C Options History — September 2020

In September 2020, C traded between $41.89 and $52.65. ATM implied volatility averaged 42.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 9.9% (HV 20d: 32.9%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.81.

Notable Days

2020-09-15: Highest Volume — 374,280 contracts
2020-09-03: Largest IV spike — 7.5% change
2020-09-23: Highest IV Rank — 22.9%
2020-09-03: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.86	$41.89	$52.65	$51.08	$42.98
Max Pain	$49.52	$47.50	$52.50	$52.50	$47.50
ATM IV	42.8%	39.7%	45.9%	39.8%	45.1%
Expected Move	12.5%	11.1%	13.7%	11.1%	12.7%
HV 20d	32.9%	24.6%	39.7%	25.0%	39.7%
HV 60d	37.7%	34.2%	46.6%	46.6%	35.5%
IV Rank	20.4%	17.9%	22.9%	18.1%	22.3%
IV Percentile	60.0%	56.0%	63.1%	58.7%	61.9%
Term Structure	0.9%	-1.3%	3.9%	0.5%	1.2%
VWIV	44.2%	39.2%	51.3%	39.2%	43.9%
Skew 25d	4.1%	1.9%	6.0%	3.8%	4.8%
Skew 10d	8.1%	-11.4%	14.4%	9.8%	10.3%
Call IV 25d	41.6%	37.4%	44.7%	39.3%	42.1%
Put IV 25d	45.8%	41.2%	49.9%	43.1%	46.9%
Bid-Ask Spread %	4.96	2.13	22.52	2.13	3.18
Gamma HHI	0.12	0.07	0.45	0.07	0.12
Net GEX	-22.3M	-91.9M	42.4M	-2.0M	-30.5M
Net DEX	1.43B	49.3M	2.33B	622.8M	1.92B
Net VEX	-14.6M	-16.4M	-12.5M	-15.6M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.41	2.13	0.80	0.45
Total Volume	135,648.048	57,072	374,280	68,114	78,914
Total OI	2,067,766.476	1,844,256	2,379,470	1,956,022	2,096,164

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
2020-09-01	$51.08	$52.50	39.8%	11.1%	25.0%	18.1%	39.2%	3.8%	0.5%	-2.0M	622.8M	-15.6M	0.80	2.13	37,832	30,282	957,812	998,210
2020-09-02	$51.98	$52.50	42.5%	11.6%	24.6%	20.2%	42.6%	1.9%	0.4%	11.0M	300.9M	-16.1M	0.84	2.83	60,217	50,826	974,018	1,010,280
2020-09-03	$51.50	$50.00	45.7%	13.7%	24.8%	22.8%	51.3%	6.0%	0.2%	7.1M	414.5M	-16.2M	0.59	6.36	94,232	56,041	994,503	1,022,117
2020-09-04	$52.65	$50.00	44.0%	13.4%	25.0%	21.4%	47.6%	4.8%	-0.1%	42.4M	49.3M	-16.4M	0.78	22.52	75,818	59,231	1,007,489	1,050,846
2020-09-08	$51.28	$50.00	44.7%	13.5%	26.0%	22.0%	48.6%	5.8%	2.9%	-1.1M	589.9M	-15.7M	0.71	4.93	38,676	27,560	974,345	1,037,718
2020-09-09	$51.52	$50.00	41.4%	12.6%	25.3%	19.4%	46.4%	4.0%	2.7%	-1.4M	535.7M	-15.5M	0.59	4.98	35,921	21,151	986,060	1,050,372
2020-09-10	$50.98	$50.00	41.9%	13.0%	25.5%	19.8%	44.0%	3.4%	3.9%	-10.6M	662.7M	-15.2M	0.51	6.36	74,408	37,658	996,801	1,047,654
2020-09-11	$51.15	$50.00	39.7%	12.1%	25.4%	17.9%	42.2%	3.8%	3.9%	-35.1M	604.5M	-15.3M	1.29	6.47	58,116	74,985	1,021,346	1,060,650
2020-09-14	$48.32	$50.00	41.4%	12.1%	32.0%	19.4%	41.5%	3.9%	-0.6%	-27.8M	1.49B	-13.7M	0.68	5.16	139,551	95,089	1,009,277	1,055,032
2020-09-15	$45.30	$50.00	41.4%	12.0%	37.9%	19.3%	41.7%	5.1%	-0.7%	-36.8M	2.21B	-12.5M	1.37	3.81	158,250	216,030	1,032,319	1,094,079
2020-09-16	$46.15	$50.00	40.8%	11.7%	38.3%	18.9%	41.4%	3.8%	-0.8%	-34.2M	2.00B	-13.7M	0.71	3.27	134,792	95,300	1,105,805	1,156,813
2020-09-17	$45.44	$50.00	40.9%	11.7%	38.5%	18.9%	40.9%	3.8%	-0.3%	-41.1M	2.22B	-14.0M	0.87	2.64	58,716	50,932	1,148,487	1,196,400
2020-09-18	$44.95	$50.00	42.1%	12.2%	38.5%	19.9%	42.0%	3.4%	-1.3%	-91.9M	2.33B	-13.9M	0.97	3.06	80,298	78,208	1,167,339	1,212,131
2020-09-21	$43.72	$50.00	43.7%	12.7%	39.3%	21.2%	44.3%	3.9%	0.8%	-28.5M	1.83B	-13.5M	0.57	3.02	87,053	49,655	840,662	1,003,594
2020-09-22	$43.22	$50.00	44.0%	12.6%	36.9%	21.4%	44.6%	2.1%	0.2%	-28.7M	1.90B	-13.7M	0.81	5.72	65,820	53,399	871,794	1,034,252
2020-09-23	$41.99	$47.50	45.9%	13.5%	36.6%	22.9%	46.6%	5.2%	0.1%	-27.5M	2.08B	-13.5M	0.76	2.96	65,601	49,878	905,473	1,064,280
2020-09-24	$42.11	$47.50	45.3%	13.2%	36.9%	22.5%	46.4%	4.6%	0.7%	-28.8M	2.07B	-14.0M	2.13	3.28	59,255	126,398	929,410	1,082,482
2020-09-25	$41.89	$47.50	42.4%	12.3%	35.7%	20.2%	44.1%	3.9%	-0.0%	-39.3M	2.25B	-14.3M	0.70	5.55	66,920	47,056	946,184	1,154,880
2020-09-28	$43.39	$47.50	42.4%	12.7%	38.9%	20.2%	45.0%	4.1%	1.8%	-30.0M	1.85B	-15.0M	0.45	3.29	60,310	27,074	912,734	1,139,862
2020-09-29	$42.50	$47.50	43.1%	12.7%	39.1%	20.7%	44.5%	5.0%	2.9%	-32.3M	2.02B	-14.6M	0.41	2.67	50,449	20,707	925,339	1,148,083
2020-09-30	$42.98	$47.50	45.1%	12.7%	39.7%	22.3%	43.9%	4.8%	1.2%	-30.5M	1.92B	-14.7M	0.45	3.18	54,407	24,507	945,284	1,150,880