C Options History — July 2018 In July 2018, C traded between $66.06 and $72.44. ATM implied volatility averaged 20.3%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.4% (HV 20d: 20.7%). Max pain ranged from $65.00 to $68.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2018-07-13 : Highest Volume — 206,818 contracts2018-07-13 : Largest IV drop — 18.2% change2018-07-03 : Highest IV Rank — 55.9%2018-07-03 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $69.31 $66.06 $72.44 $67.01 $71.86 Max Pain $67.52 $65.00 $68.50 $67.50 $68.50 ATM IV 20.3% 17.3% 25.0% 24.5% 18.0% Expected Move 5.8% 5.0% 7.4% 7.2% 5.1% HV 20d 20.7% 16.0% 24.0% 17.3% 21.7% HV 60d 21.0% 19.9% 21.5% 21.4% 21.5% IV Rank 24.8% 4.7% 55.9% 52.6% 9.5% IV Percentile 46.8% 5.6% 90.5% 89.7% 17.1% Term Structure -0.1% -1.8% 1.0% -0.6% -0.1% VWIV 20.9% 18.4% 25.4% 25.0% 19.1% Skew 25d 2.6% 2.0% 4.9% 2.8% 2.3% Skew 10d 4.7% 2.9% 7.9% 5.9% 4.0% Call IV 25d 19.2% 16.2% 23.1% 23.1% 17.3% Put IV 25d 21.8% 18.9% 27.4% 25.9% 19.6% Bid-Ask Spread % 4.85 2.27 9.52 2.51 5.20 Gamma HHI 0.10 0.07 0.17 0.07 0.08 Net GEX 54.1M 5.0M 104.8M 18.2M 45.9M Net DEX -463.6M -1.15B 610.2M 294.1M -939.9M Net VEX -15.0M -15.7M -14.4M -15.7M -15.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.38 1.31 0.60 1.31 Total Volume 94,274.619 59,343 206,818 81,374 69,625 Total OI 1,581,925.714 1,413,061 1,707,232 1,596,155 1,460,528
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 2018-07-02 $67.01 $67.50 24.5% 7.2% 17.3% 52.6% 25.0% 2.8% -0.6% 18.2M 294.1M -15.7M 0.60 2.51 50,745 30,629 900,231 695,924 2018-07-03 $66.06 $67.50 25.0% 7.4% 17.7% 55.9% 25.4% 4.9% -1.3% 5.0M 610.2M -15.3M 0.45 9.52 40,904 18,439 914,332 698,248 2018-07-05 $66.63 $67.50 23.9% 6.6% 16.0% 49.1% 23.9% 2.9% -0.4% 19.6M 424.0M -15.1M 0.69 3.91 42,991 29,740 927,147 701,318 2018-07-06 $67.12 $67.50 23.2% 6.4% 16.2% 44.3% 22.7% 2.0% -1.8% 52.8M 222.7M -15.0M 0.55 5.65 54,855 30,188 932,522 706,687 2018-07-09 $68.98 $67.50 22.6% 6.3% 19.1% 40.5% 23.5% 2.2% -0.0% 47.6M -508.0M -15.4M 0.56 4.02 71,789 40,188 899,549 692,332 2018-07-10 $68.33 $67.50 22.9% 6.7% 19.4% 42.4% 23.1% 2.8% 1.0% 44.4M -277.7M -15.3M 0.55 2.84 53,970 29,624 915,998 698,410 2018-07-11 $68.03 $67.50 23.0% 6.7% 19.0% 43.1% 24.4% 2.7% 0.2% 40.7M -163.9M -15.3M 0.68 7.34 51,886 35,363 925,108 706,411 2018-07-12 $68.54 $67.50 23.5% 6.7% 19.1% 45.9% 22.7% 2.3% 0.2% 50.6M -356.5M -15.6M 0.63 2.51 62,031 39,005 933,516 722,977 2018-07-13 $67.07 $67.50 19.2% 5.5% 19.5% 17.6% 19.9% 2.5% -0.2% 14.1M 469.9M -14.4M 0.48 2.83 139,479 67,339 956,898 749,539 2018-07-16 $69.55 $65.00 19.3% 5.5% 23.2% 18.3% 20.0% 2.8% -0.5% 93.7M -856.0M -15.0M 0.38 7.32 104,195 40,005 938,022 724,188 2018-07-17 $69.49 $67.50 19.0% 5.4% 23.3% 16.2% 19.3% 2.9% -0.3% 90.9M -779.5M -15.0M 0.66 5.64 46,911 31,134 933,528 733,825 2018-07-18 $69.92 $67.50 18.2% 5.2% 23.3% 11.2% 18.4% 2.3% 0.1% 104.8M -1.02B -14.8M 0.50 2.37 49,907 25,032 939,882 741,771 2018-07-19 $69.09 $67.50 18.8% 5.4% 23.6% 15.3% 19.8% 2.9% 0.4% 82.7M -523.9M -14.8M 0.55 2.27 64,873 35,541 945,268 744,776 2018-07-20 $69.33 $67.50 17.8% 5.1% 23.7% 8.4% 18.4% 2.5% -0.2% 93.9M -629.9M -14.6M 0.83 2.40 52,110 43,461 955,131 752,101 2018-07-23 $70.27 $67.50 18.4% 5.3% 24.0% 12.0% 19.3% 2.4% 0.1% 44.1M -642.2M -15.0M 0.70 2.76 51,312 35,754 808,406 604,655 2018-07-24 $71.05 $67.50 18.1% 5.2% 22.3% 10.1% 19.0% 2.3% 0.1% 54.6M -881.4M -14.9M 0.45 6.20 84,340 37,912 816,710 610,752 2018-07-25 $71.60 $67.50 17.3% 5.0% 22.2% 4.7% 18.4% 2.7% 0.3% 56.2M -1.00B -15.0M 0.85 6.92 34,077 28,906 825,798 625,619 2018-07-26 $71.33 $67.50 17.7% 5.1% 21.8% 7.4% 18.9% 2.1% 0.1% 59.3M -948.2M -14.8M 1.27 7.20 31,909 40,467 830,662 629,619 2018-07-27 $71.71 $68.50 17.4% 5.0% 21.3% 5.5% 18.5% 2.6% 0.1% 65.9M -1.07B -14.9M 0.86 7.87 40,705 34,975 836,278 643,169 2018-07-30 $72.44 $68.50 18.3% 5.3% 21.4% 11.3% 19.2% 2.7% -0.2% 52.0M -1.15B -14.8M 0.52 4.49 70,533 36,918 815,570 627,035 2018-07-31 $71.86 $68.50 18.0% 5.1% 21.7% 9.5% 19.1% 2.3% -0.1% 45.9M -939.9M -15.0M 1.31 5.20 30,076 39,549 824,746 635,782
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