C Options History — August 2020

In August 2020, C traded between $49.31 and $53.70. ATM implied volatility averaged 37.6%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 8.0% (HV 20d: 29.6%). Max pain ranged from $52.00 to $52.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.58.

Notable Days

2020-08-11: Highest Volume — 225,653 contracts
2020-08-31: Largest IV spike — 5.6% change
2020-08-31: Highest IV Rank — 18.4%
2020-08-11: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.43	$49.31	$53.70	$50.60	$51.26
Max Pain	$52.43	$52.00	$52.50	$52.00	$52.50
ATM IV	37.6%	34.6%	40.3%	38.9%	40.3%
Expected Move	10.8%	9.9%	11.9%	11.0%	11.4%
HV 20d	29.6%	24.7%	41.4%	41.4%	25.3%
HV 60d	56.0%	47.3%	63.4%	63.4%	47.3%
IV Rank	16.3%	13.9%	18.4%	17.3%	18.4%
IV Percentile	55.0%	50.8%	59.5%	58.3%	59.5%
Term Structure	0.0%	-5.8%	1.6%	-0.4%	0.1%
VWIV	38.3%	35.0%	43.4%	38.0%	41.0%
Skew 25d	2.7%	1.0%	5.0%	3.6%	3.8%
Skew 10d	6.7%	2.5%	18.2%	6.7%	8.8%
Call IV 25d	37.1%	34.6%	40.8%	37.8%	39.3%
Put IV 25d	39.8%	37.6%	43.2%	41.3%	43.2%
Bid-Ask Spread %	5.32	1.83	18.48	8.66	2.61
Gamma HHI	0.08	0.06	0.21	0.07	0.08
Net GEX	10.5M	-15.5M	50.0M	2.5M	11.7M
Net DEX	505.5M	-212.5M	1.21B	692.8M	507.5M
Net VEX	-15.3M	-16.4M	-14.3M	-14.9M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.25	1.46	0.58	1.46
Total Volume	106,706.429	48,951	225,653	78,506	75,224
Total OI	1,881,498.81	1,754,622	1,975,832	1,754,622	1,915,478

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
2020-08-03	$50.60	$52.00	38.9%	11.0%	41.4%	17.3%	38.0%	3.6%	-0.4%	2.5M	692.8M	-14.9M	0.58	8.66	49,559	28,947	838,343	916,279
2020-08-04	$50.02	$52.00	38.4%	10.9%	39.6%	17.0%	37.6%	2.4%	-0.0%	-4.3M	845.8M	-14.6M	0.90	3.34	51,604	46,488	851,603	929,460
2020-08-05	$51.08	$52.00	37.0%	10.3%	40.0%	15.8%	36.0%	2.0%	0.0%	6.5M	563.5M	-15.4M	0.53	3.14	49,251	25,917	885,246	962,054
2020-08-06	$50.92	$52.50	37.8%	11.0%	38.4%	16.4%	38.5%	2.0%	-0.1%	7.4M	578.9M	-15.3M	0.31	6.62	37,263	11,688	894,537	962,047
2020-08-07	$51.97	$52.50	38.5%	11.1%	31.9%	17.0%	38.9%	1.1%	-0.3%	50.0M	243.8M	-15.5M	0.25	1.83	97,719	24,557	902,634	964,330
2020-08-10	$52.85	$52.50	39.1%	11.4%	32.5%	17.5%	40.6%	1.3%	0.9%	22.2M	76.4M	-15.8M	0.28	2.13	128,451	35,413	878,175	935,605
2020-08-11	$53.70	$52.50	40.1%	11.9%	28.4%	18.3%	43.4%	1.0%	1.6%	30.8M	-212.5M	-16.4M	0.64	2.70	137,566	88,087	929,344	946,625
2020-08-12	$53.44	$52.50	38.6%	11.3%	26.2%	17.1%	41.4%	2.1%	0.7%	20.7M	-41.5M	-16.2M	0.89	3.08	53,419	47,306	927,985	944,490
2020-08-13	$52.89	$52.50	38.2%	11.1%	26.3%	16.8%	39.7%	2.2%	0.8%	14.6M	161.7M	-16.0M	0.58	2.00	45,821	26,757	938,576	963,121
2020-08-14	$52.91	$52.50	38.0%	11.1%	24.7%	16.6%	38.6%	3.4%	0.8%	33.3M	190.0M	-15.8M	0.65	2.50	80,889	52,735	951,516	968,496
2020-08-17	$51.56	$52.50	37.1%	10.7%	26.6%	15.9%	39.6%	3.0%	0.5%	16.3M	493.5M	-15.3M	0.48	15.88	63,931	30,589	940,848	934,374
2020-08-18	$50.36	$52.50	36.6%	10.5%	26.0%	15.5%	37.1%	2.3%	-5.8%	-1.4M	850.0M	-14.6M	0.82	10.55	37,866	30,951	935,936	942,135
2020-08-19	$50.17	$52.50	35.8%	10.3%	26.0%	14.9%	36.3%	2.7%	0.5%	-6.4M	950.9M	-14.5M	0.39	10.84	77,608	30,187	945,109	954,825
2020-08-20	$49.66	$52.50	35.5%	10.2%	26.0%	14.6%	37.0%	3.0%	0.2%	-14.0M	1.08B	-14.5M	0.65	2.34	43,769	28,310	979,271	980,154
2020-08-21	$49.31	$52.50	34.6%	9.9%	26.0%	13.9%	35.0%	3.0%	0.6%	-15.5M	1.21B	-14.3M	0.78	18.48	57,416	44,816	991,642	984,190
2020-08-24	$50.86	$52.50	35.3%	10.1%	28.5%	14.4%	36.4%	2.8%	0.1%	-114.9K	688.5M	-15.0M	0.27	5.21	84,204	22,964	900,958	938,264
2020-08-25	$51.57	$52.50	35.7%	10.0%	28.9%	14.8%	36.1%	3.4%	-0.3%	6.7M	456.9M	-15.3M	0.55	2.81	91,907	50,961	914,757	949,341
2020-08-26	$51.03	$52.50	36.8%	10.5%	28.1%	15.7%	36.9%	5.0%	-0.1%	2.4M	668.1M	-15.2M	0.54	2.45	43,686	23,495	940,260	978,290
2020-08-27	$51.84	$52.50	38.4%	10.9%	26.2%	16.9%	39.2%	3.7%	0.3%	9.7M	368.8M	-15.6M	0.32	2.16	111,574	35,961	944,012	982,378
2020-08-28	$52.08	$52.50	38.1%	10.8%	25.0%	16.7%	37.4%	3.3%	0.5%	28.3M	238.1M	-15.8M	0.36	2.32	100,324	35,655	970,464	998,323
2020-08-31	$51.26	$52.50	40.3%	11.4%	25.3%	18.4%	41.0%	3.8%	0.1%	11.7M	507.5M	-15.6M	1.46	2.61	30,640	44,584	947,655	967,823