C Options History — May 2018

Name: C Options Analytics - May 2018
Creator: Options Analysis Suite

In May 2018, C traded between $65.64 and $72.82. ATM implied volatility averaged 18.9%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.2% (HV 20d: 21.1%). Max pain ranged from $69.50 to $70.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2018-05-29: Highest Volume — 213,349 contracts
2018-05-29: Largest IV spike — 23.7% change
2018-05-29: Highest IV Rank — 43.6%
2018-05-29: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.82	$65.64	$72.82	$68.13	$66.70
Max Pain	$69.98	$69.50	$70.00	$70.00	$69.50
ATM IV	18.9%	17.4%	23.1%	19.3%	21.3%
Expected Move	5.5%	5.0%	6.9%	5.7%	6.2%
HV 20d	21.1%	16.7%	25.4%	25.4%	25.2%
HV 60d	25.5%	24.6%	28.0%	28.0%	26.2%
IV Rank	15.4%	5.7%	43.6%	18.6%	31.3%
IV Percentile	33.6%	9.9%	88.9%	43.3%	76.2%
Term Structure	0.3%	-0.6%	1.4%	0.1%	-0.6%
VWIV	19.4%	17.5%	23.8%	21.1%	21.4%
Skew 25d	2.3%	1.5%	3.8%	2.6%	2.4%
Skew 10d	3.7%	-3.5%	6.7%	5.5%	5.8%
Call IV 25d	18.1%	16.5%	21.8%	18.4%	20.6%
Put IV 25d	20.4%	18.3%	25.5%	21.0%	23.0%
Bid-Ask Spread %	5.20	2.74	10.60	10.60	8.27
Gamma HHI	0.13	0.09	0.36	0.09	0.10
Net GEX	47.7M	-19.1M	117.8M	1.5M	-84.1K
Net DEX	-290.8M	-1.87B	1.30B	707.6M	868.8M
Net VEX	-14.7M	-15.8M	-13.3M	-14.0M	-14.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.43	0.90	0.65	0.60
Total Volume	109,986.864	70,222	213,349	93,820	109,139
Total OI	1,699,648.955	1,551,781	1,807,158	1,640,367	1,807,158

Daily Data (22 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
2018-05-01	$68.13	$70.00	19.3%	5.7%	25.4%	18.6%	21.1%	2.6%	0.1%	1.5M	707.6M	-14.0M	0.65	10.60	57,010	36,810	925,201	715,166
2018-05-02	$68.35	$70.00	18.5%	5.5%	24.8%	13.4%	19.9%	2.7%	0.5%	3.8M	612.3M	-14.1M	0.70	8.43	41,761	29,094	934,006	734,429
2018-05-03	$67.83	$70.00	19.5%	5.8%	24.2%	19.7%	20.2%	2.4%	0.0%	-12.9M	805.4M	-14.1M	0.58	4.93	71,466	41,129	939,225	743,214
2018-05-04	$68.07	$70.00	18.9%	5.7%	22.1%	15.5%	20.0%	2.0%	0.5%	-10.5M	656.8M	-14.2M	0.43	2.95	56,287	24,258	945,404	760,662
2018-05-07	$68.52	$70.00	20.2%	6.1%	20.8%	24.4%	20.9%	2.2%	1.2%	19.6M	354.9M	-14.4M	0.47	4.03	56,410	26,522	920,919	731,070
2018-05-08	$70.96	$70.00	19.0%	5.8%	24.1%	16.6%	19.8%	2.3%	1.3%	82.1M	-855.4M	-15.4M	0.53	4.54	120,705	64,173	951,791	735,744
2018-05-09	$71.79	$70.00	18.9%	5.5%	24.2%	15.4%	20.2%	1.5%	0.4%	94.4M	-1.28B	-15.8M	0.90	2.74	56,363	50,948	972,653	752,292
2018-05-10	$72.57	$70.00	18.1%	5.4%	21.6%	10.7%	18.7%	1.8%	0.9%	102.6M	-1.67B	-15.7M	0.57	3.86	64,912	36,912	978,525	759,533
2018-05-11	$72.82	$70.00	17.4%	5.2%	18.1%	5.7%	18.5%	1.8%	1.4%	117.8M	-1.87B	-15.7M	0.69	3.37	60,415	41,523	985,480	766,395
2018-05-14	$72.67	$70.00	17.4%	5.0%	18.2%	5.7%	18.0%	1.9%	0.3%	103.8M	-1.66B	-15.1M	0.77	6.71	47,541	36,516	972,620	760,255
2018-05-15	$72.51	$70.00	18.3%	5.3%	18.1%	11.6%	18.4%	2.5%	-0.2%	104.2M	-1.47B	-15.7M	0.59	7.79	50,960	30,181	986,204	767,606
2018-05-16	$72.01	$70.00	17.8%	5.1%	17.5%	8.5%	18.2%	2.3%	0.4%	90.7M	-1.24B	-15.4M	0.77	3.47	39,579	30,643	994,899	774,155
2018-05-17	$71.50	$70.00	17.6%	5.0%	16.7%	6.9%	17.9%	2.3%	0.6%	64.8M	-931.3M	-15.1M	0.74	3.68	46,316	34,322	1,001,182	778,911
2018-05-18	$70.00	$70.00	18.5%	5.3%	18.3%	13.3%	18.3%	2.8%	0.0%	114.9M	-203.0M	-14.6M	0.68	2.97	81,379	55,272	1,007,790	783,505
2018-05-21	$70.40	$70.00	17.8%	5.0%	18.2%	8.2%	17.7%	2.2%	0.4%	43.9M	-514.4M	-14.6M	0.68	3.33	53,049	35,981	890,781	661,000
2018-05-22	$71.22	$70.00	17.4%	5.0%	18.0%	6.0%	17.5%	2.1%	0.3%	59.3M	-875.8M	-14.8M	0.62	4.16	58,778	36,159	903,850	672,767
2018-05-23	$70.02	$70.00	18.3%	5.3%	19.1%	11.6%	18.2%	2.4%	0.2%	46.4M	-329.4M	-14.8M	0.53	6.58	70,489	37,188	917,153	675,336
2018-05-24	$69.33	$70.00	18.0%	5.1%	19.4%	9.7%	18.6%	2.4%	0.2%	40.4M	-60.9M	-14.4M	0.72	4.71	90,416	64,969	938,729	682,491
2018-05-25	$68.43	$70.00	18.7%	5.2%	19.9%	14.3%	18.3%	2.1%	0.3%	5.6M	319.4M	-14.3M	0.77	7.15	89,018	68,484	966,460	712,143
2018-05-29	$65.64	$70.00	23.1%	6.9%	24.7%	43.6%	23.8%	3.8%	-0.6%	-19.1M	1.30B	-13.3M	0.66	6.66	128,207	85,142	970,597	729,138
2018-05-30	$66.58	$70.00	20.8%	5.9%	25.2%	27.9%	20.9%	2.6%	-0.6%	-2.7M	933.5M	-14.1M	0.88	3.53	55,064	48,221	1,022,414	763,424
2018-05-31	$66.70	$69.50	21.3%	6.2%	25.2%	31.3%	21.4%	2.4%	-0.6%	-84.1K	868.8M	-14.5M	0.60	8.27	68,311	40,828	1,032,101	775,057