C Options History — February 2021

In February 2021, C traded between $58.23 and $68.49. ATM implied volatility averaged 34.7%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 0.3% (HV 20d: 35.0%). Max pain ranged from $57.50 to $64.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.55.

Notable Days

  • 2021-02-17: Highest Volume — 149,069 contracts
  • 2021-02-25: Largest IV spike — 13.2% change
  • 2021-02-01: Highest IV Rank — 14.4%
  • 2021-02-25: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.87$58.23$68.49$58.23$66.62
Max Pain$61.21$57.50$64.00$62.50$64.00
ATM IV34.7%33.3%39.3%38.6%36.2%
Expected Move10.0%9.5%11.3%10.7%10.5%
HV 20d35.0%28.0%44.2%43.4%28.8%
HV 60d36.8%33.4%43.8%43.8%33.7%
IV Rank9.3%2.1%14.4%14.4%3.5%
IV Percentile11.0%3.6%38.9%34.1%15.9%
Term Structure0.2%-1.9%1.4%0.3%-1.9%
VWIV35.6%33.7%42.5%38.1%37.7%
Skew 25d2.7%-0.9%10.7%4.8%3.1%
Skew 10d5.6%-5.5%19.1%12.5%8.1%
Call IV 25d34.3%30.1%37.4%37.4%36.0%
Put IV 25d37.0%34.8%42.2%42.2%39.1%
Bid-Ask Spread %4.512.0711.808.203.92
Gamma HHI0.080.050.150.050.08
Net GEX44.2M-449.6K81.2M-449.6K39.6M
Net DEX-1.70B-2.63B-307.6M-307.6M-2.03B
Net VEX-17.4M-17.7M-16.7M-17.7M-17.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.220.970.780.92
Total Volume84,630.21148,578149,06972,638106,577
Total OI1,729,104.8951,625,0191,872,2011,625,0191,769,730

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$58.23$62.5038.6%10.7%43.4%14.4%38.1%4.8%0.3%-449.6K-307.6M-17.7M0.788.2040,86331,775757,407867,612
2021-02-02$59.82$62.5035.4%9.7%44.2%11.8%34.8%3.2%0.3%12.6M-736.7M-17.5M0.7011.8035,41624,852774,563879,102
2021-02-03$60.93$62.5034.9%9.5%43.8%11.4%33.7%2.4%0.6%22.5M-1.03B-17.5M0.222.94101,83722,403785,208888,160
2021-02-04$62.07$57.5033.5%9.9%40.1%10.3%34.9%1.6%0.7%46.6M-1.44B-17.6M0.303.6392,86627,960828,662899,852
2021-02-05$62.61$57.5033.3%10.0%39.4%10.0%35.0%-0.9%0.9%60.2M-1.57B-17.5M0.517.8657,98529,324835,706910,261
2021-02-08$63.59$60.0033.6%9.9%39.7%10.3%35.4%1.7%0.9%48.5M-1.77B-17.3M0.517.1044,55122,930807,918890,362
2021-02-09$63.20$60.0033.4%9.9%39.3%10.1%34.6%1.9%1.0%45.3M-1.61B-17.4M0.342.9136,28412,294813,574899,601
2021-02-10$63.58$60.0034.2%10.1%39.4%10.8%35.6%1.4%0.7%50.8M-1.76B-17.3M0.533.3038,00420,246820,998904,499
2021-02-11$63.07$60.0033.3%10.0%39.4%10.1%35.2%1.6%1.4%46.4M-1.56B-17.5M0.502.4732,57816,207822,983908,798
2021-02-12$63.55$60.0033.4%9.8%37.0%10.2%35.2%1.6%1.4%46.2M-1.70B-17.6M0.362.9141,26714,719827,812917,036
2021-02-16$64.26$60.0035.1%10.1%28.4%11.6%36.1%2.9%-0.0%57.2M-1.90B-17.1M0.552.4543,07623,819804,218902,455
2021-02-17$64.76$60.0034.9%10.0%28.0%11.1%34.9%2.9%-0.6%68.4M-2.05B-17.1M0.742.0785,58363,486817,401920,292
2021-02-18$63.67$62.5033.9%9.7%28.7%10.3%34.0%2.7%0.1%58.8M-1.60B-17.7M0.553.0939,00921,490876,023973,772
2021-02-19$65.65$62.5033.3%9.6%29.4%9.0%34.0%2.8%-0.5%81.2M-2.49B-17.0M0.468.1867,63131,226888,915983,286
2021-02-22$65.33$62.5034.4%9.7%29.3%8.7%35.0%3.2%0.2%32.8M-1.86B-17.6M0.452.7679,72635,985783,122927,656
2021-02-23$66.76$62.5034.8%9.8%28.9%4.5%35.1%1.4%-0.7%39.2M-2.09B-17.4M0.483.1438,06918,436771,541933,307
2021-02-24$68.49$62.5034.7%9.8%29.8%2.1%35.3%2.1%-0.1%45.3M-2.63B-16.7M0.492.5975,02036,394777,574937,118
2021-02-25$67.42$64.0039.3%11.3%28.8%6.3%42.5%10.7%-0.8%38.1M-2.25B-17.4M0.974.4649,76048,326797,434949,035
2021-02-26$66.62$64.0036.2%10.5%28.8%3.5%37.7%3.1%-1.9%39.6M-2.03B-17.4M0.923.9255,60450,973807,718962,012