C Options History — September 2019

In September 2019, C traded between $63.42 and $70.38. ATM implied volatility averaged 25.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 4.6% (HV 20d: 29.8%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2019-09-09: Highest Volume — 106,341 contracts
  • 2019-09-24: Largest IV spike — 10.4% change
  • 2019-09-03: Highest IV Rank — 31.3%
  • 2019-09-03: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.54$63.42$70.38$63.42$69.24
Max Pain$65.33$65.00$67.50$67.50$66.50
ATM IV25.2%23.3%28.2%28.2%27.7%
Expected Move7.5%7.0%8.4%8.4%8.0%
HV 20d29.8%24.1%37.7%33.1%25.7%
HV 60d27.7%26.2%28.4%26.4%27.9%
IV Rank22.2%16.2%31.3%31.3%29.5%
IV Percentile51.9%34.9%79.4%79.4%77.8%
Term Structure0.5%-1.1%2.3%-0.1%-1.1%
VWIV26.9%24.0%29.4%29.4%28.7%
Skew 25d5.7%5.0%7.1%7.1%6.4%
Skew 10d11.4%9.3%13.5%13.5%13.0%
Call IV 25d22.6%19.8%25.0%25.0%24.7%
Put IV 25d28.3%25.1%32.1%32.1%31.0%
Bid-Ask Spread %2.912.195.053.042.63
Gamma HHI0.100.070.190.090.07
Net GEX28.4M-13.4M80.4M-13.4M29.1M
Net DEX-624.4M-1.32B602.7M602.7M-533.2M
Net VEX-11.7M-12.1M-11.2M-11.2M-11.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.441.761.391.25
Total Volume61,063.825,130106,34158,26625,130
Total OI1,220,232.81,027,0241,335,7451,184,0181,093,273

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$63.42$67.5028.2%8.4%33.1%31.3%29.4%7.1%-0.1%-13.4M602.7M-11.2M1.393.0424,34133,925552,655631,363
2019-09-04$64.34$67.5026.0%7.5%33.3%24.5%25.7%6.4%-0.1%-5.5M381.9M-11.3M0.572.2941,41323,744559,706642,183
2019-09-05$66.49$65.0024.8%7.2%35.1%20.9%26.6%5.9%-0.1%21.3M-269.4M-11.9M0.603.6358,94335,523584,798654,123
2019-09-06$65.97$65.0023.9%7.7%34.1%18.3%28.7%5.3%0.2%7.1M-53.9M-11.6M0.872.2832,00627,768585,178665,808
2019-09-09$68.99$65.0024.1%7.2%37.7%18.8%27.3%5.6%1.3%31.4M-866.1M-11.9M0.653.7664,38341,958573,041655,959
2019-09-10$68.94$65.0024.4%7.3%35.1%19.7%26.6%5.3%1.1%33.5M-881.5M-12.1M1.102.1939,62943,633595,251675,783
2019-09-11$68.72$65.0024.2%7.6%35.1%19.0%28.1%5.2%2.3%24.3M-784.8M-12.1M1.763.6527,33348,060601,711699,212
2019-09-12$69.56$65.0023.3%7.0%29.6%16.2%25.9%5.2%1.4%36.8M-1.05B-11.9M1.113.3434,26738,016604,502706,688
2019-09-13$70.38$65.0023.4%7.0%29.3%16.5%25.5%5.3%1.8%80.4M-1.32B-11.8M0.612.4841,63525,454612,554718,299
2019-09-16$69.91$65.0025.1%7.3%28.1%21.7%27.7%5.8%-0.5%33.4M-1.06B-11.8M0.922.6117,02115,610596,446700,505
2019-09-17$69.44$65.0025.2%7.3%28.0%22.1%28.0%6.0%0.1%27.1M-946.6M-11.8M0.842.5722,13818,493599,693704,755
2019-09-18$70.15$65.0025.4%7.3%27.5%22.8%27.5%5.9%-0.2%41.7M-1.16B-11.5M1.595.0524,22638,419604,164710,053
2019-09-19$69.88$65.0024.3%7.0%27.4%19.5%24.0%5.0%-0.3%53.9M-1.09B-11.5M0.442.6637,02116,228610,790714,826
2019-09-20$69.67$65.0024.9%7.2%27.4%21.2%24.7%5.4%-0.2%47.1M-1.03B-11.6M0.642.8340,93826,225626,147709,598
2019-09-23$69.66$65.0024.4%7.1%24.1%19.7%25.6%5.3%0.9%24.5M-559.3M-11.3M0.762.2121,42416,286486,966540,058
2019-09-24$67.88$65.0026.9%8.0%26.6%27.3%27.8%5.9%0.6%8.8M-167.7M-11.5M0.882.8633,32129,396511,461557,982
2019-09-25$69.44$65.0025.6%7.6%26.7%23.2%25.6%5.5%0.5%26.7M-552.2M-11.7M0.472.2646,92822,022519,762565,548
2019-09-26$69.34$65.0025.8%7.7%26.8%23.8%26.6%5.7%0.9%31.5M-552.5M-11.7M1.063.1012,94613,763539,935573,334
2019-09-27$69.47$65.0027.2%8.0%25.5%27.9%27.4%6.0%0.7%27.4M-598.3M-11.9M1.292.7126,91234,798543,946576,600
2019-09-30$69.24$66.5027.7%8.0%25.7%29.5%28.7%6.4%-1.1%29.1M-533.2M-11.7M1.252.6311,17013,960530,754562,519