C Options History — February 2019

In February 2019, C traded between $61.65 and $64.65. ATM implied volatility averaged 22.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.4% (HV 20d: 21.0%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-02-07: Highest Volume — 97,222 contracts
  • 2019-02-07: Largest IV spike — 12.9% change
  • 2019-02-08: Highest IV Rank — 26.0%
  • 2019-02-07: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.66$61.65$64.65$63.83$64.03
Max Pain$62.50$62.50$62.50$62.50$62.50
ATM IV22.5%20.6%24.3%22.0%21.7%
Expected Move6.4%5.8%6.9%6.2%6.2%
HV 20d21.0%16.5%26.5%26.5%16.5%
HV 60d30.3%28.6%31.6%31.6%28.7%
IV Rank20.8%15.7%26.0%19.5%18.8%
IV Percentile48.0%31.7%62.7%44.4%39.7%
Term Structure-0.0%-0.9%0.6%-0.2%0.1%
VWIV23.1%21.8%24.9%23.1%22.3%
Skew 25d3.4%2.9%4.3%3.5%3.5%
Skew 10d7.1%5.8%9.1%7.3%6.7%
Call IV 25d21.1%19.5%22.9%20.2%20.2%
Put IV 25d24.6%22.7%27.1%23.7%23.7%
Bid-Ask Spread %2.601.774.111.932.43
Gamma HHI0.110.090.130.100.12
Net GEX23.1M-9.8M42.3M21.9M24.4M
Net DEX-295.9M-593.7M234.6M-309.5M-363.9M
Net VEX-12.8M-13.0M-12.5M-13.0M-12.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.391.710.391.36
Total Volume49,229.31624,89697,22284,04041,471
Total OI1,213,102.5791,155,8651,280,1671,187,1961,242,378

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-02-01$63.83$62.5022.0%6.2%26.5%19.5%23.1%3.5%-0.2%21.9M-309.5M-13.0M0.391.9360,37123,669576,188611,008
2019-02-04$63.91$62.5020.9%6.0%23.0%16.5%23.2%3.2%0.2%30.4M-358.5M-12.7M1.022.1818,35818,692569,266586,599
2019-02-05$63.78$62.5020.6%5.8%23.2%15.7%23.2%3.1%-0.2%28.0M-313.9M-12.7M1.711.9017,50829,901577,146601,844
2019-02-06$63.95$62.5020.9%6.0%22.7%16.6%21.8%3.0%0.0%28.9M-372.2M-12.8M0.772.0521,91116,860578,172609,090
2019-02-07$62.67$62.5023.6%6.9%24.4%24.1%24.0%4.0%0.4%4.3M-2.2M-12.8M1.382.6340,83756,385586,248611,775
2019-02-08$61.73$62.5024.3%6.8%25.4%26.0%24.9%4.3%-0.9%-9.8M234.6M-12.8M0.962.1933,22831,881605,301631,153
2019-02-11$61.65$62.5024.0%6.8%25.5%25.1%23.9%4.2%0.6%-8.2M232.1M-12.6M0.771.8424,15518,616597,570619,658
2019-02-12$62.75$62.5023.0%6.6%23.3%22.3%22.9%3.4%0.2%16.5M-97.7M-12.8M0.872.0517,33515,008602,190628,902
2019-02-13$63.26$62.5023.2%6.6%19.2%22.8%23.0%3.1%-0.4%26.6M-214.5M-12.8M1.163.2119,17122,217608,344635,962
2019-02-14$62.64$62.5023.1%6.6%19.0%22.6%22.9%2.9%-0.0%14.5M-48.7M-12.7M0.932.1832,15729,993614,038641,954
2019-02-15$64.35$62.5022.6%6.4%21.2%21.2%23.3%3.1%0.5%42.3M-593.7M-13.0M0.771.7745,32134,813629,991650,176
2019-02-19$64.56$62.5022.9%6.6%21.0%21.9%23.8%3.3%-0.1%34.1M-536.6M-12.9M1.073.3415,54716,651596,879575,343
2019-02-20$64.58$62.5022.9%6.5%18.9%21.9%24.5%3.4%0.0%33.8M-556.1M-13.0M1.124.0719,72022,071605,171588,983
2019-02-21$64.23$62.5023.2%6.6%18.9%22.9%23.4%3.6%-0.1%28.3M-430.3M-12.9M1.494.1113,65920,323615,582593,278
2019-02-22$64.26$62.5021.7%6.0%18.6%18.8%22.4%3.2%-0.2%27.7M-452.3M-12.8M1.053.0228,25429,663620,105593,400
2019-02-25$64.65$62.5022.1%6.3%17.3%19.9%22.7%3.5%-0.5%35.0M-548.0M-12.7M0.762.6720,47215,643611,836591,419
2019-02-26$64.22$62.5021.9%6.3%17.4%19.3%21.9%3.5%0.3%27.3M-403.4M-12.6M0.803.1613,81111,085618,407598,986
2019-02-27$64.45$62.5021.9%6.3%17.1%19.3%22.4%3.4%-0.0%33.0M-487.8M-12.6M0.662.5823,21315,387623,302601,305
2019-02-28$64.03$62.5021.7%6.2%16.5%18.8%22.3%3.5%0.1%24.4M-363.9M-12.5M1.362.4317,59623,875635,767606,611