C Options History — December 2018

In December 2018, C traded between $49.63 and $65.08. ATM implied volatility averaged 37.3%, placing in the 89.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 5.9% (HV 20d: 31.4%). Max pain ranged from $60.00 to $67.50. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.87.

Notable Days

2018-12-06: Highest Volume — 221,442 contracts
2018-12-04: Largest IV spike — 30.6% change
2018-12-10: Highest IV Rank — 100.0%
2018-12-24: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.36	$49.63	$65.08	$65.08	$51.95
Max Pain	$64.25	$60.00	$67.50	$65.00	$60.00
ATM IV	37.3%	22.2%	51.1%	22.2%	40.7%
Expected Move	11.3%	6.8%	15.1%	6.8%	12.4%
HV 20d	31.4%	28.2%	33.5%	29.6%	29.4%
HV 60d	25.8%	23.2%	27.3%	23.2%	27.3%
IV Rank	89.0%	41.9%	100.0%	41.9%	71.3%
IV Percentile	97.0%	61.9%	100.0%	61.9%	97.2%
Term Structure	0.1%	-5.3%	8.5%	1.0%	-2.0%
VWIV	38.5%	23.9%	53.2%	23.9%	42.2%
Skew 25d	6.2%	2.3%	8.4%	3.2%	7.9%
Skew 10d	13.1%	5.8%	19.0%	5.8%	15.6%
Call IV 25d	35.3%	20.7%	55.7%	20.7%	36.9%
Put IV 25d	41.5%	23.9%	58.0%	23.9%	44.8%
Bid-Ask Spread %	4.05	2.19	7.52	3.30	3.41
Gamma HHI	0.11	0.08	0.16	0.08	0.10
Net GEX	-20.3M	-31.7M	14.1M	14.1M	-13.1M
Net DEX	1.78B	532.9M	2.30B	532.9M	1.56B
Net VEX	-9.1M	-11.4M	-7.6M	-11.4M	-8.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.36	1.73	1.02	0.51
Total Volume	121,034.95	58,720	221,442	65,196	65,261
Total OI	1,645,725.45	1,472,090	1,820,826	1,568,007	1,503,393

Daily Data (20 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
2018-12-03	$65.08	$65.00	22.2%	6.8%	29.6%	41.9%	23.9%	3.2%	1.0%	14.1M	532.9M	-11.4M	1.02	3.30	32,335	32,861	909,318	658,689
2018-12-04	$62.12	$65.00	29.0%	9.2%	32.8%	81.1%	31.2%	4.6%	-0.1%	-20.6M	1.19B	-11.0M	0.69	5.57	95,854	66,032	915,748	650,616
2018-12-05	$62.25	$65.00	29.2%	9.6%	32.7%	82.1%	32.3%	4.6%	0.1%	-19.0M	1.14B	-11.0M	0.70	7.14	97,208	67,968	915,748	650,616
2018-12-06	$59.99	$67.50	31.5%	9.6%	32.8%	95.3%	31.3%	6.0%	0.2%	-31.7M	1.65B	-10.3M	0.70	3.19	130,363	91,079	936,984	667,415
2018-12-07	$58.73	$67.50	31.8%	10.1%	33.2%	97.4%	33.2%	5.6%	0.4%	-27.0M	1.78B	-10.1M	1.07	3.52	33,089	35,455	983,817	685,297
2018-12-10	$57.16	$67.50	35.3%	10.4%	33.5%	100.0%	36.0%	7.1%	1.0%	-29.9M	1.98B	-9.2M	0.88	2.45	59,346	52,351	963,859	680,208
2018-12-11	$56.33	$67.50	33.1%	9.9%	32.8%	89.7%	34.4%	6.8%	1.4%	-27.1M	2.06B	-9.0M	1.15	2.45	41,734	48,125	988,147	684,777
2018-12-12	$56.20	$65.00	32.6%	10.1%	32.3%	87.1%	32.9%	6.5%	2.7%	-29.8M	2.10B	-8.7M	0.84	2.95	73,255	61,547	999,494	700,395
2018-12-13	$55.69	$65.00	32.7%	10.0%	32.1%	87.7%	32.4%	5.5%	2.5%	-26.3M	2.08B	-8.9M	0.50	2.19	115,698	57,365	1,024,501	695,338
2018-12-14	$55.00	$65.00	34.8%	10.5%	31.5%	97.7%	35.1%	5.8%	2.7%	-26.3M	2.09B	-9.1M	1.05	2.78	52,858	55,552	1,061,138	712,371
2018-12-17	$54.00	$65.00	38.8%	11.2%	31.2%	100.0%	40.7%	6.7%	-0.3%	-25.5M	2.11B	-8.8M	0.89	3.15	38,466	34,392	1,036,823	707,287
2018-12-18	$54.12	$65.00	39.2%	11.3%	31.4%	100.0%	38.4%	6.5%	-1.2%	-20.3M	2.02B	-8.9M	0.61	2.64	36,487	22,233	1,063,830	709,901
2018-12-19	$52.57	$65.00	41.0%	11.7%	31.7%	100.0%	36.4%	6.5%	-2.9%	-22.9M	2.19B	-8.2M	1.73	3.73	56,823	98,373	1,075,171	706,722
2018-12-20	$52.16	$62.50	43.0%	12.4%	31.2%	100.0%	43.4%	7.3%	-1.1%	-25.1M	2.18B	-8.1M	1.16	3.42	57,991	67,368	1,087,838	707,600
2018-12-21	$50.10	$62.50	45.8%	13.6%	32.8%	100.0%	47.3%	8.4%	-5.3%	-20.9M	2.30B	-7.6M	1.09	7.23	59,363	64,730	1,105,868	714,958
2018-12-24	$49.63	$62.50	51.1%	15.1%	28.5%	100.0%	53.2%	2.3%	8.5%	-15.4M	1.84B	-7.6M	0.75	7.52	43,091	32,111	869,738	608,269
2018-12-26	$50.99	$62.50	46.1%	14.3%	31.8%	86.2%	48.2%	7.1%	-0.8%	-17.9M	1.69B	-7.9M	0.95	5.11	62,845	59,561	870,600	601,490
2018-12-27	$51.35	$60.00	45.2%	14.6%	28.2%	83.7%	52.8%	6.8%	-2.5%	-14.4M	1.58B	-8.4M	0.75	4.15	86,642	65,200	900,206	611,999
2018-12-28	$51.75	$60.00	43.5%	13.5%	29.0%	78.8%	45.5%	8.3%	-1.3%	-7.7M	1.53B	-8.6M	0.36	5.10	124,333	45,354	920,611	627,729
2018-12-31	$51.95	$60.00	40.7%	12.4%	29.4%	71.3%	42.2%	7.9%	-2.0%	-13.1M	1.56B	-8.4M	0.51	3.41	43,311	21,950	889,745	613,648