C Options History — May 2020 In May 2020, C traded between $40.41 and $52.09. ATM implied volatility averaged 55.8%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 21.1% (HV 20d: 77.0%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.64.
Notable Days 2020-05-26 : Highest Volume — 176,049 contracts2020-05-13 : Largest IV spike — 17.2% change2020-05-01 : Highest IV Rank — 36.3%2020-05-01 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $45.13 $40.41 $52.09 $45.45 $48.18 Max Pain $51.13 $45.00 $55.00 $45.00 $50.00 ATM IV 55.8% 51.2% 62.5% 62.5% 55.7% Expected Move 16.2% 14.6% 18.8% 18.8% 15.8% HV 20d 77.0% 64.1% 88.9% 88.9% 77.0% HV 60d 108.4% 105.9% 111.6% 106.0% 111.6% IV Rank 30.9% 27.2% 36.3% 36.3% 30.8% IV Percentile 82.7% 77.8% 86.9% 86.9% 82.1% Term Structure 0.2% -1.6% 1.9% -0.9% -1.1% VWIV 56.8% 50.6% 65.8% 65.8% 55.7% Skew 25d 10.1% 6.7% 18.9% 13.6% 9.1% Skew 10d 18.8% -14.4% 28.5% 26.9% 24.0% Call IV 25d 51.6% 47.6% 57.7% 57.7% 51.8% Put IV 25d 61.7% 55.3% 71.3% 71.3% 60.9% Bid-Ask Spread % 6.82 2.26 19.95 2.26 8.57 Gamma HHI 0.07 0.05 0.29 0.07 0.07 Net GEX 1.2M -19.2M 16.4M -6.6M 8.2M Net DEX 1.09B -165.7M 1.62B 1.19B 675.4M Net VEX -10.9M -13.9M -9.1M -10.1M -12.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.23 0.93 0.91 0.77 Total Volume 100,050.85 51,067 176,049 164,624 108,612 Total OI 1,589,346.4 1,398,588 1,783,490 1,409,990 1,783,490
Daily Data (20 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 2020-05-01 $45.45 $45.00 62.5% 18.8% 88.9% 36.3% 65.8% 13.6% -0.9% -6.6M 1.19B -10.1M 0.91 2.26 86,152 78,472 679,700 730,290 2020-05-04 $45.15 $55.00 61.1% 17.5% 87.0% 35.1% 61.1% 13.5% 0.3% 576.9K 1.16B -10.4M 0.67 4.14 42,848 28,834 688,529 710,059 2020-05-05 $44.09 $55.00 57.3% 16.7% 82.5% 32.1% 57.2% 11.1% 0.6% -918.2K 1.27B -10.1M 0.43 5.38 38,870 16,612 713,169 731,989 2020-05-06 $43.06 $55.00 56.6% 16.9% 82.1% 31.5% 57.9% 8.2% -0.7% -2.9M 1.38B -9.6M 0.93 19.95 35,939 33,576 727,805 738,041 2020-05-07 $44.69 $55.00 55.9% 15.9% 82.2% 30.9% 58.3% 11.9% 0.5% 2.9M 1.21B -10.2M 0.66 3.00 37,007 24,419 737,834 742,425 2020-05-08 $46.26 $52.50 51.4% 15.0% 77.4% 27.4% 54.5% 10.4% 0.4% 8.9M 1.00B -11.0M 0.54 11.92 52,554 28,228 764,187 771,162 2020-05-11 $44.17 $52.50 52.0% 15.3% 79.0% 27.8% 53.5% 9.2% 1.1% -1.2M 1.29B -10.0M 0.60 6.66 58,801 35,502 742,995 759,016 2020-05-12 $42.70 $52.50 53.1% 15.9% 78.7% 28.7% 53.2% 8.9% 1.9% -6.0M 1.45B -9.3M 0.86 8.88 61,789 53,271 755,788 770,567 2020-05-13 $40.41 $50.00 62.3% 18.2% 79.2% 36.0% 60.0% 18.9% 1.5% -9.2M 1.62B -9.1M 0.74 5.01 81,601 60,419 788,730 804,139 2020-05-14 $41.98 $50.00 60.4% 17.8% 77.0% 34.5% 63.3% 13.3% 1.9% -6.2M 1.49B -9.9M 0.60 3.77 69,271 41,315 820,035 825,934 2020-05-15 $41.61 $50.00 59.8% 17.4% 64.1% 34.0% 61.3% 10.8% 1.0% -19.2M 1.55B -9.8M 0.86 11.24 43,391 37,528 841,948 847,085 2020-05-18 $45.75 $50.00 54.9% 15.8% 72.0% 30.1% 55.8% 10.3% -0.6% 3.1M 1.04B -11.5M 0.23 4.86 104,137 24,190 783,137 807,726 2020-05-19 $44.64 $50.00 55.3% 15.9% 70.4% 30.4% 56.6% 8.1% -0.6% 3.9M 1.16B -11.1M 0.54 2.42 37,619 20,156 811,377 815,086 2020-05-20 $45.55 $50.00 53.9% 15.5% 70.5% 29.4% 55.0% 7.7% 0.4% 6.7M 1.03B -11.5M 0.61 4.39 38,722 23,514 818,811 821,430 2020-05-21 $44.94 $50.00 52.5% 15.0% 70.7% 28.3% 52.8% 8.1% 0.5% 5.2M 1.16B -11.2M 0.90 2.39 26,904 24,163 830,301 830,319 2020-05-22 $44.02 $50.00 51.2% 14.6% 71.1% 27.2% 50.6% 7.7% 0.5% -291.7K 1.32B -10.9M 0.71 4.39 37,407 26,388 841,991 839,985 2020-05-26 $48.31 $50.00 52.1% 15.1% 74.0% 27.9% 53.8% 7.0% -0.1% 7.1M 618.1M -12.6M 0.42 7.81 123,996 52,053 823,476 829,421 2020-05-27 $52.09 $50.00 53.8% 15.6% 78.3% 29.2% 54.9% 7.9% -1.6% 16.4M -165.7M -13.9M 0.38 10.16 123,872 47,322 866,390 851,793 2020-05-28 $49.47 $50.00 55.2% 15.8% 77.5% 30.4% 54.3% 6.7% -1.0% 12.9M 421.3M -13.2M 0.45 9.12 93,803 41,760 870,541 870,227 2020-05-29 $48.18 $50.00 55.7% 15.8% 77.0% 30.8% 55.7% 9.1% -1.1% 8.2M 675.4M -12.9M 0.77 8.57 61,430 47,182 897,646 885,844
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