C Options History — June 2019

In June 2019, C traded between $62.24 and $69.84. ATM implied volatility averaged 26.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 3.0% (HV 20d: 29.5%). Max pain ranged from $62.50 to $65.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2019-06-28: Highest Volume — 105,659 contracts
  • 2019-06-04: Largest IV drop — 9.7% change
  • 2019-06-03: Highest IV Rank — 41.2%
  • 2019-06-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.04$62.24$69.84$62.24$69.84
Max Pain$64.78$62.50$65.50$65.00$65.50
ATM IV26.4%25.1%29.8%29.8%25.2%
Expected Move7.8%7.4%8.8%8.8%7.4%
HV 20d29.5%26.5%36.0%29.0%26.5%
HV 60d27.1%25.6%28.1%25.6%26.4%
IV Rank31.8%28.2%41.2%41.2%28.3%
IV Percentile72.0%59.1%88.5%88.5%59.1%
Term Structure0.2%-1.5%2.3%-0.4%0.8%
VWIV27.6%26.2%30.7%30.7%27.3%
Skew 25d5.1%4.4%6.0%6.0%4.8%
Skew 10d10.5%8.5%13.1%13.1%10.2%
Call IV 25d24.1%22.8%26.8%26.8%23.0%
Put IV 25d29.2%27.8%32.8%32.8%27.8%
Bid-Ask Spread %2.461.954.182.532.40
Gamma HHI0.110.070.310.120.15
Net GEX23.1M-31.8M73.6M-31.8M47.1M
Net DEX-282.7M-890.3M764.8M764.8M-890.3M
Net VEX-11.9M-12.3M-11.2M-11.2M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.383.160.750.65
Total Volume63,230.6533,800105,65935,966105,659
Total OI1,130,064.6855,1101,273,9141,114,742959,507

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$62.24$65.0029.8%8.8%29.0%41.2%30.7%6.0%-0.4%-31.8M764.8M-11.2M0.752.5320,49515,471498,877615,865
2019-06-04$65.66$65.0026.9%7.6%36.0%33.2%26.7%5.2%-0.3%-3.8M-4.8M-11.8M0.662.6062,65141,045506,315622,509
2019-06-05$65.77$65.0026.5%7.6%33.7%32.0%26.3%5.0%-0.3%13.0M-54.0M-12.0M1.374.1830,55141,896541,099639,937
2019-06-06$66.51$65.0025.7%7.6%33.9%29.8%27.6%4.7%-0.2%39.7M-267.2M-12.0M1.442.2034,25349,376554,460648,186
2019-06-07$65.73$65.0025.9%7.9%33.9%30.4%27.4%4.4%-0.2%-1.8M9.5M-11.9M1.012.0233,12933,480564,135655,204
2019-06-10$67.19$65.0025.8%7.8%34.9%29.9%27.7%5.1%1.8%13.9M-338.9M-12.1M0.782.3236,80828,568529,291641,252
2019-06-11$67.78$65.0025.1%7.8%28.4%28.2%29.8%4.9%2.3%21.4M-476.4M-12.2M1.362.2519,69426,687542,483653,959
2019-06-12$66.74$65.0026.4%7.9%28.5%31.8%28.4%5.4%1.0%4.0M-164.2M-12.0M2.222.1122,56250,073546,151659,706
2019-06-13$66.99$65.0025.5%7.7%28.4%29.1%27.1%5.3%1.8%6.6M-253.4M-12.1M3.162.0014,89146,998556,458671,638
2019-06-14$67.56$65.0025.7%7.7%27.9%29.8%27.8%5.0%2.0%49.9M-441.7M-12.0M2.211.9518,27440,446560,176671,008
2019-06-17$66.58$65.0026.7%7.7%28.0%32.5%29.2%5.4%-0.2%3.6M-142.3M-11.7M0.482.0022,86010,940545,918654,881
2019-06-18$68.10$62.5027.1%7.9%29.0%33.6%26.3%5.3%-1.4%33.0M-545.7M-11.7M0.382.5244,52216,729556,434658,749
2019-06-19$67.85$62.5027.1%7.8%28.7%33.5%26.2%5.3%-1.2%43.4M-501.6M-11.7M0.672.7342,54728,704573,261664,278
2019-06-20$68.16$65.0026.8%7.7%27.8%32.8%28.0%5.3%-1.3%63.4M-625.1M-11.6M0.892.2738,33534,145586,499664,788
2019-06-21$68.42$65.0025.9%7.6%26.5%30.4%27.3%4.9%-1.5%73.6M-714.9M-11.7M0.693.0038,03926,156597,715676,199
2019-06-24$67.59$65.0026.3%7.8%26.9%31.4%27.3%5.0%0.4%11.8M-248.7M-11.5M0.632.4922,18813,883398,498456,612
2019-06-25$66.67$65.0027.4%8.2%27.2%34.3%27.2%5.3%0.4%7.6M-91.8M-11.6M0.412.3443,23817,796412,870463,634
2019-06-26$67.31$65.0026.4%8.0%27.3%31.7%26.7%5.2%0.4%23.6M-242.2M-11.9M0.412.8130,31712,463444,625472,953
2019-06-27$68.17$65.0026.6%7.8%27.4%32.2%27.5%5.1%0.5%43.8M-424.6M-12.1M0.832.4926,61022,134457,583477,579
2019-06-28$69.84$65.5025.2%7.4%26.5%28.3%27.3%4.8%0.8%47.1M-890.3M-12.3M0.652.4063,99841,661470,483489,024