C Options History — October 2019

In October 2019, C traded between $66.38 and $73.77. ATM implied volatility averaged 25.1%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.5% (HV 20d: 25.6%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.78.

Notable Days

2019-10-31: Highest Volume — 297,207 contracts
2019-10-15: Largest IV drop — 17.5% change
2019-10-02: Highest IV Rank — 42.4%
2019-10-02: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.21	$66.38	$73.77	$68.22	$71.69
Max Pain	$66.78	$65.00	$70.00	$66.50	$70.00
ATM IV	25.1%	19.7%	31.9%	29.8%	20.7%
Expected Move	7.1%	5.4%	9.4%	8.9%	5.7%
HV 20d	25.6%	20.8%	29.0%	25.8%	24.8%
HV 60d	29.5%	28.1%	30.6%	28.1%	28.4%
IV Rank	21.7%	5.6%	42.4%	35.9%	8.5%
IV Percentile	44.4%	5.2%	90.5%	85.7%	11.5%
Term Structure	-0.3%	-1.5%	1.4%	-0.6%	0.4%
VWIV	24.6%	16.7%	32.6%	29.9%	16.7%
Skew 25d	5.5%	1.5%	11.1%	7.0%	3.8%
Skew 10d	11.2%	7.0%	18.3%	12.8%	7.4%
Call IV 25d	23.0%	18.4%	34.3%	26.3%	19.2%
Put IV 25d	28.5%	22.3%	38.8%	33.3%	23.0%
Bid-Ask Spread %	3.58	1.78	8.45	2.37	2.95
Gamma HHI	0.11	0.06	0.35	0.07	0.13
Net GEX	46.5M	-9.1M	131.6M	21.0M	45.7M
Net DEX	-727.6M	-1.48B	168.6M	-274.2M	-867.2M
Net VEX	-11.4M	-12.0M	-10.8M	-11.8M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.04	1.78	1.64	0.04
Total Volume	73,979.478	27,295	297,207	46,579	297,207
Total OI	1,197,068.783	1,106,444	1,326,136	1,106,444	1,213,582

Daily Data (23 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
2019-10-01	$68.22	$66.50	29.8%	8.9%	25.8%	35.9%	29.9%	7.0%	-0.6%	21.0M	-274.2M	-11.8M	1.64	2.37	17,672	28,907	536,024	570,420
2019-10-02	$66.38	$67.00	31.9%	9.4%	27.7%	42.4%	32.6%	5.6%	-0.9%	4.1M	168.6M	-11.6M	1.43	4.56	31,526	45,063	540,881	581,010
2019-10-03	$66.49	$65.00	31.5%	8.3%	25.1%	40.9%	32.2%	5.3%	-1.3%	5.6M	132.5M	-11.7M	1.78	3.25	23,116	41,235	554,787	594,662
2019-10-04	$68.08	$65.00	28.8%	8.0%	26.3%	33.0%	27.1%	6.8%	-1.0%	-9.1M	-253.1M	-11.8M	0.73	2.10	36,942	26,890	560,263	613,068
2019-10-07	$68.31	$65.00	28.5%	8.1%	20.8%	32.0%	27.4%	6.8%	0.3%	21.9M	-290.7M	-11.8M	1.03	1.78	15,079	15,483	547,975	606,557
2019-10-08	$66.58	$67.50	31.6%	8.6%	22.6%	41.2%	28.7%	1.5%	-1.5%	-389.9K	145.3M	-11.6M	0.42	3.13	39,553	16,671	553,350	612,497
2019-10-09	$67.49	$65.00	29.8%	8.3%	23.2%	36.0%	25.6%	11.1%	-1.2%	16.9M	-136.0M	-11.8M	0.42	8.45	36,691	15,371	574,162	614,959
2019-10-10	$68.62	$65.00	30.3%	8.6%	23.6%	37.3%	28.0%	6.9%	-0.1%	36.2M	-457.1M	-12.0M	1.23	3.25	28,483	35,101	586,957	623,511
2019-10-11	$70.53	$65.00	27.7%	7.8%	25.3%	29.7%	27.9%	6.7%	-1.0%	59.9M	-1.02B	-11.8M	0.75	7.21	64,830	48,652	591,777	632,332
2019-10-14	$70.35	$65.00	26.5%	7.5%	25.2%	26.1%	29.0%	6.1%	-0.5%	57.4M	-897.8M	-11.6M	1.11	4.73	46,589	51,648	589,689	611,724
2019-10-15	$71.49	$67.50	21.9%	6.2%	25.7%	12.2%	24.1%	6.2%	1.4%	79.3M	-1.26B	-11.3M	0.68	3.37	82,450	55,878	607,670	647,964
2019-10-16	$69.62	$67.50	23.3%	6.7%	27.3%	16.3%	23.3%	5.9%	0.5%	61.6M	-623.8M	-11.3M	0.55	3.25	42,327	23,277	631,418	667,507
2019-10-17	$69.81	$67.50	21.7%	6.2%	27.3%	11.7%	22.1%	5.3%	0.5%	78.6M	-709.7M	-11.1M	0.50	3.24	28,734	14,268	643,260	673,691
2019-10-18	$69.81	$67.50	22.3%	6.4%	27.2%	13.3%	22.2%	5.5%	0.1%	131.6M	-640.5M	-11.1M	0.83	2.47	29,841	24,838	647,015	679,121
2019-10-21	$71.78	$67.50	22.3%	6.4%	29.0%	13.3%	22.3%	5.0%	-0.8%	45.6M	-975.3M	-10.9M	0.67	3.53	48,661	32,578	537,517	586,980
2019-10-22	$72.05	$67.50	22.9%	6.5%	27.1%	15.1%	22.7%	5.3%	-0.5%	49.4M	-1.06B	-11.1M	0.70	3.29	43,601	30,546	552,007	601,904
2019-10-23	$72.33	$67.50	22.1%	6.3%	26.1%	12.9%	22.5%	5.1%	-0.7%	50.8M	-1.12B	-11.3M	0.43	3.24	27,564	11,974	564,751	619,986
2019-10-24	$72.19	$67.50	21.5%	6.0%	26.1%	10.9%	20.4%	4.5%	-0.4%	52.5M	-1.10B	-11.2M	0.38	2.75	35,202	13,460	570,024	622,572
2019-10-25	$73.33	$67.50	20.5%	5.6%	26.5%	7.9%	20.2%	4.0%	-0.6%	69.4M	-1.48B	-11.0M	0.35	2.86	54,767	19,197	580,275	629,036
2019-10-28	$73.77	$67.50	20.5%	5.8%	26.5%	7.8%	20.9%	4.1%	0.4%	65.8M	-1.48B	-10.8M	0.85	3.36	26,639	22,531	566,087	609,147
2019-10-29	$73.03	$67.50	20.9%	5.8%	26.1%	9.1%	20.8%	4.2%	0.5%	60.0M	-1.27B	-11.0M	0.55	4.10	17,620	9,675	571,344	616,093
2019-10-30	$72.99	$67.50	19.7%	5.4%	23.5%	5.6%	20.3%	3.9%	0.6%	65.7M	-1.27B	-10.8M	0.81	3.06	23,885	19,306	577,016	620,010
2019-10-31	$71.69	$70.00	20.7%	5.7%	24.8%	8.5%	16.7%	3.8%	0.4%	45.7M	-867.2M	-10.9M	0.04	2.95	284,606	12,601	584,680	628,902