43	$72.50	29.3%	9.2%	28.9%	84.7%	31.3%	5.1%	-1.3%	811.0K	502.2M	-15.9M	0.57	3.15	45,572	25,812	884,140	658,408
2018-04-04	$69.46	$72.50	27.2%	8.5%	29.7%	70.4%	28.8%	6.1%	-1.3%	17.0M	206.6M	-16.0M	0.45	4.07	56,757	25,369	899,895	659,281
2018-04-05	$70.49	$70.00	26.2%	7.5%	30.3%	64.1%	25.4%	5.0%	-0.8%	36.2M	-201.8M	-16.6M	0.43	4.23	61,322	26,414	914,224	659,923
2018-04-06	$68.52	$70.00	29.7%	8.4%	31.7%	87.0%	28.8%	4.8%	-2.4%	7.7M	440.7M	-15.8M	1.24	7.14	57,713	71,274	925,710	665,319
2018-04-09	$69.99	$70.00	28.4%	8.0%	30.8%	78.7%	24.8%	4.8%	-0.7%	21.1M	299.1K	-16.4M	0.69	6.53	61,691	42,340	911,411	670,444
2018-04-10	$70.74	$72.50	27.9%	8.0%	31.2%	74.9%	27.4%	4.2%	-0.0%	32.2M	-203.9M	-16.7M	0.62	5.89	55,489	34,276	932,093	692,546
2018-04-11	$70.14	$72.50	28.5%	8.1%	30.9%	79.5%	29.1%	4.2%	-0.3%	26.6M	2.4M	-16.4M	0.63	5.93	54,063	33,817	952,186	702,706
2018-04-12	$72.46	$70.00	25.5%	7.3%	32.8%	59.2%	26.4%	3.8%	0.4%	70.4M	-971.1M	-17.4M	0.60	4.22	103,859	62,046	971,362	709,964
2018-04-13	$70.22	$72.50	23.3%	6.7%	34.6%	44.8%	23.1%	4.0%	0.1%	9.1M	104.0M	-15.6M	0.56	6.93	139,581	77,876	995,250	734,185
2018-04-16	$70.41	$72.50	22.2%	6.4%	34.6%	37.7%	23.0%	3.8%	-0.5%	27.4M	56.0M	-15.2M	0.67	3.74	64,842	43,146	957,907	719,633
2018-04-17	$70.08	$72.50	21.2%	6.1%	34.4%	30.7%	20.8%	3.3%	-0.5%	27.8M	186.9M	-14.8M	0.60	4.35	65,957	39,333	973,350	732,789
2018-04-18	$69.13	$72.50	21.2%	6.1%	34.6%	31.1%	20.7%	3.3%	0.3%	9.9M	563.9M	-14.3M	0.85	5.20	55,950	47,795	984,199	729,595
2018-04-19	$70.40	$72.50	22.0%	6.4%	35.3%	36.3%	22.0%	3.3%	-1.5%	43.0M	-36.6M	-15.2M	0.43	12.56	71,075	30,274	1,000,805	741,095
2018-04-20	$69.97	$72.50	21.9%	6.3%	32.1%	35.9%	22.2%	3.6%	-0.4%	37.9M	159.9M	-14.8M	0.82	5.82	67,828	55,847	1,002,678	739,675
2018-04-23	$69.55	$72.50	21.9%	6.4%	29.4%	35.3%	22.6%	4.1%	-0.2%	12.5M	167.1M	-14.4M	0.85	4.70	36,033	30,793	809,814	630,064
2018-04-24	$68.72	$72.50	23.3%	6.9%	28.0%	45.1%	23.2%	3.2%	-0.5%	9.4M	373.4M	-14.2M	0.50	3.56	63,264	31,787	829,401	640,239
2018-04-25	$69.16	$72.50	23.2%	7.0%	27.0%	44.0%	23.9%	3.9%	-0.4%	20.0M	229.3M	-14.8M	0.73	4.68	102,633	74,678	850,595	650,610
2018-04-26	$69.38	$70.00	20.7%	6.0%	27.0%	27.8%	21.7%	2.9%	-0.3%	35.0M	131.3M	-15.1M	0.80	3.14	61,832	49,672	907,561	696,227
2018-04-27	$69.05	$70.00	20.0%	5.8%	26.6%	22.7%	20.3%	2.6%	0.1%	38.2M	287.8M	-14.9M	0.94	3.47	37,768	35,591	932,881	713,335
2018-04-30	$68.64	$70.00	19.7%	5.8%	25.5%	20.8%	21.0%	3.3%	0.1%	14.8M	445.0M	-14.5M	0.65	11.23	39,128	25,284	916,523	705,968