C Options History — October 2020

In October 2020, C traded between $41.14 and $45.91. ATM implied volatility averaged 42.3%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 8.7% (HV 20d: 33.6%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2020-10-13: Highest Volume — 282,598 contracts
2020-10-28: Largest IV spike — 13.1% change
2020-10-06: Highest IV Rank — 24.8%
2020-10-30: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.50	$41.14	$45.91	$43.16	$41.14
Max Pain	$45.23	$42.50	$47.50	$47.50	$45.00
ATM IV	42.3%	38.3%	48.3%	43.0%	47.4%
Expected Move	12.2%	10.8%	14.5%	12.9%	14.5%
HV 20d	33.6%	28.4%	40.1%	38.8%	29.2%
HV 60d	32.3%	31.1%	35.4%	35.4%	31.8%
IV Rank	20.1%	16.9%	24.8%	20.6%	24.1%
IV Percentile	52.5%	40.1%	63.1%	57.9%	62.7%
Term Structure	-1.1%	-10.6%	3.9%	-10.6%	-0.2%
VWIV	43.3%	37.8%	55.7%	45.6%	55.7%
Skew 25d	2.8%	1.2%	7.0%	3.2%	7.0%
Skew 10d	5.4%	0.1%	19.6%	6.9%	19.6%
Call IV 25d	41.8%	37.7%	48.4%	42.9%	45.6%
Put IV 25d	44.6%	40.4%	52.7%	46.1%	52.7%
Bid-Ask Spread %	2.85	2.28	3.75	2.78	3.11
Gamma HHI	0.10	0.07	0.11	0.11	0.10
Net GEX	-23.2M	-40.3M	6.1M	-30.8M	-36.9M
Net DEX	1.65B	1.04B	2.08B	1.85B	2.08B
Net VEX	-15.8M	-16.9M	-15.2M	-15.2M	-15.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.31	0.96	0.49	0.88
Total Volume	121,927.727	40,115	282,598	127,233	134,452
Total OI	2,305,249.045	2,113,870	2,557,186	2,113,870	2,417,271

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
2020-10-01	$43.16	$47.50	43.0%	12.9%	38.8%	20.6%	45.6%	3.2%	-10.6%	-30.8M	1.85B	-15.2M	0.49	2.78	85,107	42,126	951,433	1,162,437
2020-10-02	$43.58	$47.50	44.9%	13.2%	39.4%	22.1%	47.0%	3.3%	3.9%	-25.5M	1.73B	-15.6M	0.37	2.62	94,760	35,478	991,217	1,185,583
2020-10-05	$44.82	$42.50	47.0%	13.2%	40.1%	23.8%	47.6%	2.3%	-1.5%	-19.1M	1.39B	-16.4M	0.41	3.16	114,975	47,152	975,225	1,167,911
2020-10-06	$44.45	$42.50	48.3%	13.4%	39.5%	24.8%	48.8%	1.6%	-1.4%	-16.8M	1.44B	-16.4M	0.53	3.13	102,122	53,685	1,024,406	1,190,285
2020-10-07	$44.90	$42.50	46.9%	12.9%	39.8%	23.8%	46.2%	2.6%	-1.7%	-14.6M	1.35B	-16.5M	0.47	3.75	40,126	19,010	1,033,806	1,203,054
2020-10-08	$44.78	$42.50	45.3%	12.6%	39.8%	22.4%	45.0%	2.9%	-0.9%	-15.7M	1.39B	-16.3M	0.67	2.67	87,388	58,675	1,049,420	1,212,799
2020-10-09	$44.90	$42.50	42.8%	11.8%	39.7%	20.4%	41.1%	1.3%	-2.2%	6.1M	1.31B	-16.4M	0.50	3.38	79,457	40,056	1,083,563	1,238,919
2020-10-12	$45.91	$47.50	41.1%	11.6%	36.2%	19.1%	40.8%	2.4%	-0.6%	-8.3M	1.04B	-16.9M	0.59	2.38	87,235	51,590	1,076,631	1,246,288
2020-10-13	$43.78	$47.50	40.7%	11.3%	32.7%	18.8%	40.0%	2.3%	-1.0%	-19.4M	1.69B	-15.6M	0.50	3.53	188,772	93,826	1,119,274	1,241,720
2020-10-14	$43.11	$47.50	38.8%	11.0%	32.1%	17.2%	38.6%	1.9%	-0.2%	-32.4M	1.94B	-15.3M	0.48	3.49	91,751	44,221	1,167,440	1,285,564
2020-10-15	$43.53	$47.50	39.8%	11.2%	32.1%	18.1%	39.4%	2.4%	-1.0%	-27.9M	1.81B	-15.5M	0.52	3.34	98,634	51,345	1,193,159	1,305,160
2020-10-16	$43.20	$47.50	38.4%	10.8%	32.0%	16.9%	37.8%	2.3%	-1.5%	-19.0M	1.82B	-15.5M	0.96	2.54	62,945	60,610	1,234,300	1,322,886
2020-10-19	$43.01	$45.00	40.7%	11.6%	30.5%	18.8%	41.7%	1.2%	-1.0%	-28.6M	1.72B	-15.4M	0.95	2.32	65,689	62,422	1,021,019	1,190,330
2020-10-20	$43.67	$45.00	40.1%	11.5%	30.8%	18.3%	40.4%	1.4%	-1.3%	-24.2M	1.52B	-16.0M	0.89	2.56	53,723	47,884	1,045,980	1,213,475
2020-10-21	$42.97	$45.00	38.6%	11.1%	29.4%	17.1%	39.2%	3.6%	-0.7%	-30.0M	1.73B	-15.3M	0.54	2.76	26,076	14,039	1,052,417	1,210,274
2020-10-22	$43.91	$45.00	38.3%	11.0%	30.3%	16.9%	39.2%	3.7%	-0.7%	-20.4M	1.46B	-15.7M	0.58	2.68	41,807	24,060	1,062,553	1,212,167
2020-10-23	$43.95	$45.00	38.5%	11.1%	30.2%	17.0%	40.2%	2.4%	-0.8%	-8.8M	1.42B	-15.8M	0.51	2.44	60,815	31,209	1,069,887	1,221,334
2020-10-26	$43.15	$45.00	40.9%	12.0%	28.4%	19.0%	42.6%	2.9%	-0.3%	-30.7M	1.65B	-15.3M	0.31	2.54	97,498	30,362	1,045,669	1,214,371
2020-10-27	$42.03	$45.00	40.8%	12.2%	29.0%	18.8%	43.0%	2.7%	-0.0%	-35.6M	1.91B	-15.3M	0.59	2.28	44,538	26,129	1,099,213	1,224,535
2020-10-28	$41.34	$45.00	46.1%	14.1%	29.2%	23.1%	48.8%	4.0%	0.8%	-32.2M	2.04B	-15.2M	0.82	2.68	67,544	55,631	1,119,233	1,235,251
2020-10-29	$41.66	$45.00	42.5%	12.7%	29.3%	20.2%	42.9%	5.1%	-0.5%	-40.3M	2.05B	-15.4M	0.45	2.47	46,440	21,046	1,138,248	1,259,772
2020-10-30	$41.14	$45.00	47.4%	14.5%	29.2%	24.1%	55.7%	7.0%	-0.2%	-36.9M	2.08B	-15.6M	0.88	3.11	71,668	62,784	1,146,274	1,270,997