C Options History — March 2020

In March 2020, C traded between $34.61 and $67.15. ATM implied volatility averaged 88.3%, placing in the 77.8% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded below realized volatility by 16.7% (HV 20d: 105.0%). Max pain ranged from $55.00 to $75.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2020-03-12: Highest Volume — 115,672 contracts
2020-03-05: Largest IV spike — 45.0% change
2020-03-06: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 40.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.30	$34.61	$67.15	$66.49	$42.11
Max Pain	$63.14	$55.00	$75.00	$75.00	$55.00
ATM IV	88.3%	36.9%	142.1%	43.4%	76.3%
Expected Move	25.7%	10.7%	40.7%	12.6%	23.3%
HV 20d	105.0%	43.5%	155.0%	44.4%	151.8%
HV 60d	65.3%	29.9%	91.6%	30.1%	91.6%
IV Rank	77.8%	47.3%	100.0%	63.3%	47.3%
IV Percentile	98.6%	94.0%	100.0%	99.6%	94.0%
Term Structure	-3.9%	-17.0%	15.4%	-2.2%	-8.3%
VWIV	88.4%	38.1%	137.1%	43.7%	79.4%
Skew 25d	32.5%	12.3%	76.0%	18.7%	26.1%
Skew 10d	58.3%	12.4%	108.8%	35.9%	45.0%
Call IV 25d	71.2%	31.4%	119.7%	33.3%	61.4%
Put IV 25d	103.7%	43.6%	164.9%	52.0%	87.5%
Bid-Ask Spread %	24.63	6.03	49.86	10.65	35.73
Gamma HHI	0.07	0.05	0.09	0.08	0.05
Net GEX	-11.5M	-28.0M	-1.0M	-24.0M	-5.0M
Net DEX	1.50B	1.04B	1.98B	1.12B	1.35B
Net VEX	-7.5M	-11.4M	-4.5M	-11.2M	-6.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.36	1.48	0.74	0.60
Total Volume	71,217.182	44,836	115,672	80,592	72,016
Total OI	1,072,292.591	956,613	1,193,954	1,016,138	1,034,488

Daily Data (22 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
2020-03-02	$66.49	$75.00	43.4%	12.6%	44.4%	63.3%	43.7%	18.7%	-2.2%	-24.0M	1.12B	-11.2M	0.74	10.65	46,374	34,218	445,226	570,912
2020-03-03	$65.94	$73.50	43.7%	14.6%	43.5%	63.9%	49.3%	17.1%	-0.6%	-24.0M	1.18B	-11.4M	1.08	9.91	28,674	31,006	457,344	581,680
2020-03-04	$67.15	$73.00	36.9%	10.7%	43.7%	47.4%	38.1%	12.3%	-1.1%	-25.0M	1.04B	-11.3M	0.69	6.22	26,524	18,312	462,082	586,734
2020-03-05	$63.09	$67.50	53.5%	14.3%	45.9%	87.6%	48.3%	20.7%	-2.9%	-27.1M	1.45B	-10.8M	1.11	6.03	24,771	27,487	472,683	589,423
2020-03-06	$61.01	$67.50	61.6%	16.5%	46.2%	100.0%	70.2%	23.3%	-4.6%	-28.0M	1.60B	-10.6M	1.48	10.03	36,329	53,772	482,388	595,342
2020-03-09	$51.84	$67.50	81.1%	20.8%	70.3%	100.0%	71.7%	23.8%	2.9%	-17.8M	1.98B	-7.7M	0.79	33.85	35,561	28,215	458,283	589,051
2020-03-10	$55.10	$65.00	73.4%	20.5%	75.9%	87.9%	73.3%	23.5%	1.1%	-18.7M	1.78B	-8.9M	0.52	35.38	51,063	26,332	476,743	583,197
2020-03-11	$51.01	$65.00	86.3%	23.6%	78.0%	100.0%	77.1%	41.1%	-5.3%	-14.1M	1.85B	-8.3M	0.48	49.86	40,454	19,521	505,327	591,764
2020-03-12	$43.53	$65.00	106.0%	30.1%	91.1%	100.0%	95.2%	38.3%	-2.4%	-9.6M	1.94B	-5.6M	1.08	7.40	55,730	59,942	516,077	593,592
2020-03-13	$48.50	$65.00	93.4%	25.5%	103.3%	85.8%	87.7%	20.7%	-1.1%	-10.7M	1.81B	-7.4M	1.00	12.57	40,881	41,023	546,192	594,867
2020-03-16	$41.60	$65.00	122.4%	34.6%	112.6%	100.0%	122.4%	38.7%	-12.6%	-7.0M	1.75B	-6.1M	0.70	13.47	33,064	23,204	528,512	599,577
2020-03-17	$40.02	$62.50	111.0%	31.5%	112.3%	89.2%	99.5%	37.9%	0.6%	-6.6M	1.79B	-5.3M	0.58	19.57	49,395	28,639	542,171	603,071
2020-03-18	$34.61	$60.00	142.1%	40.7%	118.1%	100.0%	137.1%	45.2%	-8.9%	-4.2M	1.61B	-4.6M	1.03	41.42	49,629	51,143	565,475	610,233
2020-03-19	$40.26	$57.50	124.7%	36.5%	135.8%	86.0%	120.5%	39.2%	-17.0%	-4.7M	1.57B	-6.2M	1.01	28.50	42,626	43,163	589,512	604,442
2020-03-20	$38.53	$60.00	118.8%	34.8%	135.8%	81.3%	122.3%	34.8%	-12.7%	-4.9M	1.58B	-5.2M	1.05	47.28	37,214	38,941	581,391	593,464
2020-03-23	$35.23	$57.50	116.5%	34.5%	137.2%	79.5%	126.2%	76.0%	15.4%	-4.0M	1.29B	-4.5M	1.06	34.17	25,554	27,192	435,118	521,495
2020-03-24	$40.09	$57.50	94.6%	30.1%	149.2%	61.9%	106.1%	31.2%	4.9%	-4.9M	1.36B	-5.4M	0.55	29.50	38,108	20,887	448,369	530,715
2020-03-25	$43.52	$57.50	95.9%	28.9%	154.1%	63.0%	98.7%	37.5%	-6.1%	-4.8M	1.26B	-6.8M	0.36	25.28	55,981	20,306	461,105	540,582
2020-03-26	$45.11	$57.50	87.7%	28.2%	155.0%	56.4%	94.6%	27.0%	-5.4%	-1.0M	1.21B	-7.0M	0.51	35.63	47,327	24,100	489,044	547,449
2020-03-27	$44.38	$57.50	94.1%	28.2%	154.8%	61.6%	99.1%	34.3%	-6.2%	-2.6M	1.23B	-7.1M	0.91	26.39	26,621	24,258	499,888	557,744
2020-03-30	$43.59	$57.50	80.0%	24.2%	151.8%	50.3%	83.5%	47.1%	-14.1%	-5.4M	1.34B	-6.4M	0.74	22.92	35,164	26,057	468,946	538,739
2020-03-31	$42.11	$55.00	76.3%	23.3%	151.8%	47.3%	79.4%	26.1%	-8.3%	-5.0M	1.35B	-6.3M	0.60	35.73	44,978	27,038	486,218	548,270