C Options History — January 2019

In January 2019, C traded between $52.75 and $64.26. ATM implied volatility averaged 27.9%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.4% (HV 20d: 31.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.88.

Notable Days

2019-01-14: Highest Volume — 219,881 contracts
2019-01-14: Largest IV drop — 20.5% change
2019-01-03: Highest IV Rank — 68.2%
2019-01-02: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.88	$52.75	$64.26	$53.51	$64.16
Max Pain	$57.17	$55.00	$60.00	$60.00	$60.00
ATM IV	27.9%	22.6%	39.6%	37.5%	22.9%
Expected Move	7.9%	6.5%	11.3%	11.3%	6.5%
HV 20d	31.3%	26.7%	35.7%	32.5%	27.4%
HV 60d	31.0%	28.2%	32.4%	28.2%	31.9%
IV Rank	35.7%	21.1%	68.2%	62.4%	22.2%
IV Percentile	72.3%	50.0%	96.8%	96.0%	52.4%
Term Structure	-0.4%	-2.3%	1.0%	-1.4%	-0.3%
VWIV	28.7%	23.5%	39.8%	39.8%	25.9%
Skew 25d	5.7%	3.8%	8.3%	7.9%	3.8%
Skew 10d	11.2%	7.8%	17.4%	14.9%	7.8%
Call IV 25d	25.6%	20.8%	35.8%	33.6%	21.2%
Put IV 25d	31.3%	25.0%	44.2%	41.5%	25.1%
Bid-Ask Spread %	3.39	2.26	9.15	2.97	2.26
Gamma HHI	0.11	0.07	0.34	0.11	0.08
Net GEX	19.3M	-8.9M	66.6M	-8.9M	41.6M
Net DEX	-2.4M	-1.07B	1.33B	1.33B	-650.4M
Net VEX	-11.5M	-13.1M	-8.9M	-9.0M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.17	2.15	1.88	0.17
Total Volume	112,832.286	15,972	219,881	96,586	197,763
Total OI	1,463,638.762	1,114,231	1,808,807	1,523,685	1,226,396

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
2019-01-02	$53.51	$60.00	37.5%	11.3%	32.5%	62.4%	39.8%	7.9%	-1.4%	-8.9M	1.33B	-9.0M	1.88	2.97	33,588	62,998	908,514	615,171
2019-01-03	$52.75	$55.00	39.6%	10.7%	29.5%	68.2%	36.9%	8.3%	-1.7%	-7.6M	1.31B	-8.9M	1.30	3.02	38,393	50,052	915,269	600,702
2019-01-04	$55.20	$55.00	34.8%	9.6%	35.0%	55.0%	33.3%	8.1%	-1.3%	-8.6M	915.8M	-9.7M	0.71	3.14	76,937	54,609	922,881	608,901
2019-01-07	$55.84	$55.00	34.8%	9.8%	33.5%	54.9%	34.8%	7.0%	0.1%	-4.2M	820.6M	-10.1M	0.39	2.97	55,794	21,873	922,854	601,163
2019-01-08	$55.49	$55.00	33.5%	9.4%	32.9%	51.3%	33.1%	6.8%	-0.3%	-3.3M	887.5M	-10.0M	1.30	3.30	29,112	37,739	955,384	622,309
2019-01-09	$56.42	$55.00	32.4%	8.9%	32.3%	48.4%	30.4%	7.1%	-1.9%	1.6M	704.6M	-10.5M	1.06	2.54	48,731	51,738	967,079	643,528
2019-01-10	$56.66	$55.00	32.0%	8.8%	31.9%	47.3%	33.0%	6.8%	-1.5%	3.5M	660.6M	-10.6M	2.15	3.12	24,649	52,902	973,563	660,193
2019-01-11	$57.05	$55.00	31.7%	8.7%	32.0%	46.3%	31.4%	6.9%	-2.3%	13.8M	544.0M	-10.8M	0.72	9.15	93,227	66,950	981,327	672,573
2019-01-14	$59.09	$55.00	25.2%	7.1%	33.9%	28.4%	25.7%	5.7%	0.9%	28.6M	-12.3M	-10.9M	0.70	2.53	129,188	90,693	1,009,732	666,178
2019-01-15	$61.43	$55.00	23.6%	6.7%	35.7%	23.9%	25.2%	4.8%	0.6%	28.6M	-696.5M	-11.5M	0.92	2.52	96,103	88,097	1,012,533	691,314
2019-01-16	$62.31	$57.50	24.3%	7.0%	34.7%	26.0%	26.5%	5.3%	-1.0%	29.7M	-911.7M	-11.8M	0.51	3.28	117,808	59,761	1,021,452	724,155
2019-01-17	$62.40	$57.50	24.3%	7.0%	34.7%	25.9%	26.1%	5.4%	-0.5%	22.4M	-861.2M	-12.2M	0.48	3.35	109,421	52,638	1,032,446	746,491
2019-01-18	$63.06	$57.50	22.7%	6.6%	31.9%	21.3%	24.1%	4.4%	-0.6%	66.6M	-1.07B	-12.2M	0.63	2.58	122,016	77,339	1,048,207	760,600
2019-01-22	$61.59	$57.50	24.6%	7.4%	33.5%	26.7%	26.4%	5.0%	0.8%	14.3M	-79.6M	-12.4M	0.89	3.34	53,181	47,448	573,172	541,059
2019-01-23	$62.14	$57.50	24.9%	7.2%	28.1%	27.6%	28.0%	4.7%	-0.0%	18.6M	-208.6M	-12.8M	1.14	2.89	32,795	37,358	592,731	566,288
2019-01-24	$62.78	$58.00	23.5%	6.8%	27.1%	23.6%	24.7%	4.3%	0.6%	24.1M	-363.0M	-12.9M	0.72	3.35	30,968	22,316	598,377	585,154
2019-01-25	$64.08	$60.00	22.9%	6.6%	26.7%	21.9%	23.5%	4.0%	0.8%	51.8M	-700.0M	-12.9M	0.43	3.56	73,717	31,718	602,108	589,428
2019-01-28	$63.84	$60.00	23.4%	6.7%	27.2%	23.3%	24.2%	4.2%	0.2%	31.1M	-567.1M	-13.1M	0.80	3.60	8,893	7,079	606,049	570,207
2019-01-29	$63.32	$60.00	23.6%	6.8%	28.1%	23.9%	26.6%	4.4%	0.1%	26.1M	-425.6M	-13.0M	1.14	3.92	15,773	18,020	612,011	581,332
2019-01-30	$64.26	$60.00	22.6%	6.5%	28.0%	21.1%	23.6%	3.9%	1.0%	36.1M	-677.4M	-13.1M	0.50	3.73	33,456	16,637	616,878	590,705
2019-01-31	$64.16	$60.00	22.9%	6.5%	27.4%	22.2%	25.9%	3.8%	-0.3%	41.6M	-650.4M	-13.1M	0.17	2.26	168,560	29,203	630,189	596,207