C Options History — March 2021

In March 2021, C traded between $69.17 and $74.98. ATM implied volatility averaged 35.6%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.8% (HV 20d: 29.8%). Max pain ranged from $64.00 to $72.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.68.

Notable Days

2021-03-03: Highest Volume — 174,652 contracts
2021-03-23: Largest IV spike — 9.8% change
2021-03-04: Highest IV Rank — 6.6%
2021-03-04: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$72.10	$69.17	$74.98	$69.73	$72.88
Max Pain	$69.83	$64.00	$72.50	$64.00	$72.50
ATM IV	35.6%	32.5%	39.6%	35.0%	35.6%
Expected Move	10.3%	9.2%	11.3%	9.9%	10.4%
HV 20d	29.8%	26.0%	33.0%	26.5%	26.0%
HV 60d	34.1%	33.3%	34.8%	34.8%	33.3%
IV Rank	3.3%	0.1%	6.6%	2.3%	5.7%
IV Percentile	14.4%	0.4%	42.1%	9.5%	17.5%
Term Structure	0.3%	-3.1%	1.9%	-0.1%	-2.2%
VWIV	36.7%	32.7%	39.9%	37.5%	37.1%
Skew 25d	1.5%	-4.7%	9.4%	2.4%	1.5%
Skew 10d	3.7%	-10.7%	8.8%	3.8%	3.6%
Call IV 25d	36.2%	33.2%	44.0%	34.8%	36.0%
Put IV 25d	37.7%	33.5%	43.2%	37.2%	37.5%
Bid-Ask Spread %	4.30	2.58	9.25	3.17	2.58
Gamma HHI	0.12	0.07	0.28	0.11	0.07
Net GEX	43.8M	17.6M	75.6M	45.0M	35.9M
Net DEX	-2.97B	-4.33B	-1.63B	-2.81B	-2.22B
Net VEX	-16.8M	-17.3M	-15.8M	-16.9M	-16.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.25	1.09	0.79	0.25
Total Volume	90,180.348	53,182	174,652	136,161	80,876
Total OI	1,749,566.043	1,457,507	1,983,264	1,739,049	1,571,637

Daily Data (23 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
2021-03-01	$69.73	$64.00	35.0%	9.9%	26.5%	2.3%	37.5%	2.4%	-0.1%	45.0M	-2.81B	-16.9M	0.79	3.17	75,926	60,235	788,425	950,624
2021-03-02	$69.17	$64.50	34.5%	9.8%	27.1%	1.9%	34.6%	1.2%	-0.0%	45.6M	-2.71B	-16.6M	0.68	3.35	47,839	32,530	799,707	967,797
2021-03-03	$70.69	$65.00	37.6%	10.9%	26.7%	4.7%	38.9%	1.1%	0.7%	47.1M	-3.06B	-16.8M	0.27	3.32	137,732	36,920	810,042	978,801
2021-03-04	$69.69	$67.50	39.6%	11.3%	27.6%	6.6%	39.9%	3.7%	-0.8%	40.4M	-2.79B	-17.3M	0.70	8.70	59,877	42,161	842,239	991,408
2021-03-05	$70.30	$67.50	36.9%	10.9%	27.2%	4.1%	38.8%	-4.7%	-0.2%	60.3M	-3.07B	-17.1M	0.83	9.25	59,822	49,765	857,368	1,000,398
2021-03-08	$72.67	$67.50	37.9%	11.1%	28.8%	5.0%	39.9%	1.8%	1.7%	51.0M	-3.59B	-16.6M	0.52	5.83	73,349	38,014	839,939	980,480
2021-03-09	$71.27	$67.50	35.7%	10.6%	30.2%	3.0%	37.9%	-0.0%	1.1%	54.0M	-3.24B	-17.0M	0.73	4.94	45,929	33,491	852,729	989,250
2021-03-10	$73.60	$67.50	36.5%	11.0%	31.2%	3.7%	39.0%	1.7%	1.5%	56.6M	-3.88B	-16.5M	0.41	3.03	65,224	26,664	864,072	1,005,463
2021-03-11	$73.26	$67.50	35.8%	10.7%	31.5%	3.1%	37.6%	1.0%	1.6%	59.0M	-3.86B	-16.7M	1.09	2.89	36,069	39,468	880,656	1,017,742
2021-03-12	$74.98	$70.00	35.9%	10.6%	31.5%	3.1%	39.6%	0.8%	1.2%	75.6M	-4.33B	-15.8M	0.64	3.06	53,030	34,201	886,678	1,030,289
2021-03-15	$73.99	$70.00	36.5%	10.6%	32.4%	3.7%	37.2%	0.8%	-0.4%	56.6M	-3.96B	-16.2M	0.95	3.72	44,458	42,307	875,373	1,015,183
2021-03-16	$73.35	$70.00	34.9%	10.1%	32.9%	2.2%	35.3%	1.3%	0.0%	60.5M	-3.78B	-16.1M	0.60	2.95	73,934	44,658	889,904	1,028,730
2021-03-17	$73.47	$72.50	35.0%	10.0%	33.0%	2.3%	35.7%	1.0%	0.1%	65.8M	-3.82B	-16.5M	0.92	5.06	33,059	30,329	912,197	1,041,972
2021-03-18	$73.69	$72.50	36.5%	10.5%	31.8%	3.7%	37.2%	1.4%	-0.4%	63.3M	-3.84B	-17.0M	0.45	4.51	94,725	42,966	920,251	1,058,844
2021-03-19	$73.06	$72.50	34.4%	9.8%	31.1%	2.1%	35.2%	1.1%	0.5%	22.8M	-3.61B	-16.9M	0.57	3.82	55,249	31,396	915,014	1,068,250
2021-03-22	$72.08	$72.50	32.5%	9.2%	31.6%	0.1%	32.7%	0.4%	1.2%	27.5M	-2.10B	-16.4M	0.83	3.03	33,941	28,180	693,539	763,968
2021-03-23	$70.74	$72.50	35.7%	9.6%	32.0%	3.9%	34.0%	9.4%	-3.1%	21.6M	-1.72B	-17.2M	0.93	3.80	38,891	36,346	704,488	780,478
2021-03-24	$70.51	$72.50	33.2%	9.7%	30.9%	1.1%	34.6%	-0.6%	1.9%	17.6M	-1.63B	-17.1M	0.59	6.80	33,342	19,840	714,225	804,642
2021-03-25	$71.83	$72.50	34.1%	9.8%	30.8%	2.6%	34.9%	2.0%	1.0%	23.9M	-1.93B	-17.1M	0.91	2.96	31,542	28,749	722,777	810,456
2021-03-26	$72.72	$72.50	34.3%	9.8%	30.4%	3.1%	34.6%	1.6%	0.9%	23.4M	-2.18B	-17.1M	0.72	3.38	36,801	26,597	728,890	824,309
2021-03-29	$71.77	$72.50	34.6%	10.0%	26.8%	3.6%	36.1%	3.2%	0.3%	22.4M	-1.90B	-17.0M	0.83	5.49	31,277	26,038	709,724	810,093
2021-03-30	$72.91	$72.50	34.9%	10.1%	27.0%	4.4%	35.5%	1.5%	0.0%	30.9M	-2.18B	-17.0M	0.40	3.25	57,512	22,889	721,438	819,530
2021-03-31	$72.88	$72.50	35.6%	10.4%	26.0%	5.7%	37.1%	1.5%	-2.2%	35.9M	-2.22B	-16.9M	0.25	2.58	64,466	16,410	742,816	828,821