C Options History — December 2019

In December 2019, C traded between $73.27 and $79.88. ATM implied volatility averaged 21.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.2% (HV 20d: 15.9%). Max pain ranged from $67.50 to $72.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2019-12-20: Highest Volume — 92,362 contracts
2019-12-03: Largest IV spike — 8.6% change
2019-12-31: Highest IV Rank — 19.8%
2019-12-10: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.08	$73.27	$79.88	$74.59	$79.88
Max Pain	$69.02	$67.50	$72.50	$72.00	$70.00
ATM IV	21.1%	19.1%	22.9%	21.1%	22.4%
Expected Move	6.4%	5.9%	7.0%	6.4%	6.5%
HV 20d	15.9%	14.9%	16.9%	15.4%	15.1%
HV 60d	21.0%	19.1%	22.6%	22.6%	19.1%
IV Rank	10.4%	3.8%	19.8%	9.6%	19.8%
IV Percentile	20.7%	4.0%	41.7%	19.4%	37.7%
Term Structure	0.7%	-1.0%	3.0%	0.5%	-0.3%
VWIV	22.6%	20.4%	24.6%	22.2%	23.7%
Skew 25d	4.2%	3.2%	5.6%	3.8%	3.7%
Skew 10d	8.7%	6.9%	11.2%	7.4%	8.1%
Call IV 25d	19.3%	17.0%	20.9%	19.4%	20.8%
Put IV 25d	23.5%	20.6%	26.0%	23.2%	24.5%
Bid-Ask Spread %	3.02	2.20	5.04	3.09	2.57
Gamma HHI	0.14	0.09	0.21	0.10	0.17
Net GEX	77.6M	34.7M	121.4M	55.0M	71.1M
Net DEX	-1.83B	-2.37B	-813.1M	-1.27B	-2.03B
Net VEX	-9.7M	-10.8M	-9.0M	-10.6M	-9.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.42	2.62	1.42	0.72
Total Volume	52,949.381	21,046	92,362	52,980	21,046
Total OI	1,280,415	1,151,045	1,385,852	1,240,829	1,211,983

Daily Data (21 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
2019-12-02	$74.59	$72.00	21.1%	6.4%	15.4%	9.6%	22.2%	3.8%	0.5%	55.0M	-1.27B	-10.6M	1.42	3.09	21,892	31,088	573,883	666,946
2019-12-03	$73.27	$72.50	22.9%	6.9%	14.9%	15.0%	24.0%	5.3%	0.4%	34.7M	-813.1M	-10.8M	1.15	2.51	23,910	27,413	585,682	682,443
2019-12-04	$74.35	$72.50	21.7%	6.5%	15.9%	11.5%	22.9%	5.1%	0.5%	46.3M	-1.16B	-10.6M	0.86	2.97	37,294	31,996	589,184	694,566
2019-12-05	$74.76	$67.50	21.0%	6.6%	15.9%	9.4%	23.0%	4.9%	0.4%	54.9M	-1.29B	-10.4M	0.75	4.26	21,875	16,405	593,118	702,904
2019-12-06	$75.97	$67.50	20.4%	6.7%	15.8%	7.5%	23.2%	4.3%	0.8%	121.4M	-1.74B	-10.3M	0.49	5.04	41,941	20,573	599,935	707,879
2019-12-09	$75.47	$67.50	21.5%	6.9%	15.9%	11.0%	23.8%	5.2%	2.3%	60.2M	-1.47B	-10.3M	1.04	3.21	16,605	17,194	589,269	700,318
2019-12-10	$75.60	$67.50	21.7%	7.0%	15.8%	11.5%	24.6%	5.6%	2.8%	62.6M	-1.52B	-10.4M	0.77	3.51	25,891	20,025	598,521	709,728
2019-12-11	$75.62	$67.50	20.9%	6.8%	15.6%	9.1%	24.0%	5.4%	3.0%	69.7M	-1.57B	-10.1M	1.11	2.83	16,477	18,249	608,345	713,872
2019-12-12	$77.20	$67.50	20.7%	6.5%	16.0%	8.6%	22.9%	3.9%	2.3%	95.0M	-2.16B	-9.9M	0.42	3.29	57,570	23,989	613,599	719,176
2019-12-13	$76.45	$67.50	19.1%	5.9%	16.5%	3.8%	23.3%	3.6%	2.1%	117.2M	-1.92B	-9.6M	1.10	2.34	31,859	35,175	610,206	727,549
2019-12-16	$76.98	$67.50	19.9%	5.9%	16.5%	6.2%	21.8%	4.1%	-0.2%	82.8M	-2.04B	-9.3M	0.54	2.48	39,455	21,373	591,734	717,397
2019-12-17	$77.91	$67.50	20.8%	6.1%	16.9%	8.9%	21.4%	4.0%	-0.9%	101.8M	-2.31B	-9.3M	0.59	3.00	44,109	26,108	607,549	728,455
2019-12-18	$78.05	$67.50	21.5%	6.2%	16.8%	10.9%	22.1%	3.9%	-0.8%	103.1M	-2.37B	-9.3M	1.45	2.79	16,469	23,893	615,699	740,525
2019-12-19	$78.06	$67.50	20.8%	6.0%	15.8%	8.9%	22.2%	3.8%	-0.6%	97.1M	-2.34B	-9.3M	0.77	2.94	28,584	21,889	615,937	754,341
2019-12-20	$78.05	$70.00	20.6%	6.0%	15.8%	8.3%	20.4%	3.6%	-1.0%	104.7M	-2.33B	-9.4M	0.54	4.23	60,059	32,303	620,129	765,723
2019-12-23	$78.88	$70.00	20.2%	5.9%	15.8%	6.9%	21.2%	3.5%	1.1%	70.8M	-1.95B	-9.0M	0.94	2.59	21,216	19,872	512,748	638,297
2019-12-24	$78.59	$70.00	20.2%	5.9%	15.5%	7.0%	21.1%	3.6%	-0.4%	67.0M	-1.87B	-9.1M	2.62	2.20	8,628	22,627	521,867	648,356
2019-12-26	$79.73	$70.00	20.8%	6.0%	15.9%	10.4%	21.0%	3.2%	0.9%	76.0M	-2.15B	-9.0M	0.66	2.58	50,776	33,423	524,938	664,079
2019-12-27	$79.73	$70.00	21.9%	6.4%	16.0%	14.7%	22.7%	3.6%	1.3%	68.3M	-2.10B	-9.4M	0.82	2.44	26,081	21,391	537,299	685,874
2019-12-30	$79.47	$70.00	22.8%	6.7%	15.8%	19.2%	23.5%	4.4%	-0.5%	69.3M	-1.95B	-9.2M	0.85	2.59	19,053	16,161	527,640	671,022
2019-12-31	$79.88	$70.00	22.4%	6.5%	15.1%	19.8%	23.7%	3.7%	-0.3%	71.1M	-2.03B	-9.3M	0.72	2.57	12,225	8,821	529,828	682,155