C Options History — January 2020

In January 2020, C traded between $74.09 and $81.76. ATM implied volatility averaged 21.2%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.2% (HV 20d: 16.0%). Max pain ranged from $70.00 to $77.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2020-01-14: Highest Volume — 195,619 contracts
2020-01-31: Largest IV spike — 20.7% change
2020-01-31: Highest IV Rank — 53.1%
2020-01-31: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.21	$74.09	$81.76	$81.05	$74.09
Max Pain	$75.95	$70.00	$77.50	$70.00	$77.50
ATM IV	21.2%	17.3%	25.5%	22.1%	25.5%
Expected Move	6.0%	5.0%	7.4%	6.5%	7.4%
HV 20d	16.0%	13.3%	22.0%	13.3%	22.0%
HV 60d	17.5%	16.4%	19.2%	19.2%	18.0%
IV Rank	22.2%	0.0%	53.1%	19.3%	53.1%
IV Percentile	28.0%	0.0%	70.2%	34.9%	70.2%
Term Structure	0.0%	-0.7%	1.3%	-0.4%	-0.7%
VWIV	21.2%	16.5%	25.3%	23.6%	25.3%
Skew 25d	3.9%	2.5%	6.0%	3.9%	6.0%
Skew 10d	7.2%	4.3%	12.3%	6.8%	12.3%
Call IV 25d	19.6%	16.3%	22.8%	20.2%	22.8%
Put IV 25d	23.4%	18.9%	28.9%	24.1%	28.9%
Bid-Ask Spread %	3.51	2.23	9.48	2.69	9.48
Gamma HHI	0.13	0.06	0.25	0.17	0.06
Net GEX	55.1M	-10.2M	109.9M	74.9M	-10.2M
Net DEX	-1.44B	-2.84B	317.5M	-2.44B	317.5M
Net VEX	-9.4M	-10.4M	-8.7M	-8.7M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.28	1.22	0.39	1.22
Total Volume	74,294.19	34,674	195,619	78,659	60,782
Total OI	1,089,950.286	769,864	1,383,490	1,219,934	896,968

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
2020-01-02	$81.05	$70.00	22.1%	6.5%	13.3%	19.3%	23.6%	3.9%	-0.4%	74.9M	-2.44B	-8.7M	0.39	2.69	56,558	22,101	533,752	686,182
2020-01-03	$79.88	$70.00	23.3%	7.0%	14.5%	25.0%	24.9%	4.1%	-0.5%	91.5M	-2.03B	-9.1M	0.54	2.87	62,225	33,556	544,858	695,169
2020-01-06	$79.34	$75.00	23.2%	6.2%	14.9%	31.5%	22.6%	4.8%	-0.4%	71.8M	-1.84B	-9.1M	0.74	2.75	35,561	26,200	533,380	687,259
2020-01-07	$78.81	$75.00	23.2%	6.1%	14.5%	31.6%	22.7%	4.2%	-0.4%	66.2M	-1.67B	-9.2M	0.77	2.49	25,435	19,539	542,699	696,343
2020-01-08	$79.69	$75.00	23.0%	6.2%	14.5%	32.8%	23.4%	4.7%	-0.4%	91.1M	-1.97B	-9.0M	0.60	4.43	31,878	19,287	554,680	701,593
2020-01-09	$79.99	$75.00	22.5%	6.2%	14.5%	31.3%	22.1%	4.1%	-0.5%	96.8M	-2.10B	-9.0M	0.28	2.87	69,617	19,429	559,543	705,130
2020-01-10	$79.12	$75.00	22.6%	6.0%	15.3%	31.6%	22.7%	4.1%	-0.5%	72.4M	-1.82B	-9.6M	0.45	2.87	39,916	18,104	578,984	714,353
2020-01-13	$80.48	$75.00	21.8%	6.1%	14.7%	26.4%	21.4%	3.2%	-0.4%	81.1M	-2.28B	-9.3M	0.91	3.29	76,915	70,101	567,688	702,148
2020-01-14	$81.76	$75.00	19.4%	5.3%	14.8%	10.1%	19.2%	2.9%	-0.7%	109.9M	-2.84B	-9.0M	0.46	3.15	133,676	61,943	596,759	726,965
2020-01-15	$80.83	$77.50	19.3%	5.5%	15.6%	9.4%	19.7%	2.8%	0.1%	94.3M	-2.37B	-9.3M	0.43	3.39	61,829	26,398	602,808	741,985
2020-01-16	$81.05	$77.50	18.1%	5.2%	15.2%	1.7%	18.6%	2.5%	0.1%	96.9M	-2.57B	-9.1M	0.57	2.64	40,885	23,487	614,117	749,222
2020-01-17	$80.94	$77.50	17.3%	5.0%	15.3%	0.0%	16.5%	2.5%	0.1%	85.7M	-2.57B	-9.2M	0.41	3.98	43,629	17,737	622,933	760,557
2020-01-21	$80.12	$77.50	19.1%	5.5%	15.8%	11.9%	19.7%	3.2%	0.0%	32.2M	-840.1M	-9.3M	0.94	2.27	33,676	31,597	354,859	415,005
2020-01-22	$80.19	$77.50	18.3%	5.2%	15.8%	6.7%	18.2%	2.8%	0.3%	30.3M	-865.0M	-9.2M	0.51	2.71	22,988	11,686	360,496	432,050
2020-01-23	$79.94	$77.50	18.5%	5.3%	15.5%	8.2%	19.0%	3.1%	0.2%	31.1M	-816.4M	-9.4M	0.66	2.61	28,367	18,787	370,500	433,217
2020-01-24	$78.17	$77.50	21.2%	6.0%	17.5%	25.1%	20.9%	3.8%	0.4%	10.1M	-410.6M	-9.7M	0.99	3.45	37,825	37,278	379,302	437,981
2020-01-27	$76.76	$77.50	22.6%	6.5%	17.7%	34.2%	22.3%	5.1%	0.6%	1.8M	-186.0M	-9.6M	0.73	2.23	54,158	39,624	373,015	436,168
2020-01-28	$77.38	$77.50	21.2%	6.0%	18.0%	25.2%	21.3%	4.4%	0.8%	9.0M	-358.8M	-10.0M	0.69	2.41	21,730	15,012	392,065	454,730
2020-01-29	$76.62	$77.50	21.4%	6.0%	18.3%	26.5%	20.7%	4.3%	0.9%	305.4K	-191.7M	-10.0M	0.42	3.60	29,117	12,161	398,254	459,700
2020-01-30	$77.17	$77.50	21.1%	6.0%	18.4%	25.0%	21.1%	4.2%	1.3%	19.3M	-345.0M	-10.0M	0.74	7.43	39,879	29,505	410,381	465,158
2020-01-31	$74.09	$77.50	25.5%	7.4%	22.0%	53.1%	25.3%	6.0%	-0.7%	-10.2M	317.5M	-10.4M	1.22	9.48	27,404	33,378	416,113	480,855