C Options History — May 2021

Name: C Options Analytics - May 2021
Creator: Options Analysis Suite

In May 2021, C traded between $71.92 and $78.67. ATM implied volatility averaged 27.4%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 5.3% (HV 20d: 22.1%). Max pain ranged from $70.50 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2021-05-07: Highest Volume — 132,982 contracts
2021-05-12: Largest IV spike — 15.5% change
2021-05-12: Highest IV Rank — 18.4%
2021-05-12: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.98	$71.92	$78.67	$71.92	$78.67
Max Pain	$73.00	$70.50	$75.00	$70.50	$75.00
ATM IV	27.4%	25.2%	33.1%	26.0%	25.2%
Expected Move	7.8%	6.6%	9.4%	7.3%	6.6%
HV 20d	22.1%	16.2%	24.7%	21.5%	16.2%
HV 60d	24.0%	21.2%	25.3%	24.8%	21.2%
IV Rank	5.1%	0.1%	18.4%	1.9%	0.1%
IV Percentile	4.5%	0.4%	11.5%	1.2%	0.4%
Term Structure	0.7%	-0.2%	1.9%	0.5%	1.1%
VWIV	28.1%	23.6%	33.4%	26.9%	23.6%
Skew 25d	2.2%	1.2%	4.4%	2.2%	1.8%
Skew 10d	5.2%	0.7%	12.8%	5.9%	1.3%
Call IV 25d	27.2%	24.6%	31.9%	25.9%	24.6%
Put IV 25d	29.5%	26.4%	36.3%	28.2%	26.4%
Bid-Ask Spread %	2.88	2.06	4.20	2.59	2.92
Gamma HHI	0.12	0.08	0.31	0.10	0.12
Net GEX	68.9M	35.3M	140.6M	35.3M	59.0M
Net DEX	-2.46B	-3.17B	-1.27B	-1.27B	-2.84B
Net VEX	-18.2M	-19.2M	-17.0M	-18.3M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.34	1.58	0.45	0.83
Total Volume	80,672.6	50,013	132,982	80,012	97,054
Total OI	1,846,849.7	1,745,668	1,941,944	1,745,668	1,836,687

Daily Data (20 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
2021-05-03	$71.92	$70.50	26.0%	7.3%	21.5%	1.9%	26.9%	2.2%	0.5%	35.3M	-1.27B	-18.3M	0.45	2.59	55,143	24,869	778,977	966,691
2021-05-04	$72.02	$71.00	27.8%	8.0%	21.4%	6.2%	29.5%	2.6%	0.3%	38.4M	-1.36B	-18.7M	0.76	2.77	42,527	32,240	803,798	978,600
2021-05-05	$73.70	$71.00	27.1%	7.7%	23.0%	4.5%	27.0%	1.9%	-0.0%	63.6M	-1.99B	-18.4M	0.34	2.90	66,103	22,422	823,019	994,095
2021-05-06	$74.65	$72.50	27.1%	8.0%	23.4%	4.5%	28.9%	1.8%	0.1%	77.2M	-2.36B	-18.4M	0.83	3.27	38,245	31,797	839,878	1,003,115
2021-05-07	$75.01	$72.50	25.8%	7.7%	23.4%	1.5%	28.3%	1.3%	0.7%	106.8M	-2.46B	-18.5M	0.35	3.88	98,831	34,151	843,502	1,011,891
2021-05-10	$75.58	$72.50	27.2%	8.0%	23.4%	4.9%	29.0%	1.8%	0.5%	74.5M	-2.59B	-18.6M	0.86	2.68	58,653	50,276	841,121	1,000,176
2021-05-11	$74.76	$72.50	28.6%	8.4%	23.6%	8.1%	30.5%	2.9%	0.8%	61.2M	-2.22B	-18.8M	0.74	4.20	41,519	30,764	842,410	1,015,981
2021-05-12	$74.22	$72.50	33.1%	9.4%	23.6%	18.4%	33.4%	4.4%	-0.2%	45.4M	-1.96B	-19.2M	0.83	3.10	41,687	34,731	836,634	1,025,372
2021-05-13	$75.83	$72.50	29.5%	8.6%	24.6%	10.1%	30.3%	3.3%	0.7%	62.7M	-2.55B	-18.4M	0.57	3.38	38,375	21,875	844,893	1,041,151
2021-05-14	$76.48	$72.50	26.5%	7.6%	24.6%	3.1%	28.3%	1.8%	0.3%	75.1M	-2.78B	-18.2M	0.59	2.52	57,071	33,947	849,856	1,049,769
2021-05-17	$77.33	$72.50	28.2%	8.1%	24.7%	7.1%	29.8%	2.1%	0.7%	74.0M	-2.99B	-17.7M	0.80	2.58	47,517	38,136	833,052	1,032,749
2021-05-18	$77.23	$72.50	27.6%	7.9%	20.9%	5.6%	28.4%	1.6%	0.9%	79.3M	-2.98B	-17.8M	1.58	2.53	19,993	31,556	841,007	1,050,825
2021-05-19	$76.23	$72.50	29.8%	8.6%	21.6%	10.9%	30.5%	3.4%	0.6%	70.3M	-2.54B	-18.2M	0.39	3.20	47,888	18,546	846,561	1,059,920
2021-05-20	$76.44	$72.50	26.9%	7.6%	21.1%	4.0%	27.5%	2.5%	1.9%	103.0M	-2.65B	-18.7M	0.90	2.27	37,511	33,779	863,048	1,062,760
2021-05-21	$77.56	$75.00	27.0%	7.6%	20.7%	4.2%	28.0%	2.2%	0.9%	140.6M	-3.17B	-18.1M	0.53	2.23	71,478	37,667	868,342	1,073,602
2021-05-24	$78.33	$75.00	25.7%	7.1%	20.4%	1.4%	25.6%	2.1%	1.0%	55.4M	-2.83B	-17.0M	0.87	2.06	40,702	35,380	761,797	990,606
2021-05-25	$77.44	$75.00	27.0%	7.4%	21.1%	4.4%	27.9%	1.2%	0.7%	50.3M	-2.40B	-18.6M	1.19	2.29	40,906	48,866	775,900	1,010,760
2021-05-26	$77.63	$75.00	25.4%	6.7%	21.1%	0.7%	24.3%	1.3%	1.3%	49.0M	-2.48B	-17.7M	0.67	2.20	29,967	20,046	780,175	1,034,694
2021-05-27	$78.58	$75.00	25.7%	6.8%	21.2%	1.2%	24.6%	2.2%	1.1%	56.7M	-2.75B	-17.9M	0.59	4.00	38,537	22,697	782,136	1,041,444
2021-05-28	$78.67	$75.00	25.2%	6.6%	16.2%	0.1%	23.6%	1.8%	1.1%	59.0M	-2.84B	-17.3M	0.83	2.92	53,128	43,926	788,260	1,048,427