C Options History — June 2018

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

In June 2018, C traded between $65.78 and $68.53. ATM implied volatility averaged 21.9%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.2% (HV 20d: 21.7%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2018-06-29: Highest Volume — 179,751 contracts
2018-06-25: Largest IV spike — 11.9% change
2018-06-27: Highest IV Rank — 68.6%
2018-06-27: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.19	$65.78	$68.53	$67.26	$67.23
Max Pain	$68.55	$67.50	$70.00	$69.50	$67.50
ATM IV	21.9%	18.6%	26.9%	20.1%	24.7%
Expected Move	6.5%	5.7%	7.8%	5.7%	7.2%
HV 20d	21.7%	16.4%	25.4%	25.3%	17.3%
HV 60d	24.4%	22.2%	26.3%	26.3%	22.2%
IV Rank	35.8%	13.6%	68.6%	23.4%	54.2%
IV Percentile	70.2%	28.6%	93.3%	55.6%	90.1%
Term Structure	0.1%	-1.6%	2.2%	-0.3%	-0.4%
VWIV	22.6%	20.2%	27.4%	20.5%	24.9%
Skew 25d	2.0%	1.2%	4.1%	2.3%	4.1%
Skew 10d	4.7%	2.3%	16.3%	5.3%	8.3%
Call IV 25d	21.2%	17.3%	25.6%	19.3%	23.5%
Put IV 25d	23.2%	19.2%	28.7%	21.6%	27.6%
Bid-Ask Spread %	5.50	2.57	15.22	4.44	4.91
Gamma HHI	0.10	0.07	0.25	0.10	0.12
Net GEX	26.5M	-55.5M	71.0M	18.0M	66.1M
Net DEX	444.9M	-53.9M	1.35B	653.2M	34.9M
Net VEX	-14.7M	-16.2M	-13.3M	-14.7M	-16.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.24	1.28	0.84	0.38
Total Volume	111,890.143	65,606	179,751	108,672	179,751
Total OI	1,732,758.381	1,444,780	2,013,376	1,844,144	1,685,175

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
2018-06-01	$67.26	$69.50	20.1%	5.7%	25.3%	23.4%	20.5%	2.3%	-0.3%	18.0M	653.2M	-14.7M	0.84	4.44	59,095	49,577	1,051,937	792,207
2018-06-04	$67.39	$70.00	19.2%	6.0%	25.3%	17.7%	21.1%	2.3%	1.5%	12.7M	628.9M	-14.6M	0.82	3.41	40,108	33,041	1,029,993	782,290
2018-06-05	$66.72	$70.00	19.2%	5.9%	25.4%	17.7%	20.9%	2.1%	2.2%	-9.4M	1.00B	-13.8M	1.28	4.33	39,622	50,837	1,040,386	794,962
2018-06-06	$68.18	$70.00	19.4%	6.2%	23.2%	19.2%	21.2%	1.5%	1.9%	44.5M	137.6M	-14.9M	0.54	4.22	68,082	36,513	1,055,390	810,602
2018-06-07	$68.53	$70.00	19.3%	6.1%	22.8%	18.3%	20.9%	1.6%	1.3%	64.1M	-53.9M	-14.9M	0.70	3.72	63,392	44,480	1,070,530	812,710
2018-06-08	$68.45	$70.00	18.6%	5.9%	22.2%	13.6%	20.4%	1.9%	1.6%	67.3M	-13.5M	-14.8M	0.86	2.57	35,206	30,400	1,083,333	830,899
2018-06-11	$68.39	$70.00	20.1%	6.0%	22.1%	23.4%	20.2%	1.6%	0.3%	55.9M	85.0M	-14.3M	0.44	3.37	65,372	29,063	1,067,211	810,206
2018-06-12	$67.60	$70.00	20.6%	5.9%	22.3%	26.8%	21.8%	1.8%	-0.2%	24.4M	570.1M	-13.9M	0.97	5.55	40,142	38,929	1,085,652	816,081
2018-06-13	$67.54	$70.00	20.3%	6.0%	22.3%	25.0%	20.9%	1.6%	0.2%	10.7M	635.8M	-13.8M	0.45	8.67	83,467	37,482	1,090,209	836,056
2018-06-14	$66.26	$67.50	21.0%	6.0%	23.0%	29.9%	21.5%	1.3%	-0.1%	-55.5M	1.35B	-13.3M	0.79	3.29	82,991	65,665	1,106,790	846,351
2018-06-15	$66.57	$67.50	20.9%	5.9%	23.2%	29.0%	20.7%	1.2%	-0.5%	71.0M	1.18B	-13.8M	1.15	3.67	82,913	95,448	1,146,286	867,090
2018-06-18	$66.66	$67.50	21.7%	6.2%	22.3%	34.1%	21.5%	1.4%	0.1%	3.1M	523.9M	-14.1M	0.48	4.23	72,915	34,740	813,352	631,428
2018-06-19	$66.85	$67.50	22.2%	6.4%	22.2%	37.5%	22.4%	1.7%	-0.6%	14.1M	411.1M	-14.3M	0.63	5.93	52,313	33,171	839,090	643,200
2018-06-20	$67.52	$67.50	22.4%	6.4%	22.0%	39.1%	22.7%	1.7%	-0.6%	28.8M	117.6M	-14.9M	0.46	4.28	62,467	28,535	848,937	657,561
2018-06-21	$67.51	$67.50	23.2%	6.7%	21.4%	44.2%	23.3%	1.9%	-1.6%	38.5M	102.2M	-15.0M	0.39	12.27	58,133	22,584	869,006	658,696
2018-06-22	$67.27	$67.50	23.2%	6.7%	21.2%	44.4%	23.5%	1.7%	-0.9%	22.9M	196.8M	-15.1M	0.24	5.98	88,153	21,387	886,416	669,282
2018-06-25	$65.78	$67.50	26.0%	7.5%	22.1%	62.6%	25.9%	2.6%	-1.0%	505.7K	686.0M	-14.6M	0.45	15.22	84,795	38,401	870,867	653,147
2018-06-26	$66.50	$67.50	25.1%	7.5%	16.8%	56.6%	26.0%	1.8%	-0.0%	21.8M	376.3M	-15.2M	0.35	6.02	96,313	33,384	901,077	666,852
2018-06-27	$65.85	$67.50	26.9%	7.8%	16.4%	68.6%	27.4%	3.1%	-0.0%	14.8M	571.8M	-15.6M	0.54	6.09	84,310	45,460	932,347	687,938
2018-06-28	$66.94	$67.50	26.5%	7.8%	17.5%	65.8%	27.4%	3.0%	-0.4%	42.5M	151.6M	-16.2M	0.32	3.26	106,984	34,072	944,448	701,936
2018-06-29	$67.23	$67.50	24.7%	7.2%	17.3%	54.2%	24.9%	4.1%	-0.4%	66.1M	34.9M	-16.1M	0.38	4.91	129,989	49,762	972,269	712,906