C Options History — July 2020 In July 2020, C traded between $49.39 and $52.57. ATM implied volatility averaged 46.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 5.8% (HV 20d: 51.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.58.
Notable Days 2020-07-10 : Highest Volume — 212,244 contracts2020-07-14 : Largest IV drop — 10.7% change2020-07-09 : Highest IV Rank — 31.4%2020-07-01 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $51.18 $49.39 $52.57 $50.57 $49.85 Max Pain $52.84 $50.00 $55.00 $50.00 $52.50 ATM IV 46.0% 37.1% 56.5% 52.3% 39.6% Expected Move 12.9% 10.4% 15.6% 15.6% 11.3% HV 20d 51.8% 40.5% 71.4% 71.4% 42.4% HV 60d 69.3% 63.6% 75.5% 75.5% 63.8% IV Rank 23.0% 15.9% 31.4% 28.1% 17.9% IV Percentile 65.0% 58.3% 77.8% 69.4% 59.5% Term Structure -0.5% -2.6% 1.1% -1.3% 1.0% VWIV 45.5% 37.1% 55.7% 55.7% 39.8% Skew 25d 3.1% -0.2% 5.7% 5.7% 1.7% Skew 10d 4.2% -11.0% 9.4% -11.0% 4.6% Call IV 25d 44.7% 36.1% 55.0% 49.8% 38.9% Put IV 25d 47.8% 38.9% 58.1% 55.5% 40.6% Bid-Ask Spread % 4.88 2.40 11.95 11.91 4.43 Gamma HHI 0.07 0.06 0.10 0.06 0.08 Net GEX 6.8M -1.6M 28.9M 3.9M 215.2K Net DEX 480.6M 55.0M 872.6M 570.4M 872.6M Net VEX -15.1M -16.5M -14.3M -14.9M -14.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.33 0.94 0.68 0.79 Total Volume 90,059.182 55,223 212,244 75,842 61,084 Total OI 1,758,493.636 1,626,832 1,911,751 1,702,932 1,801,714
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 2020-07-01 $50.57 $50.00 52.3% 15.6% 71.4% 28.1% 55.7% 5.7% -1.3% 3.9M 570.4M -14.9M 0.68 11.91 45,013 30,829 835,555 867,377 2020-07-02 $50.51 $50.00 49.8% 14.9% 70.2% 26.1% 52.0% 3.4% -1.1% 5.8M 609.4M -14.9M 0.38 2.73 91,863 34,636 847,713 881,972 2020-07-06 $51.99 $50.00 49.8% 13.5% 67.4% 26.1% 48.5% 4.0% -1.2% 6.3M 339.8M -15.1M 0.58 9.09 45,217 26,315 812,602 861,112 2020-07-07 $50.16 $50.00 53.2% 14.3% 66.0% 28.8% 48.2% 5.3% -2.6% 844.3K 667.4M -14.5M 0.64 4.63 49,602 31,642 827,607 867,154 2020-07-08 $50.89 $55.00 55.5% 15.0% 66.5% 30.6% 52.4% 2.9% -1.6% 6.1M 517.4M -15.2M 0.45 10.32 58,112 26,086 850,160 887,373 2020-07-09 $49.39 $55.00 56.5% 15.2% 63.8% 31.4% 52.6% 4.0% -2.0% -1.1M 778.5M -14.8M 0.54 4.20 62,585 33,922 867,831 893,671 2020-07-10 $52.57 $55.00 54.9% 15.0% 49.2% 30.1% 53.1% 4.5% -1.2% 28.9M 55.0M -16.1M 0.39 8.90 152,227 60,017 881,663 901,059 2020-07-13 $52.51 $55.00 55.7% 15.4% 45.5% 30.8% 53.7% -0.2% -1.1% 11.1M 58.3M -16.5M 0.50 11.95 81,510 40,839 909,073 916,523 2020-07-14 $50.27 $55.00 49.7% 14.0% 47.8% 26.0% 48.8% 2.5% -0.8% -890.9K 606.3M -15.3M 0.61 3.17 68,687 41,638 937,738 936,633 2020-07-15 $52.00 $55.00 48.9% 13.6% 48.2% 25.3% 48.0% 3.3% -1.3% 11.2M 211.2M -15.8M 0.50 2.44 64,215 32,006 943,678 942,621 2020-07-16 $51.60 $55.00 44.1% 12.6% 47.9% 21.5% 45.7% 3.3% -0.3% 8.1M 315.3M -15.4M 0.94 4.90 30,172 28,512 953,304 948,595 2020-07-17 $50.41 $55.00 43.4% 12.4% 48.5% 21.0% 43.4% 3.4% -0.2% -1.6M 578.1M -14.7M 0.76 3.44 45,777 34,762 956,622 955,129 2020-07-20 $50.25 $52.50 40.7% 11.6% 48.5% 18.8% 41.1% 2.6% 0.5% -1.5M 721.4M -14.3M 0.45 2.90 66,188 29,576 785,507 841,325 2020-07-21 $51.67 $52.50 41.9% 12.0% 49.5% 19.7% 42.3% 3.6% -0.6% 9.5M 404.9M -15.0M 0.36 2.50 68,402 24,927 813,592 855,163 2020-07-22 $51.56 $52.50 41.2% 11.8% 49.0% 19.2% 42.1% 2.9% -0.1% 11.1M 427.5M -15.1M 0.82 2.80 36,128 29,463 825,365 867,883 2020-07-23 $51.95 $52.50 40.9% 11.7% 47.2% 18.9% 40.9% 2.9% 1.1% 13.7M 372.1M -15.0M 0.70 3.14 45,522 32,078 837,692 884,818 2020-07-24 $51.66 $52.00 39.5% 11.3% 46.2% 17.8% 39.3% 2.8% 0.4% 6.5M 433.8M -15.0M 0.66 2.73 38,854 25,775 847,285 894,721 2020-07-27 $51.32 $52.00 39.1% 11.2% 41.1% 17.5% 39.2% 3.0% 0.4% 3.2M 551.4M -14.7M 0.62 2.40 34,033 21,190 814,971 888,694 2020-07-28 $51.43 $52.00 38.7% 11.0% 41.0% 17.2% 38.8% 2.4% 0.3% 6.2M 535.7M -14.8M 0.33 2.84 54,406 18,022 826,764 896,135 2020-07-29 $52.52 $52.00 37.1% 10.4% 40.5% 15.9% 37.1% 2.8% 0.4% 20.2M 264.4M -14.9M 0.60 2.99 42,284 25,559 846,759 905,232 2020-07-30 $50.84 $52.00 38.9% 10.9% 41.8% 17.3% 37.4% 2.4% 0.2% 2.4M 683.3M -14.7M 0.44 3.01 77,530 34,097 856,870 913,605 2020-07-31 $49.85 $52.50 39.6% 11.3% 42.4% 17.9% 39.8% 1.7% 1.0% 215.2K 872.6M -14.9M 0.79 4.43 34,052 27,032 873,416 928,298
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