C Options History — January 2021

In January 2021, C traded between $58.10 and $69.09. ATM implied volatility averaged 37.1%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 0.3% (HV 20d: 36.8%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.61.

Notable Days

2021-01-15: Highest Volume — 203,288 contracts
2021-01-27: Largest IV spike — 18.4% change
2021-01-04: Highest IV Rank — 19.3%
2021-01-27: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.25	$58.10	$69.09	$60.36	$58.10
Max Pain	$63.05	$60.00	$65.00	$60.00	$62.50
ATM IV	37.1%	32.4%	42.3%	41.4%	41.2%
Expected Move	10.4%	9.3%	12.3%	11.3%	11.9%
HV 20d	36.8%	28.4%	43.6%	29.7%	43.6%
HV 60d	42.2%	40.2%	44.5%	40.7%	44.5%
IV Rank	15.1%	11.4%	19.3%	19.3%	16.6%
IV Percentile	26.5%	9.1%	52.0%	50.0%	48.0%
Term Structure	-0.9%	-8.5%	0.8%	-1.5%	-0.7%
VWIV	37.0%	33.1%	43.2%	40.3%	42.0%
Skew 25d	2.1%	-0.1%	5.7%	3.3%	5.7%
Skew 10d	4.8%	1.2%	13.3%	8.4%	13.3%
Call IV 25d	36.8%	32.7%	42.6%	39.9%	39.3%
Put IV 25d	39.0%	34.3%	46.3%	43.2%	45.1%
Bid-Ask Spread %	9.13	2.34	33.23	5.42	8.97
Gamma HHI	0.08	0.05	0.13	0.06	0.05
Net GEX	20.5M	-3.1M	45.3M	19.9M	-3.1M
Net DEX	-2.13B	-4.22B	-268.6M	-1.98B	-268.6M
Net VEX	-15.3M	-17.3M	-14.3M	-15.6M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.25	0.96	0.96	0.86
Total Volume	110,072.421	47,870	203,288	60,860	146,077
Total OI	1,842,044.105	1,401,136	2,204,486	2,054,797	1,634,321

Daily Data (19 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
2021-01-04	$60.36	$60.00	41.4%	11.3%	29.7%	19.3%	40.3%	3.3%	-1.5%	19.9M	-1.98B	-15.6M	0.96	5.42	30,981	29,879	973,350	1,081,447
2021-01-05	$61.84	$60.00	40.0%	10.8%	28.4%	18.2%	38.8%	3.3%	-1.4%	25.9M	-2.40B	-15.6M	0.89	33.23	35,009	31,225	986,012	1,095,991
2021-01-06	$65.06	$60.00	37.7%	10.5%	32.9%	16.4%	36.9%	4.0%	-0.5%	33.5M	-3.31B	-14.8M	0.57	25.95	115,742	65,673	993,056	1,109,098
2021-01-07	$66.41	$60.00	36.0%	10.0%	33.2%	15.0%	35.4%	1.7%	-0.9%	38.0M	-3.64B	-14.4M	0.61	8.61	62,270	38,168	1,002,723	1,119,821
2021-01-08	$65.48	$62.50	37.0%	10.3%	34.0%	15.8%	36.6%	0.4%	-0.9%	29.9M	-3.35B	-14.5M	0.66	4.25	56,819	37,219	1,006,855	1,132,925
2021-01-11	$66.33	$62.50	38.9%	10.7%	32.9%	17.4%	38.0%	0.8%	-1.5%	33.0M	-3.47B	-14.3M	0.48	4.49	60,464	29,027	985,150	1,113,045
2021-01-12	$66.59	$65.00	37.7%	10.5%	31.1%	16.4%	37.3%	0.9%	-0.8%	35.4M	-3.53B	-14.4M	0.61	9.47	44,669	27,236	995,752	1,125,752
2021-01-13	$66.69	$65.00	37.7%	10.5%	31.1%	16.4%	37.2%	2.0%	-1.4%	34.0M	-3.57B	-14.4M	0.52	3.78	54,641	28,177	1,005,879	1,136,677
2021-01-14	$69.09	$65.00	37.9%	10.7%	32.7%	16.5%	37.8%	-0.1%	-0.5%	45.3M	-4.22B	-14.3M	0.40	8.85	142,507	56,387	1,018,111	1,145,863
2021-01-15	$64.51	$65.00	36.5%	9.6%	42.4%	15.4%	33.9%	1.0%	-8.5%	15.9M	-2.70B	-14.7M	0.74	14.50	116,826	86,462	1,034,286	1,170,200
2021-01-19	$63.52	$65.00	32.8%	9.4%	42.9%	12.4%	34.3%	2.5%	0.3%	15.4M	-1.41B	-15.0M	0.70	5.49	65,648	46,210	646,020	755,116
2021-01-20	$63.31	$65.00	32.8%	9.4%	42.3%	11.7%	33.1%	1.3%	0.1%	16.0M	-1.39B	-14.8M	0.40	7.14	59,430	23,771	671,446	785,545
2021-01-21	$62.00	$65.00	32.4%	9.3%	41.4%	11.4%	33.1%	1.6%	0.5%	6.9M	-1.09B	-15.5M	0.71	2.34	45,243	32,043	697,111	796,505
2021-01-22	$61.49	$65.00	33.2%	9.5%	40.2%	11.8%	33.8%	0.5%	0.4%	2.5M	-973.4M	-15.6M	0.50	2.76	86,771	43,561	709,919	809,321
2021-01-25	$60.41	$63.00	35.6%	10.2%	39.6%	12.0%	36.1%	2.4%	-0.2%	6.1M	-828.2M	-15.8M	0.66	2.58	65,331	42,929	706,072	805,140
2021-01-26	$60.69	$62.50	35.7%	10.2%	39.4%	12.1%	36.2%	2.0%	0.1%	12.7M	-903.3M	-16.3M	0.38	14.10	34,783	13,087	735,382	829,574
2021-01-27	$59.24	$62.50	42.3%	12.3%	39.9%	17.5%	43.2%	3.7%	-0.2%	5.1M	-584.3M	-16.9M	0.74	3.70	48,087	35,578	743,810	836,869
2021-01-28	$60.64	$62.50	37.7%	10.8%	40.9%	13.7%	38.1%	3.3%	0.8%	16.8M	-918.3M	-16.7M	0.25	7.81	122,881	30,565	758,225	846,469
2021-01-29	$58.10	$62.50	41.2%	11.9%	43.6%	16.6%	42.0%	5.7%	-0.7%	-3.1M	-268.6M	-17.3M	0.86	8.97	78,334	67,743	768,409	865,912