C Options History — August 2019

In August 2019, C traded between $61.33 and $68.40. ATM implied volatility averaged 27.8%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.1% (HV 20d: 30.9%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.96.

Notable Days

2019-08-14: Highest Volume — 161,726 contracts
2019-08-05: Largest IV spike — 21.8% change
2019-08-14: Highest IV Rank — 46.6%
2019-08-14: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.25	$61.33	$68.40	$68.40	$64.26
Max Pain	$67.73	$67.50	$70.00	$70.00	$67.50
ATM IV	27.8%	23.4%	32.8%	23.4%	26.1%
Expected Move	7.9%	6.7%	9.0%	6.7%	7.5%
HV 20d	30.9%	21.5%	35.9%	21.8%	35.0%
HV 60d	26.6%	24.5%	28.4%	25.8%	26.4%
IV Rank	33.0%	23.4%	46.6%	23.4%	24.9%
IV Percentile	74.3%	46.8%	92.9%	46.8%	61.9%
Term Structure	-0.2%	-1.6%	1.2%	-0.3%	-0.1%
VWIV	28.4%	23.4%	35.5%	24.6%	27.0%
Skew 25d	6.8%	5.0%	8.3%	5.0%	6.1%
Skew 10d	13.4%	9.7%	25.6%	10.8%	12.1%
Call IV 25d	24.7%	21.9%	29.0%	21.9%	23.2%
Put IV 25d	31.5%	27.0%	37.2%	27.0%	29.3%
Bid-Ask Spread %	3.23	2.03	4.87	4.86	2.47
Gamma HHI	0.08	0.06	0.09	0.08	0.07
Net GEX	-14.8M	-27.2M	411.3K	-12.4M	411.3K
Net DEX	611.5M	172.1M	1.21B	172.1M	359.9M
Net VEX	-11.5M	-12.0M	-10.8M	-11.9M	-11.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.50	1.74	0.60	0.63
Total Volume	69,194.091	29,061	161,726	107,994	49,099
Total OI	1,173,128.273	1,103,960	1,270,033	1,103,960	1,218,407

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
2019-08-01	$68.40	$70.00	23.4%	6.7%	21.8%	23.4%	24.6%	5.0%	-0.3%	-12.4M	172.1M	-11.9M	0.60	4.86	67,439	40,555	534,738	569,222
2019-08-02	$67.74	$70.00	25.1%	7.1%	21.5%	28.0%	23.4%	6.1%	1.0%	-12.2M	249.7M	-12.0M	0.50	4.87	68,213	34,115	552,096	581,498
2019-08-05	$65.40	$67.50	30.5%	8.5%	24.4%	43.1%	30.0%	8.1%	-0.5%	-16.6M	606.1M	-11.7M	1.16	4.43	39,947	46,428	545,580	568,388
2019-08-06	$66.09	$67.50	27.6%	8.1%	24.8%	34.9%	27.8%	7.6%	-0.0%	-13.0M	457.9M	-11.9M	0.58	3.54	34,474	19,992	561,728	584,743
2019-08-07	$65.19	$67.50	29.0%	8.1%	25.1%	38.8%	28.2%	7.8%	-0.2%	-17.7M	652.5M	-11.8M	1.74	3.62	28,074	48,804	574,687	590,989
2019-08-08	$66.76	$67.50	25.1%	7.0%	26.6%	28.0%	24.7%	6.8%	-0.1%	-3.2M	241.4M	-12.0M	0.62	3.61	35,897	22,383	580,359	590,764
2019-08-09	$66.45	$67.50	25.8%	7.2%	26.5%	29.1%	27.8%	6.8%	0.2%	-10.5M	317.0M	-11.9M	1.32	4.03	22,273	29,391	594,683	600,288
2019-08-12	$64.17	$67.50	30.1%	8.4%	28.7%	38.8%	29.1%	7.8%	-0.9%	-22.6M	803.1M	-11.4M	0.99	2.84	28,332	28,004	566,117	588,656
2019-08-13	$64.78	$67.50	27.3%	7.9%	29.1%	30.8%	27.3%	7.1%	0.3%	-21.1M	694.7M	-11.4M	0.68	2.97	42,674	28,865	573,941	598,458
2019-08-14	$61.74	$67.50	32.8%	9.0%	32.9%	46.6%	31.2%	8.3%	-1.5%	-27.2M	1.21B	-10.8M	1.24	3.63	72,197	89,529	589,482	607,739
2019-08-15	$61.33	$67.50	31.1%	8.5%	32.0%	41.7%	35.5%	5.1%	-1.6%	-24.3M	1.14B	-10.9M	0.94	4.37	53,425	50,073	617,520	612,137
2019-08-16	$63.32	$67.50	27.7%	8.1%	35.0%	31.7%	27.8%	7.3%	1.2%	-13.6M	720.1M	-11.5M	0.57	3.02	76,210	43,085	640,559	629,474
2019-08-19	$64.40	$67.50	25.5%	7.3%	35.9%	25.4%	27.4%	6.6%	-0.1%	-6.3M	385.9M	-11.6M	0.90	2.70	35,425	31,752	539,144	588,646
2019-08-20	$63.70	$67.50	27.1%	7.8%	35.4%	30.0%	27.4%	6.9%	-0.3%	-10.1M	526.3M	-11.4M	1.28	2.49	15,539	19,911	550,247	595,116
2019-08-21	$63.23	$67.50	26.5%	7.6%	34.5%	28.2%	30.3%	6.3%	0.0%	-15.4M	651.9M	-11.3M	1.35	2.03	19,994	27,049	557,414	606,060
2019-08-22	$64.01	$67.50	25.9%	7.4%	34.6%	26.5%	26.4%	6.4%	0.2%	-11.2M	467.3M	-11.5M	0.88	2.69	24,676	21,739	562,106	620,167
2019-08-23	$62.07	$67.50	31.0%	9.0%	35.1%	41.4%	31.0%	6.8%	-0.9%	-23.3M	889.8M	-11.2M	0.88	3.25	31,073	27,405	570,100	626,457
2019-08-26	$62.43	$67.50	29.6%	8.5%	35.4%	37.3%	30.5%	7.0%	-0.1%	-18.0M	779.0M	-11.2M	1.55	2.37	11,399	17,662	543,847	614,316
2019-08-27	$61.72	$67.50	29.9%	8.7%	35.4%	37.9%	31.2%	6.6%	-0.3%	-22.5M	928.9M	-10.9M	1.06	2.75	21,976	23,287	551,288	620,334
2019-08-28	$62.34	$67.50	29.0%	8.3%	35.9%	34.3%	28.8%	7.1%	0.0%	-18.9M	787.3M	-11.1M	0.87	2.24	23,273	20,135	559,779	627,926
2019-08-29	$64.06	$67.50	26.1%	7.4%	35.0%	25.9%	27.2%	6.1%	0.1%	-5.2M	412.6M	-11.4M	0.69	2.24	29,967	20,530	565,389	638,233
2019-08-30	$64.26	$67.50	26.1%	7.5%	35.0%	24.9%	27.0%	6.1%	-0.1%	411.3K	359.9M	-11.5M	0.63	2.47	30,075	19,024	572,771	645,636