C Options History — June 2021

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

In June 2021, C traded between $67.72 and $79.83. ATM implied volatility averaged 27.6%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.6% (HV 20d: 20.1%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2021-06-16: Highest Volume — 340,477 contracts
2021-06-18: Largest IV spike — 13.2% change
2021-06-18: Highest IV Rank — 23.7%
2021-06-18: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.04	$67.72	$79.83	$79.67	$70.63
Max Pain	$75.80	$75.00	$77.50	$75.00	$75.00
ATM IV	27.6%	23.8%	32.5%	26.6%	29.0%
Expected Move	8.0%	6.7%	9.4%	6.9%	8.3%
HV 20d	20.1%	14.8%	26.4%	16.3%	26.4%
HV 60d	20.5%	18.2%	22.7%	21.3%	22.7%
IV Rank	9.5%	0.0%	23.7%	3.4%	16.0%
IV Percentile	10.7%	0.0%	20.2%	6.0%	17.5%
Term Structure	0.5%	-2.6%	7.3%	-0.5%	-0.3%
VWIV	28.7%	25.1%	32.9%	25.3%	29.6%
Skew 25d	2.2%	0.5%	4.2%	2.2%	1.2%
Skew 10d	5.5%	1.1%	10.0%	6.1%	3.6%
Call IV 25d	27.4%	23.2%	31.8%	26.5%	29.3%
Put IV 25d	29.6%	25.5%	36.0%	28.7%	30.6%
Bid-Ask Spread %	2.77	1.99	4.77	2.34	1.99
Gamma HHI	0.10	0.06	0.18	0.14	0.08
Net GEX	32.7M	-38.7M	75.7M	58.3M	51.3M
Net DEX	-1.19B	-3.07B	1.02B	-2.99B	-336.8M
Net VEX	-19.4M	-22.7M	-17.3M	-17.6M	-22.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.27	1.23	0.51	0.58
Total Volume	135,230.864	52,626	340,477	79,269	79,205
Total OI	1,986,491.727	1,830,984	2,237,926	1,830,984	2,118,241

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
2021-06-01	$79.67	$75.00	26.6%	6.9%	16.3%	3.4%	25.3%	2.2%	-0.5%	58.3M	-2.99B	-17.6M	0.51	2.34	52,503	26,766	777,020	1,053,964
2021-06-02	$79.83	$75.00	26.4%	6.7%	16.3%	2.9%	25.1%	2.3%	-0.2%	61.9M	-3.07B	-17.3M	0.41	3.08	37,430	15,196	788,773	1,075,013
2021-06-03	$79.80	$75.00	27.2%	8.1%	15.0%	4.8%	29.0%	2.5%	-2.6%	67.2M	-3.01B	-17.3M	0.48	2.77	55,928	26,715	789,627	1,069,537
2021-06-04	$79.60	$75.00	24.9%	7.5%	14.8%	0.0%	29.1%	2.9%	-0.2%	75.7M	-2.95B	-17.9M	0.47	4.40	45,138	21,110	823,142	1,083,031
2021-06-07	$79.42	$75.00	24.4%	7.6%	14.9%	0.0%	26.4%	2.3%	1.9%	64.0M	-2.91B	-17.3M	0.91	3.67	96,313	87,840	813,483	1,069,978
2021-06-08	$79.23	$77.50	25.1%	7.5%	14.9%	1.7%	27.2%	2.1%	1.2%	63.7M	-2.79B	-18.4M	0.67	2.80	35,048	23,417	839,561	1,109,367
2021-06-09	$78.23	$77.50	25.9%	7.9%	15.1%	3.5%	27.9%	2.0%	1.8%	54.4M	-2.39B	-17.8M	0.62	2.81	36,914	22,849	828,988	1,104,583
2021-06-10	$77.01	$77.50	24.9%	7.5%	16.1%	1.0%	26.4%	2.5%	1.7%	37.5M	-1.89B	-17.8M	0.44	2.26	48,454	21,307	836,924	1,113,784
2021-06-11	$76.26	$77.50	23.8%	7.2%	14.8%	0.0%	26.2%	2.3%	2.1%	17.9M	-1.57B	-17.8M	0.33	2.24	78,557	25,773	851,786	1,123,682
2021-06-14	$74.92	$77.50	26.3%	7.7%	15.8%	5.6%	27.2%	3.1%	-0.5%	10.3M	-1.09B	-18.2M	0.46	2.50	52,352	24,040	835,506	1,108,760
2021-06-15	$74.69	$77.50	26.8%	7.7%	15.1%	7.0%	27.3%	3.0%	7.3%	16.3M	-1.09B	-17.4M	0.61	4.77	43,116	26,335	850,254	1,117,878
2021-06-16	$71.56	$77.50	28.2%	8.1%	21.0%	11.0%	29.1%	2.9%	-0.4%	-16.2M	-11.1M	-18.0M	0.59	2.82	214,497	125,980	872,972	1,130,292
2021-06-17	$68.83	$75.00	28.7%	8.5%	24.3%	13.0%	30.3%	3.1%	-0.6%	-33.9M	787.1M	-18.4M	0.45	2.41	187,935	84,246	936,788	1,191,004
2021-06-18	$67.72	$75.00	32.5%	9.4%	24.4%	23.7%	32.9%	4.2%	-0.6%	-38.7M	1.02B	-20.0M	0.50	2.79	211,900	106,721	1,012,981	1,224,945
2021-06-21	$68.44	$75.00	30.1%	8.6%	24.0%	17.4%	30.3%	2.5%	0.6%	10.1M	296.5M	-21.0M	0.56	2.45	124,343	69,231	915,066	973,839
2021-06-22	$69.02	$75.00	29.6%	8.5%	23.8%	16.1%	29.8%	2.1%	0.3%	21.2M	137.6M	-21.2M	0.60	2.17	74,965	45,337	959,544	1,019,051
2021-06-23	$69.89	$75.00	28.8%	8.3%	24.7%	14.0%	29.2%	1.8%	0.2%	31.1M	-103.1M	-22.1M	1.23	2.39	72,160	88,520	972,282	1,043,936
2021-06-24	$71.44	$75.00	30.2%	8.9%	26.4%	17.9%	31.5%	1.1%	1.0%	40.4M	-740.3M	-22.7M	0.33	2.95	132,835	43,330	987,068	1,068,395
2021-06-25	$71.63	$75.00	28.7%	8.3%	25.8%	13.5%	29.5%	0.5%	0.7%	41.7M	-883.7M	-22.6M	0.27	2.92	126,000	33,727	1,021,049	1,084,023
2021-06-28	$71.41	$75.00	30.2%	8.8%	25.7%	17.8%	31.4%	1.2%	-0.8%	48.2M	-686.1M	-22.5M	0.42	2.29	42,250	17,817	991,931	1,051,919
2021-06-29	$69.74	$75.00	29.8%	8.5%	25.7%	17.9%	30.1%	1.5%	-0.8%	37.2M	14.0M	-22.1M	0.49	2.19	128,327	62,652	1,001,508	1,061,343
2021-06-30	$70.63	$75.00	29.0%	8.3%	26.4%	16.0%	29.6%	1.2%	-0.3%	51.3M	-336.8M	-22.1M	0.58	1.99	50,147	29,058	1,024,141	1,094,100