C Options History — September 2018

In September 2018, C traded between $69.57 and $74.88. ATM implied volatility averaged 20.9%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.3% (HV 20d: 18.6%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.87.

Notable Days

2018-09-20: Highest Volume — 175,938 contracts
2018-09-06: Largest IV spike — 8.5% change
2018-09-28: Highest IV Rank — 51.2%
2018-09-28: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.79	$69.57	$74.88	$71.47	$71.78
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	20.9%	19.0%	23.5%	19.0%	23.5%
Expected Move	6.1%	5.4%	6.7%	5.4%	6.7%
HV 20d	18.6%	15.6%	20.7%	20.2%	18.8%
HV 60d	19.4%	18.9%	19.9%	19.2%	19.9%
IV Rank	35.6%	24.3%	51.2%	24.3%	51.2%
IV Percentile	64.2%	35.3%	87.7%	35.3%	87.7%
Term Structure	0.8%	-1.1%	2.5%	1.8%	0.9%
VWIV	21.5%	19.2%	23.4%	19.2%	23.4%
Skew 25d	2.4%	2.0%	3.0%	2.1%	2.0%
Skew 10d	4.5%	2.4%	6.9%	4.6%	3.9%
Call IV 25d	19.9%	18.1%	22.5%	18.1%	22.5%
Put IV 25d	22.3%	20.2%	24.5%	20.2%	24.5%
Bid-Ask Spread %	3.43	1.86	8.35	3.16	2.39
Gamma HHI	0.11	0.07	0.42	0.10	0.08
Net GEX	63.5M	8.2M	221.2M	55.9M	42.4M
Net DEX	-871.1M	-2.70B	35.5M	-751.1M	-598.0M
Net VEX	-14.0M	-14.9M	-13.2M	-14.9M	-14.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.43	1.25	1.25	0.77
Total Volume	79,490.474	42,492	175,938	59,245	95,267
Total OI	1,593,663.211	1,341,863	1,760,505	1,605,949	1,432,440

Daily Data (19 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
2018-09-04	$71.47	$70.00	19.0%	5.4%	20.2%	24.3%	19.2%	2.1%	1.8%	55.9M	-751.1M	-14.9M	1.25	3.16	26,359	32,886	925,053	680,896
2018-09-05	$71.30	$70.00	19.2%	5.4%	20.2%	25.4%	19.7%	2.4%	1.9%	57.7M	-687.9M	-14.8M	1.12	2.45	25,350	28,488	932,857	687,531
2018-09-06	$70.14	$70.00	20.8%	6.4%	20.7%	35.1%	21.8%	3.0%	1.5%	12.7M	-151.7M	-14.6M	0.95	8.35	34,170	32,601	936,461	694,690
2018-09-07	$69.89	$70.00	20.3%	6.3%	20.3%	32.1%	22.1%	2.5%	1.6%	8.2M	-36.3M	-14.2M	1.01	2.50	34,052	34,378	944,040	701,679
2018-09-10	$69.74	$70.00	21.3%	6.3%	18.4%	37.9%	21.8%	2.5%	0.3%	9.7M	-16.8M	-14.0M	0.62	6.18	34,030	21,040	929,475	691,161
2018-09-11	$69.57	$70.00	21.7%	6.3%	17.4%	40.7%	21.8%	2.1%	0.3%	10.5M	35.5M	-14.0M	0.58	2.66	67,384	38,950	945,509	695,839
2018-09-12	$70.76	$70.00	20.8%	6.3%	17.9%	35.2%	21.4%	2.5%	1.3%	57.0M	-584.6M	-14.1M	1.09	8.05	36,195	39,275	966,047	705,217
2018-09-13	$70.19	$70.00	21.3%	6.2%	16.4%	38.0%	21.9%	2.3%	-0.1%	36.2M	-254.2M	-14.0M	0.94	2.03	27,551	25,829	972,983	714,399
2018-09-14	$70.61	$70.00	20.3%	5.9%	15.9%	32.4%	20.3%	2.4%	0.7%	85.5M	-491.6M	-13.5M	0.65	1.86	34,062	22,232	976,928	718,645
2018-09-17	$70.85	$70.00	21.3%	6.2%	15.9%	38.4%	22.3%	2.4%	-1.1%	51.3M	-538.6M	-13.4M	1.17	2.57	27,560	32,336	955,586	698,484
2018-09-18	$71.50	$70.00	19.9%	5.7%	15.6%	29.9%	20.3%	2.5%	0.3%	79.9M	-878.8M	-13.2M	0.56	2.27	32,725	18,189	961,714	707,496
2018-09-19	$74.01	$70.00	20.0%	5.7%	19.5%	30.3%	20.8%	2.9%	0.2%	133.1M	-2.16B	-13.3M	0.45	2.44	111,107	49,460	967,696	708,117
2018-09-20	$74.88	$70.00	19.9%	5.7%	19.7%	29.9%	20.6%	2.1%	-0.1%	221.2M	-2.70B	-13.4M	0.43	2.14	123,396	52,542	1,003,901	723,350
2018-09-21	$74.18	$70.00	20.0%	5.7%	19.9%	30.3%	20.9%	2.3%	0.3%	86.6M	-2.24B	-13.7M	1.19	3.08	50,672	60,525	1,021,912	738,593
2018-09-24	$73.76	$70.00	21.4%	6.2%	20.1%	38.5%	22.5%	2.3%	0.8%	65.3M	-1.26B	-14.0M	1.16	3.37	39,120	45,569	794,960	546,903
2018-09-25	$73.69	$70.00	21.6%	6.2%	18.2%	39.7%	22.5%	2.3%	1.2%	69.4M	-1.26B	-14.3M	0.76	2.74	30,876	23,568	811,322	568,509
2018-09-26	$72.75	$70.00	22.2%	6.5%	18.8%	43.6%	22.4%	2.1%	2.5%	60.5M	-960.0M	-14.2M	0.94	4.06	41,379	38,704	824,825	572,320
2018-09-27	$72.89	$70.00	22.3%	6.4%	18.8%	44.0%	22.6%	2.1%	1.2%	63.4M	-1.02B	-14.2M	0.82	2.84	23,358	19,134	840,797	581,266
2018-09-28	$71.78	$70.00	23.5%	6.7%	18.8%	51.2%	23.4%	2.0%	0.9%	42.4M	-598.0M	-14.3M	0.77	2.39	53,912	41,355	845,959	586,481