C Options History — July 2019 In July 2019, C traded between $70.30 and $73.06. ATM implied volatility averaged 20.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.8% (HV 20d: 17.6%). Max pain ranged from $67.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.83.
Notable Days 2019-07-15 : Highest Volume — 151,483 contracts2019-07-15 : Largest IV drop — 12.0% change2019-07-10 : Highest IV Rank — 22.1%2019-07-10 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $71.45 $70.30 $73.06 $70.78 $71.47 Max Pain $68.14 $67.00 $70.00 $67.00 $70.00 ATM IV 20.4% 17.8% 22.9% 22.4% 19.4% Expected Move 5.8% 5.1% 6.6% 6.4% 5.5% HV 20d 17.6% 14.8% 26.5% 26.5% 15.1% HV 60d 25.6% 24.9% 26.4% 26.4% 25.4% IV Rank 15.2% 8.1% 22.1% 20.7% 12.4% IV Percentile 22.7% 7.5% 41.7% 35.3% 13.5% Term Structure -0.2% -1.3% 1.0% -0.4% -0.1% VWIV 20.8% 18.0% 24.1% 22.9% 19.6% Skew 25d 4.4% 3.1% 5.2% 5.0% 3.6% Skew 10d 8.3% -3.4% 12.4% 9.9% 7.4% Call IV 25d 18.7% 16.5% 21.0% 20.5% 18.3% Put IV 25d 23.0% 20.1% 25.6% 25.4% 21.9% Bid-Ask Spread % 3.36 2.24 6.35 2.69 6.35 Gamma HHI 0.10 0.07 0.13 0.10 0.09 Net GEX 45.6M 29.6M 65.3M 45.2M 32.3M Net DEX -872.5M -1.15B -649.0M -862.7M -649.0M Net VEX -12.0M -12.1M -11.8M -12.0M -12.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.43 2.35 0.89 0.69 Total Volume 63,962.591 28,492 151,483 60,137 52,563 Total OI 1,033,843.955 938,228 1,130,372 938,228 1,079,826
Daily Data (22 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 2019-07-01 $70.78 $67.00 22.4% 6.4% 26.5% 20.7% 22.9% 5.0% -0.4% 45.2M -862.7M -12.0M 0.89 2.69 31,741 28,396 448,759 489,469 2019-07-02 $70.30 $67.50 22.0% 6.2% 20.2% 19.5% 21.9% 4.8% -0.7% 37.0M -743.7M -11.9M 1.20 3.94 22,862 27,453 458,572 499,631 2019-07-03 $70.58 $67.50 22.9% 6.5% 20.2% 22.1% 22.0% 4.9% -0.6% 41.9M -812.5M -12.0M 1.20 3.55 16,873 20,293 469,083 513,162 2019-07-05 $71.31 $67.50 22.8% 6.1% 20.2% 21.6% 22.2% 4.5% -0.8% 53.0M -970.1M -12.1M 0.68 2.48 25,267 17,124 473,473 528,206 2019-07-08 $71.27 $67.50 22.6% 6.1% 19.4% 21.3% 22.2% 4.7% -1.0% 41.4M -911.0M -11.9M 2.35 2.24 12,880 30,235 460,257 489,874 2019-07-09 $71.51 $67.50 22.8% 6.2% 18.3% 21.8% 23.5% 5.2% -1.0% 41.7M -946.9M -12.0M 0.65 3.34 24,232 15,846 467,257 509,867 2019-07-10 $70.99 $67.50 22.9% 6.6% 18.5% 22.1% 23.3% 5.1% 0.6% 41.6M -833.9M -12.1M 0.57 3.26 38,928 22,283 481,860 518,889 2019-07-11 $71.65 $67.50 22.4% 6.1% 17.4% 20.5% 23.0% 4.7% -1.1% 60.8M -1.04B -12.1M 0.61 2.57 52,816 32,000 498,402 525,804 2019-07-12 $71.74 $67.50 22.4% 6.2% 17.4% 20.8% 24.1% 4.3% -1.3% 57.4M -1.05B -12.1M 0.79 4.69 64,092 50,915 511,601 535,709 2019-07-15 $71.74 $67.50 19.7% 5.5% 17.3% 13.3% 21.2% 5.1% 1.0% 49.0M -993.0M -11.9M 0.43 2.44 106,055 45,428 503,899 534,955 2019-07-16 $71.51 $67.50 19.0% 5.4% 16.2% 11.3% 19.6% 5.0% 0.8% 56.5M -932.6M -11.9M 0.71 3.19 60,875 43,462 527,977 549,497 2019-07-17 $70.78 $67.50 20.2% 5.8% 15.3% 14.4% 19.6% 4.4% -0.9% 29.6M -719.2M -11.9M 0.72 2.91 34,710 24,841 542,969 566,880 2019-07-18 $71.76 $67.50 18.4% 5.3% 15.7% 9.7% 20.4% 4.8% 0.6% 65.3M -1.01B -12.0M 0.63 3.26 42,392 26,894 550,222 568,835 2019-07-19 $71.19 $67.50 19.7% 5.8% 16.1% 13.3% 19.1% 4.7% -1.3% 32.5M -872.9M -11.8M 0.60 3.91 37,119 22,209 558,389 571,983 2019-07-22 $71.13 $67.50 18.6% 5.3% 16.2% 10.3% 19.0% 4.1% 0.2% 37.9M -670.3M -11.9M 0.88 3.16 17,884 15,653 480,889 512,323 2019-07-23 $71.99 $67.50 18.0% 5.2% 15.6% 8.4% 18.0% 3.7% 0.2% 53.7M -885.1M -11.8M 0.82 2.72 39,164 32,105 488,598 522,365 2019-07-24 $73.06 $69.50 18.0% 5.2% 14.8% 8.5% 18.8% 3.5% 0.1% 60.1M -1.15B -11.9M 0.52 2.79 40,917 21,346 498,381 538,100 2019-07-25 $71.44 $70.00 18.7% 5.3% 17.5% 10.4% 19.7% 3.1% 0.5% 41.2M -712.5M -12.0M 1.21 3.99 38,568 46,572 511,076 540,393 2019-07-26 $72.33 $70.00 17.8% 5.1% 17.5% 8.1% 18.2% 3.3% 0.2% 54.0M -966.0M -12.1M 0.48 2.83 39,727 19,173 524,036 564,727 2019-07-29 $71.81 $70.00 18.6% 5.4% 15.9% 10.1% 19.6% 3.5% -0.1% 36.7M -757.6M -11.9M 0.65 5.09 17,296 11,196 505,206 551,994 2019-07-30 $71.58 $70.00 19.7% 5.7% 15.3% 13.1% 20.3% 3.8% -0.2% 34.1M -695.0M -12.0M 0.88 2.60 19,605 17,187 513,641 557,531 2019-07-31 $71.47 $70.00 19.4% 5.5% 15.1% 12.4% 19.6% 3.6% -0.1% 32.3M -649.0M -12.1M 0.69 6.35 31,166 21,397 517,185 562,641
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