C Options History — December 2020

In December 2020, C traded between $55.47 and $61.55. ATM implied volatility averaged 38.0%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 0.2% (HV 20d: 37.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2020-12-21: Highest Volume — 134,103 contracts
2020-12-07: Largest IV spike — 7.2% change
2020-12-14: Highest IV Rank — 18.2%
2020-12-07: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.36	$55.47	$61.55	$55.47	$61.55
Max Pain	$52.34	$50.00	$55.00	$50.00	$55.00
ATM IV	38.0%	35.0%	39.9%	36.7%	38.1%
Expected Move	11.1%	10.6%	11.8%	10.7%	10.8%
HV 20d	37.8%	29.4%	54.0%	54.0%	29.4%
HV 60d	41.6%	39.8%	44.8%	44.1%	40.4%
IV Rank	16.6%	14.2%	18.2%	15.6%	16.7%
IV Percentile	34.3%	25.0%	44.0%	31.0%	31.7%
Term Structure	0.8%	-0.8%	2.7%	1.4%	-0.7%
VWIV	40.2%	37.6%	43.4%	38.0%	40.3%
Skew 25d	2.3%	0.8%	4.4%	1.2%	2.3%
Skew 10d	7.8%	2.5%	17.7%	3.0%	9.1%
Call IV 25d	38.0%	35.8%	40.0%	37.2%	37.6%
Put IV 25d	40.4%	37.1%	44.3%	38.4%	39.9%
Bid-Ask Spread %	2.81	1.91	5.44	2.74	2.67
Gamma HHI	0.08	0.07	0.12	0.09	0.07
Net GEX	32.8M	23.0M	39.7M	25.8M	23.0M
Net DEX	-2.33B	-3.03B	-1.59B	-1.59B	-2.37B
Net VEX	-16.8M	-17.8M	-15.4M	-17.8M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.37	1.18	0.67	0.69
Total Volume	74,675	37,048	134,103	95,675	59,829
Total OI	2,219,089.864	1,997,195	2,382,015	2,250,219	2,097,837

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
2020-12-01	$55.47	$50.00	36.7%	10.7%	54.0%	15.6%	38.0%	1.2%	1.4%	25.8M	-1.59B	-17.8M	0.67	2.74	57,259	38,416	1,091,614	1,158,605
2020-12-02	$57.36	$50.00	37.4%	10.9%	53.5%	16.1%	38.9%	0.8%	1.6%	31.6M	-2.15B	-17.7M	0.52	2.58	69,302	36,164	1,103,768	1,162,977
2020-12-03	$56.41	$50.00	35.0%	11.0%	50.9%	14.2%	39.9%	1.2%	2.7%	29.2M	-1.84B	-17.7M	1.18	4.36	30,420	35,774	1,117,429	1,172,036
2020-12-04	$58.40	$50.00	36.9%	11.2%	51.4%	15.8%	39.6%	0.9%	2.2%	31.9M	-2.47B	-17.8M	0.64	2.95	63,623	40,485	1,123,141	1,185,784
2020-12-07	$58.06	$52.50	39.6%	11.8%	51.5%	17.9%	42.8%	1.9%	1.5%	29.7M	-2.27B	-17.8M	0.75	3.02	35,267	26,382	1,110,675	1,176,878
2020-12-08	$58.19	$52.50	38.1%	11.4%	33.9%	16.7%	40.8%	1.6%	1.7%	32.7M	-2.33B	-17.5M	0.67	2.25	25,416	17,016	1,121,285	1,184,719
2020-12-09	$58.64	$52.50	38.2%	11.7%	33.0%	16.8%	41.7%	1.1%	2.3%	34.4M	-2.46B	-17.5M	0.69	5.44	45,174	31,132	1,124,298	1,184,379
2020-12-10	$60.43	$52.50	39.3%	11.8%	33.5%	17.6%	42.3%	1.3%	2.1%	37.5M	-3.03B	-17.1M	0.68	3.21	60,471	41,356	1,128,500	1,197,759
2020-12-11	$58.99	$52.50	39.7%	11.6%	34.6%	18.0%	42.5%	2.5%	1.0%	37.2M	-2.52B	-17.2M	0.87	2.66	48,211	42,041	1,127,241	1,202,976
2020-12-14	$58.90	$52.50	39.9%	11.5%	34.7%	18.2%	43.4%	4.4%	-0.7%	34.7M	-2.44B	-16.7M	0.37	2.24	46,114	17,101	1,114,170	1,186,008
2020-12-15	$59.66	$52.50	38.7%	11.1%	34.3%	17.1%	40.8%	3.4%	-0.7%	38.1M	-2.67B	-16.6M	0.68	2.50	30,826	21,088	1,130,031	1,195,859
2020-12-16	$59.75	$52.50	37.9%	10.9%	34.3%	16.5%	40.4%	4.4%	-0.3%	39.7M	-2.69B	-16.3M	0.60	2.97	36,397	22,008	1,139,284	1,208,013
2020-12-17	$60.02	$52.50	38.4%	11.0%	34.3%	16.9%	39.4%	3.6%	-0.6%	37.1M	-2.76B	-16.5M	0.64	2.13	42,470	27,096	1,141,322	1,215,368
2020-12-18	$58.93	$52.50	37.2%	10.7%	35.3%	16.0%	38.4%	3.4%	-0.5%	31.4M	-2.38B	-16.3M	0.73	2.63	59,428	43,583	1,155,665	1,226,350
2020-12-21	$61.05	$52.50	38.6%	11.3%	36.3%	17.1%	41.0%	3.1%	1.3%	32.0M	-2.29B	-16.1M	0.73	2.44	77,670	56,433	958,986	1,038,209
2020-12-22	$59.44	$52.50	37.2%	10.8%	37.4%	16.0%	39.3%	2.4%	1.7%	29.5M	-1.80B	-16.6M	0.80	2.55	38,437	30,616	983,873	1,053,318
2020-12-23	$61.07	$52.50	37.5%	11.0%	32.0%	16.2%	39.2%	2.8%	1.5%	36.3M	-2.25B	-16.5M	0.48	4.43	58,893	28,422	987,268	1,066,729
2020-12-24	$60.28	$52.50	37.2%	10.6%	32.5%	16.0%	37.6%	2.3%	1.4%	31.1M	-2.08B	-16.3M	0.49	2.12	24,793	12,255	996,188	1,077,044
2020-12-28	$61.16	$52.50	38.0%	11.1%	32.6%	16.6%	38.9%	2.3%	-0.7%	34.0M	-2.32B	-15.4M	0.63	1.99	37,374	23,407	982,052	1,061,122
2020-12-29	$61.10	$54.00	39.0%	11.1%	31.1%	17.4%	39.1%	2.3%	-0.8%	32.4M	-2.24B	-15.8M	0.69	1.91	25,075	17,314	986,298	1,073,173
2020-12-30	$60.97	$55.00	37.9%	10.8%	31.2%	16.5%	39.8%	1.9%	-0.6%	33.1M	-2.21B	-15.5M	0.85	2.12	33,768	28,544	987,677	1,084,069
2020-12-31	$61.55	$55.00	38.1%	10.8%	29.4%	16.7%	40.3%	2.3%	-0.7%	23.0M	-2.37B	-15.8M	0.69	2.67	35,371	24,458	1,000,540	1,097,297