C Options History — June 2020

In June 2020, C traded between $49.25 and $60.99. ATM implied volatility averaged 57.8%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 21.0% (HV 20d: 78.7%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2020-06-11: Highest Volume — 240,557 contracts
2020-06-11: Largest IV spike — 9.7% change
2020-06-12: Highest IV Rank — 40.9%
2020-06-11: Largest Expected Move — 20.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.24	$49.25	$60.99	$49.55	$51.35
Max Pain	$49.55	$47.50	$50.00	$50.00	$50.00
ATM IV	57.8%	49.4%	68.3%	54.0%	52.8%
Expected Move	16.8%	14.2%	20.0%	15.6%	15.5%
HV 20d	78.7%	72.2%	89.9%	73.1%	74.5%
HV 60d	90.7%	77.3%	111.2%	111.2%	77.3%
IV Rank	32.4%	25.7%	40.9%	29.4%	28.5%
IV Percentile	80.8%	70.6%	87.7%	80.2%	70.6%
Term Structure	-0.8%	-2.5%	2.8%	-0.8%	-2.0%
VWIV	58.7%	48.8%	67.9%	54.4%	54.8%
Skew 25d	7.1%	-0.5%	15.1%	8.8%	5.5%
Skew 10d	14.6%	5.1%	25.6%	18.3%	11.6%
Call IV 25d	55.5%	49.4%	72.2%	50.2%	49.8%
Put IV 25d	62.6%	51.8%	76.7%	59.0%	55.3%
Bid-Ask Spread %	6.28	2.21	19.54	4.74	2.76
Gamma HHI	0.07	0.05	0.11	0.06	0.07
Net GEX	8.8M	-4.3M	17.7M	7.6M	5.1M
Net DEX	-142.1M	-1.85B	837.3M	459.0M	445.8M
Net VEX	-15.4M	-16.6M	-13.1M	-13.1M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.34	1.04	0.34	0.71
Total Volume	129,309.227	60,176	240,557	79,811	97,786
Total OI	1,836,623.682	1,496,095	2,121,196	1,741,277	1,660,944

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
2020-06-01	$49.55	$50.00	54.0%	15.6%	73.1%	29.4%	54.4%	8.8%	-0.8%	7.6M	459.0M	-13.1M	0.34	4.74	59,636	20,175	872,033	869,244
2020-06-02	$50.52	$50.00	53.5%	15.4%	73.2%	29.0%	54.5%	7.2%	-1.3%	14.7M	208.2M	-13.6M	0.72	2.58	53,723	38,557	893,696	878,962
2020-06-03	$53.61	$50.00	53.3%	15.4%	74.7%	28.9%	55.2%	7.4%	-1.4%	17.7M	-460.2M	-14.5M	0.51	2.32	96,420	48,855	900,479	897,186
2020-06-04	$55.36	$47.50	53.6%	15.2%	74.0%	29.1%	52.2%	7.1%	-2.3%	16.7M	-800.5M	-15.1M	0.73	3.22	104,532	75,796	914,047	921,256
2020-06-05	$58.69	$47.50	49.4%	14.2%	75.3%	25.7%	48.8%	15.1%	-1.9%	16.3M	-1.57B	-15.6M	0.48	9.06	150,921	71,797	945,692	953,142
2020-06-08	$60.99	$47.50	52.7%	14.8%	75.5%	28.4%	52.3%	1.5%	-0.6%	15.2M	-1.85B	-15.9M	0.84	7.60	75,788	63,766	925,350	933,017
2020-06-09	$59.77	$47.50	54.4%	15.4%	73.3%	29.7%	55.3%	5.9%	-0.3%	10.5M	-1.52B	-16.2M	0.54	10.81	87,885	47,068	936,458	967,165
2020-06-10	$56.09	$50.00	57.6%	16.2%	76.6%	32.3%	58.2%	6.5%	-0.4%	7.1M	-717.8M	-16.3M	0.71	10.00	90,695	64,285	967,319	985,500
2020-06-11	$49.25	$50.00	63.1%	20.0%	89.1%	36.7%	67.9%	-0.5%	1.7%	225.4K	837.3M	-15.1M	0.59	10.55	151,763	88,794	992,378	1,018,574
2020-06-12	$51.95	$50.00	68.3%	19.3%	89.9%	40.9%	67.6%	14.9%	-2.5%	9.3M	298.3M	-16.0M	1.04	8.20	93,538	97,696	1,028,498	1,045,326
2020-06-15	$52.59	$50.00	66.6%	19.0%	89.6%	39.5%	67.3%	9.6%	2.8%	7.6M	-45.2M	-16.2M	0.62	19.54	72,186	44,798	1,002,349	1,021,609
2020-06-16	$54.16	$50.00	63.5%	18.1%	84.4%	37.1%	64.1%	10.1%	-0.8%	11.9M	-412.6M	-16.6M	0.53	13.17	75,954	40,598	1,018,005	1,039,145
2020-06-17	$53.14	$50.00	61.5%	17.6%	84.1%	35.4%	60.7%	8.8%	-1.5%	10.4M	-167.2M	-16.1M	0.67	2.60	38,091	25,430	1,031,566	1,047,985
2020-06-18	$52.86	$50.00	60.4%	17.4%	84.2%	34.6%	61.3%	8.8%	-1.7%	7.9M	-138.2M	-15.8M	0.58	2.21	51,835	30,247	1,040,649	1,054,900
2020-06-19	$52.66	$50.00	59.7%	17.3%	83.9%	34.0%	59.2%	8.1%	-1.3%	11.3M	-134.1M	-15.7M	0.61	3.65	81,376	49,929	1,060,679	1,060,517
2020-06-22	$52.16	$50.00	57.1%	16.4%	83.5%	31.9%	57.9%	5.7%	-0.7%	4.4M	290.0M	-15.3M	0.75	2.99	39,233	29,486	725,242	770,853
2020-06-23	$53.18	$50.00	54.9%	15.9%	77.5%	30.2%	56.2%	6.1%	-0.1%	9.6M	135.9M	-15.5M	0.83	2.37	58,237	48,330	743,399	790,362
2020-06-24	$51.22	$50.00	59.4%	17.6%	74.2%	33.8%	60.4%	6.3%	-0.5%	2.7M	461.1M	-15.3M	0.62	3.02	75,096	46,799	762,331	809,811
2020-06-25	$52.62	$50.00	57.7%	17.4%	72.2%	32.4%	61.0%	-0.3%	-0.4%	12.8M	199.1M	-15.9M	0.53	2.92	110,993	58,745	784,744	828,032
2020-06-26	$49.65	$50.00	59.9%	17.9%	74.8%	34.2%	63.1%	7.2%	1.0%	-4.3M	719.8M	-15.2M	0.64	5.20	77,959	49,829	820,439	851,108
2020-06-29	$49.91	$50.00	57.1%	16.9%	74.1%	31.9%	59.4%	5.3%	-1.6%	-959.3K	626.8M	-15.1M	0.71	8.68	35,164	25,012	797,026	838,704
2020-06-30	$51.35	$50.00	52.8%	15.5%	74.5%	28.5%	54.8%	5.5%	-2.0%	5.1M	445.8M	-15.1M	0.71	2.76	57,080	40,706	810,849	850,095