C Options History — May 2019

In May 2019, C traded between $62.11 and $70.67. ATM implied volatility averaged 25.0%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.5% (HV 20d: 26.5%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2019-05-02: Highest Volume — 185,074 contracts
  • 2019-05-13: Largest IV spike — 24.5% change
  • 2019-05-31: Highest IV Rank — 40.2%
  • 2019-05-31: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.18$62.11$70.67$70.20$62.11
Max Pain$66.68$65.00$67.50$65.00$65.00
ATM IV25.0%18.7%29.5%18.7%29.5%
Expected Move7.2%5.8%8.5%6.2%8.5%
HV 20d26.5%19.2%30.8%19.5%29.3%
HV 60d23.8%20.8%25.7%21.3%25.7%
IV Rank27.8%10.5%40.2%10.5%40.2%
IV Percentile64.0%17.5%87.7%17.5%87.7%
Term Structure0.3%-0.8%3.2%3.2%-0.5%
VWIV26.0%20.7%32.6%22.5%29.4%
Skew 25d5.3%1.1%8.0%1.1%5.7%
Skew 10d10.9%6.4%17.0%6.4%11.4%
Call IV 25d22.9%19.1%27.4%22.3%27.4%
Put IV 25d28.2%22.5%33.9%23.5%33.1%
Bid-Ask Spread %4.301.6325.5025.502.32
Gamma HHI0.130.070.610.130.11
Net GEX-16.8M-197.0M46.5M43.4M-40.5M
Net DEX9.9M-1.15B821.9M-1.15B821.9M
Net VEX-11.9M-12.5M-11.3M-12.1M-11.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.162.500.681.17
Total Volume68,742.04535,106185,07461,33450,274
Total OI1,138,773.7731,062,3911,220,3301,143,8321,141,927

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$70.20$65.0018.7%6.2%19.5%10.5%22.5%1.1%3.2%43.4M-1.15B-12.1M0.6825.5036,45724,877538,211605,621
2019-05-02$70.20$65.0021.4%6.1%19.6%18.0%32.6%3.3%0.1%43.5M-1.13B-12.3M0.165.04159,19325,881546,751612,585
2019-05-03$70.67$67.5020.7%5.8%19.3%16.1%20.7%3.4%0.2%46.5M-1.08B-11.9M0.333.2666,90521,837506,958621,115
2019-05-06$70.47$67.5022.2%6.8%19.2%20.2%24.5%4.6%0.4%38.9M-969.1M-12.0M0.701.6539,49927,596493,307611,295
2019-05-07$67.90$67.5026.8%7.7%24.0%32.8%25.9%6.3%-0.2%388.7K-263.8M-12.5M1.262.7839,53249,666498,659623,310
2019-05-08$68.49$67.5025.4%7.6%23.6%29.0%24.8%6.0%-0.0%11.8M-438.2M-12.5M1.303.7021,93228,495509,145633,974
2019-05-09$67.69$67.5026.2%7.6%24.0%31.2%26.9%6.5%1.0%-4.7M-195.3M-12.3M0.974.4239,96538,692515,342638,045
2019-05-10$67.70$67.5023.5%7.0%24.0%23.7%24.2%5.7%0.1%3.1M-225.6M-12.2M1.685.5919,37332,493525,946645,071
2019-05-13$64.09$67.5029.2%8.4%29.9%39.5%30.7%8.0%-0.0%-37.8M628.2M-11.8M1.395.3436,04650,121509,991627,015
2019-05-14$65.30$67.5025.6%7.5%30.8%29.4%26.1%6.5%0.7%-49.6M389.4M-11.9M0.941.6342,18939,450523,299652,797
2019-05-15$64.92$67.5024.3%7.2%28.9%26.0%24.8%6.2%0.7%-59.3M504.3M-11.8M1.742.2120,45535,646531,688658,857
2019-05-16$66.01$67.5023.1%6.8%28.5%22.6%23.8%5.6%0.9%-48.6M159.0M-11.8M1.681.9027,99346,944536,932662,869
2019-05-17$65.12$67.5024.2%6.9%28.6%25.7%25.2%6.1%-0.1%-197.0M402.5M-11.9M1.424.0719,56427,694544,078676,252
2019-05-20$65.01$67.5026.3%7.5%28.5%31.3%26.1%5.4%-0.1%-17.2M246.6M-11.8M0.362.8248,49817,582470,609591,782
2019-05-21$65.97$67.5022.4%6.4%29.2%20.6%22.9%4.5%0.7%9.3M-38.8M-11.8M0.584.0923,19913,484496,067597,382
2019-05-22$64.81$67.5024.3%7.0%29.7%25.8%24.4%4.6%0.1%2.2M238.5M-11.7M1.093.8726,07228,356502,065603,556
2019-05-23$63.56$66.0027.6%7.9%30.2%35.0%28.3%5.6%0.0%-18.3M535.9M-11.7M1.524.0527,41241,565512,853608,899
2019-05-24$64.42$65.5025.3%7.2%30.8%28.6%26.5%5.0%1.1%-22.5M345.7M-11.8M1.802.2620,11736,139521,075616,337
2019-05-28$63.93$65.5026.4%7.5%28.6%31.7%25.6%5.3%-0.7%-24.1M454.6M-11.5M0.722.6220,43414,672491,139610,721
2019-05-29$63.73$65.0028.1%8.0%28.6%36.3%26.3%5.7%-0.8%-23.4M471.9M-11.5M2.502.9018,65846,633498,050613,524
2019-05-30$63.57$65.0028.2%8.0%28.6%36.5%29.1%5.2%-0.6%-26.4M511.4M-11.6M1.372.5625,63335,102503,207624,717
2019-05-31$62.11$65.0029.5%8.5%29.3%40.2%29.4%5.7%-0.5%-40.5M821.9M-11.3M1.172.3223,18727,087511,856630,071