C Options History — April 2020

In April 2020, C traded between $37.24 and $50.51. ATM implied volatility averaged 69.2%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 48.2% (HV 20d: 117.4%). Max pain ranged from $42.50 to $52.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2020-04-20: Highest Volume — 185,816 contracts
2020-04-06: Largest IV drop — 16.1% change
2020-04-01: Highest IV Rank — 57.0%
2020-04-01: Largest Expected Move — 29.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.66	$37.24	$50.51	$38.31	$48.73
Max Pain	$44.43	$42.50	$52.50	$52.50	$45.00
ATM IV	69.2%	51.8%	88.4%	88.4%	56.2%
Expected Move	20.2%	15.4%	29.1%	29.1%	16.7%
HV 20d	117.4%	84.0%	153.4%	153.1%	84.0%
HV 60d	100.0%	93.2%	105.5%	93.2%	105.5%
IV Rank	41.6%	27.7%	57.0%	57.0%	31.2%
IV Percentile	90.2%	84.5%	95.6%	95.6%	85.7%
Term Structure	-1.4%	-5.4%	6.4%	-4.6%	-0.6%
VWIV	70.3%	54.5%	97.7%	97.7%	57.9%
Skew 25d	15.8%	8.2%	29.0%	24.3%	11.0%
Skew 10d	34.2%	20.0%	67.7%	67.7%	20.4%
Call IV 25d	62.1%	48.1%	74.8%	74.8%	52.1%
Put IV 25d	77.9%	56.3%	99.2%	99.2%	63.1%
Bid-Ask Spread %	7.25	2.92	36.44	36.44	3.78
Gamma HHI	0.06	0.04	0.10	0.05	0.05
Net GEX	-947.5K	-8.9M	9.7M	-5.5M	9.0M
Net DEX	1.12B	406.7M	1.46B	1.42B	611.3M
Net VEX	-8.1M	-11.2M	-5.2M	-5.2M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.34	1.28	0.81	0.37
Total Volume	106,483.762	58,519	185,816	58,519	154,520
Total OI	1,246,918.81	1,067,496	1,417,999	1,067,496	1,417,999

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
2020-04-01	$38.31	$52.50	88.4%	29.1%	153.1%	57.0%	97.7%	24.3%	-4.6%	-5.5M	1.42B	-5.2M	0.81	36.44	32,383	26,136	505,293	562,203
2020-04-02	$38.91	$45.00	84.0%	22.6%	153.3%	53.5%	77.5%	26.7%	-4.6%	-5.1M	1.41B	-5.4M	1.20	6.31	27,652	33,283	522,044	572,029
2020-04-03	$37.24	$45.00	84.2%	23.2%	153.4%	53.6%	79.2%	29.0%	1.7%	-5.4M	1.43B	-5.2M	1.17	12.19	28,903	33,744	530,793	585,034
2020-04-06	$40.68	$45.00	70.6%	20.1%	149.2%	42.7%	69.3%	10.5%	1.0%	-4.5M	1.38B	-5.8M	0.39	4.93	58,727	22,757	510,257	568,087
2020-04-07	$42.23	$45.00	72.9%	20.0%	147.9%	44.5%	72.0%	24.0%	-5.4%	179.9K	1.27B	-6.5M	0.71	7.68	46,138	32,728	537,567	575,590
2020-04-08	$43.74	$45.00	64.8%	20.7%	146.9%	38.1%	71.4%	18.0%	6.4%	335.4K	1.17B	-7.3M	0.56	9.11	64,234	36,099	551,471	586,641
2020-04-09	$47.53	$45.00	71.9%	20.9%	138.8%	43.8%	74.5%	12.3%	-1.5%	-821.2K	837.4M	-9.3M	0.64	10.00	75,932	48,612	589,200	606,621
2020-04-13	$47.02	$45.00	75.5%	21.4%	133.3%	46.7%	75.8%	18.1%	-4.5%	-2.1M	1.02B	-9.1M	0.43	6.51	66,368	28,491	577,632	599,661
2020-04-14	$45.19	$45.00	69.3%	19.8%	121.7%	41.7%	69.8%	15.5%	-3.4%	-653.5K	1.17B	-8.2M	0.71	9.75	62,867	44,438	616,753	615,898
2020-04-15	$43.02	$45.00	72.0%	20.6%	122.3%	43.9%	71.3%	15.8%	-2.6%	-5.1M	1.32B	-7.5M	0.72	4.36	69,483	50,239	634,442	633,166
2020-04-16	$40.35	$45.00	72.2%	20.7%	112.1%	44.0%	73.1%	15.3%	-0.7%	-8.9M	1.46B	-7.0M	1.28	4.40	57,731	74,140	659,709	643,527
2020-04-17	$45.32	$42.50	69.1%	20.0%	106.8%	41.5%	69.1%	14.6%	-2.0%	-4.2M	1.04B	-9.1M	0.80	4.59	81,576	64,861	684,802	671,072
2020-04-20	$43.77	$42.50	73.0%	22.1%	106.2%	44.6%	77.6%	12.9%	-2.3%	-1.2M	1.11B	-8.8M	0.92	3.60	96,700	89,116	578,856	609,655
2020-04-21	$41.76	$42.50	73.9%	22.1%	102.1%	45.3%	76.9%	14.9%	-2.0%	-3.4M	1.21B	-8.4M	0.41	2.92	71,804	29,212	628,092	658,599
2020-04-22	$42.43	$42.50	71.0%	20.4%	91.8%	43.0%	71.3%	15.0%	-2.0%	-1.7M	1.17B	-8.7M	0.62	3.97	58,817	36,299	662,738	670,053
2020-04-23	$42.75	$42.50	63.8%	18.8%	86.9%	37.3%	65.5%	10.2%	-1.1%	-2.1M	1.18B	-8.7M	0.85	4.83	45,383	38,354	676,809	676,867
2020-04-24	$43.30	$42.50	60.8%	17.2%	86.0%	34.9%	59.9%	12.6%	-1.1%	-1.0M	1.18B	-8.7M	0.73	3.36	47,683	34,865	678,919	693,864
2020-04-27	$46.61	$43.50	55.1%	16.0%	89.9%	30.3%	56.9%	12.3%	0.1%	2.8M	908.3M	-9.9M	0.35	3.38	89,306	31,192	649,064	683,662
2020-04-28	$47.40	$43.50	52.8%	15.5%	89.7%	28.5%	54.9%	10.8%	0.6%	9.7M	775.0M	-10.2M	0.34	5.07	76,944	25,850	677,475	692,793
2020-04-29	$50.51	$43.50	51.8%	15.4%	90.8%	27.7%	54.5%	8.2%	-0.6%	9.7M	406.7M	-11.2M	0.66	5.00	86,073	56,519	690,218	700,140
2020-04-30	$48.73	$45.00	56.2%	16.7%	84.0%	31.2%	57.9%	11.0%	-0.6%	9.0M	611.3M	-10.8M	0.37	3.78	112,421	42,099	704,724	713,275