C Options History — February 2020

In February 2020, C traded between $62.42 and $79.49. ATM implied volatility averaged 26.9%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.2% (HV 20d: 27.1%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2020-02-25: Highest Volume — 125,706 contracts
  • 2020-02-28: Largest IV spike — 41.6% change
  • 2020-02-25: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.40$62.42$79.49$75.42$62.42
Max Pain$75.50$75.00$77.50$77.50$75.00
ATM IV26.9%21.1%58.6%23.9%58.6%
Expected Move7.8%6.0%17.9%6.6%17.9%
HV 20d27.1%23.0%38.0%23.0%38.0%
HV 60d20.4%18.4%27.1%18.4%27.1%
IV Rank49.0%24.9%100.0%42.7%100.0%
IV Percentile56.9%26.2%100.0%58.3%100.0%
Term Structure-0.4%-3.1%0.6%-0.3%-1.4%
VWIV27.7%21.7%59.4%24.4%59.4%
Skew 25d6.6%3.9%24.7%5.8%24.7%
Skew 10d11.2%-3.6%27.8%12.3%25.7%
Call IV 25d24.0%19.2%44.9%21.7%44.9%
Put IV 25d30.6%23.3%69.7%27.5%69.7%
Bid-Ask Spread %4.972.8714.045.8514.04
Gamma HHI0.080.060.110.060.08
Net GEX17.8M-29.4M53.8M4.3M-23.1M
Net DEX-204.5M-980.3M1.51B-55.3M1.51B
Net VEX-10.1M-10.6M-9.7M-10.5M-10.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.531.650.930.93
Total Volume56,477.89524,949125,70633,271106,357
Total OI906,418827,8551,021,946863,9441,021,946

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$75.42$77.5023.9%6.6%23.0%42.7%24.4%5.8%-0.3%4.3M-55.3M-10.5M0.935.8517,19716,074396,669467,275
2020-02-04$76.69$77.5023.1%6.5%24.0%37.9%22.9%4.6%-0.1%16.1M-333.9M-10.6M1.203.3119,37923,163398,933472,616
2020-02-05$78.84$77.5022.8%6.3%26.0%36.0%22.3%3.9%-0.1%41.2M-858.4M-10.5M0.532.9736,76019,557405,541486,258
2020-02-06$79.12$75.0022.6%6.3%25.8%34.4%24.5%4.1%-0.2%45.7M-930.6M-10.5M1.163.8316,35818,929413,325492,626
2020-02-07$78.83$75.0022.4%6.2%25.7%32.9%21.9%4.2%-0.1%35.9M-838.1M-10.5M1.376.6221,38629,314415,194501,684
2020-02-10$78.38$75.0022.5%6.5%25.5%34.1%24.4%4.4%0.2%37.2M-707.1M-10.1M1.084.3212,64013,643396,550489,726
2020-02-11$79.16$75.0022.4%6.2%25.0%32.9%22.8%4.3%-0.5%45.2M-893.4M-10.0M0.752.8715,82811,812401,208498,685
2020-02-12$79.49$75.0021.3%6.0%24.3%26.0%21.7%4.0%-0.6%53.8M-980.3M-10.0M0.573.9923,45413,447406,527501,564
2020-02-13$78.90$75.0021.6%6.1%24.1%27.9%22.9%3.9%-0.4%43.9M-789.5M-10.0M0.943.9312,86212,087408,546505,057
2020-02-14$78.69$75.0021.1%6.2%24.1%24.9%22.7%4.1%0.6%33.6M-755.8M-9.8M1.653.0314,47823,832410,461508,831
2020-02-18$77.74$75.0021.6%6.2%24.4%28.3%22.7%4.7%0.1%21.7M-472.2M-9.9M0.723.6117,89812,859394,518506,370
2020-02-19$78.09$75.0021.4%6.1%24.3%27.0%21.9%4.0%-0.1%30.9M-600.3M-9.7M0.703.8617,16711,966400,740510,559
2020-02-20$78.22$75.0022.5%6.5%24.3%33.7%23.0%4.5%-0.5%34.4M-618.2M-9.9M0.983.8725,54824,982408,118514,131
2020-02-21$76.26$75.0024.2%6.9%25.8%44.6%25.2%5.7%0.6%3.4M-112.6M-10.2M0.823.7733,86627,900417,114525,531
2020-02-24$72.73$75.0029.8%8.7%29.6%80.6%29.8%7.9%-0.8%-10.7M389.7M-9.9M0.963.4648,63846,759359,991467,864
2020-02-25$69.63$75.0034.8%10.3%32.5%100.0%36.7%8.9%-3.1%-19.4M813.7M-9.9M0.887.3666,84558,861380,248489,690
2020-02-26$68.77$77.0032.5%10.0%32.2%86.9%33.8%8.9%-0.7%-29.4M998.0M-9.8M0.853.9147,92740,601364,347506,584
2020-02-27$65.17$75.0041.4%13.1%36.4%100.0%43.4%13.4%-0.9%-25.9M1.35B-10.0M1.189.7551,74560,961438,537538,378
2020-02-28$62.42$75.0058.6%17.9%38.0%100.0%59.4%24.7%-1.4%-23.1M1.51B-10.4M0.9314.0455,08351,274458,664563,282