C Options History — July 2021

In July 2021, C traded between $64.90 and $71.01. ATM implied volatility averaged 27.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 1.7% (HV 20d: 28.9%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-07-29: Highest Volume — 306,908 contracts
  • 2021-07-19: Largest IV spike — 19.0% change
  • 2021-07-19: Highest IV Rank — 27.6%
  • 2021-07-19: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.92$64.90$71.01$71.01$67.55
Max Pain$69.43$67.50$75.00$75.00$67.50
ATM IV27.2%24.8%31.4%28.5%25.8%
Expected Move7.6%6.8%8.7%8.0%7.2%
HV 20d28.9%26.6%32.0%26.7%28.5%
HV 60d24.6%22.7%25.7%22.7%24.6%
IV Rank11.8%4.0%27.6%14.3%8.2%
IV Percentile11.1%0.8%25.0%15.5%6.3%
Term Structure-0.1%-1.1%0.6%-1.1%0.6%
VWIV27.0%24.2%30.7%28.1%25.4%
Skew 25d2.0%0.4%4.1%1.1%2.7%
Skew 10d4.2%-2.8%9.1%2.1%6.6%
Call IV 25d26.8%24.6%30.9%28.1%25.3%
Put IV 25d28.9%26.9%33.9%29.1%27.9%
Bid-Ask Spread %3.032.0010.732.382.47
Gamma HHI0.070.060.100.080.10
Net GEX-5.9M-37.1M60.9M60.9M22.5M
Net DEX510.8M-423.8M1.35B-423.8M336.5M
Net VEX-23.0M-25.4M-20.9M-23.0M-25.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.181.180.461.18
Total Volume129,004.8152,066306,90853,654102,232
Total OI2,161,298.0951,993,1462,313,4292,137,1802,204,970

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$71.01$75.0028.5%8.0%26.7%14.3%28.1%1.1%-1.1%60.9M-423.8M-23.0M0.462.3836,87516,7791,036,2821,100,898
2021-07-02$70.37$75.0027.3%7.8%26.7%10.7%27.7%0.4%-0.1%23.9M-113.7M-22.4M0.742.2650,83437,5771,043,0021,107,362
2021-07-06$68.22$70.0028.7%7.9%28.0%15.0%28.1%1.6%-0.5%-2.5M641.6M-20.9M0.592.00115,50768,0351,011,3601,087,512
2021-07-07$67.81$70.0029.1%8.0%28.0%16.4%28.2%1.9%-0.4%-15.8M885.5M-21.8M0.532.0981,51343,1101,033,9991,134,738
2021-07-08$66.40$70.0031.4%8.5%28.3%23.4%30.1%2.5%-1.1%-37.1M1.32B-21.8M0.552.24105,13058,1051,048,9191,155,897
2021-07-09$68.35$70.0029.1%8.0%31.0%16.2%28.2%1.3%-0.5%-11.2M567.3M-23.0M0.462.4674,59034,3771,082,3371,173,840
2021-07-12$69.45$70.0029.3%8.1%32.0%17.3%28.6%1.4%-1.0%-1.5M210.4M-23.1M0.4210.7382,38234,5121,007,1281,159,066
2021-07-13$68.49$70.0028.0%7.7%31.8%13.2%27.7%1.6%-1.0%-9.6M563.2M-22.7M0.647.5281,87352,1241,029,4361,170,658
2021-07-14$67.85$70.0026.0%7.3%31.8%8.6%25.9%1.1%-0.7%-25.4M839.9M-21.9M0.502.53141,27270,1381,049,5881,187,437
2021-07-15$68.33$70.0026.0%7.5%28.7%8.9%26.3%1.1%-0.1%-11.1M611.1M-22.8M0.602.3396,97458,2351,077,7641,197,042
2021-07-16$66.70$70.0025.7%7.3%26.6%7.6%26.3%1.9%-0.0%-33.1M1.35B-22.7M0.522.63114,01559,2301,101,9981,211,431
2021-07-19$64.90$70.0030.5%8.7%27.7%27.6%30.7%4.1%0.0%-28.6M1.10B-22.2M0.822.2498,62680,798919,8341,073,312
2021-07-20$66.52$68.0026.5%7.6%29.0%11.1%27.2%3.1%0.3%-18.5M649.3M-23.0M0.622.3162,47038,840954,8001,108,861
2021-07-21$67.95$67.5025.1%7.2%29.9%5.4%25.6%2.1%0.5%-6.8M163.0M-23.4M0.492.1768,57933,929965,7411,129,471
2021-07-22$67.06$67.5024.9%7.1%29.8%4.7%25.7%2.4%0.5%-18.5M571.9M-23.4M0.672.3651,62434,499985,7201,141,134
2021-07-23$66.72$67.5024.8%7.1%28.4%4.0%25.0%2.3%0.4%-26.3M777.7M-24.1M0.392.4060,92223,6741,009,0901,158,753
2021-07-26$67.74$67.5025.9%7.3%29.1%8.5%26.0%2.4%0.1%-13.4M393.4M-23.9M0.562.1833,46518,601960,3741,133,986
2021-07-27$67.81$67.5027.0%7.6%29.1%13.1%26.7%2.9%0.1%-4.7M258.8M-23.8M0.622.3644,19527,317982,5301,143,530
2021-07-28$68.26$67.5025.9%7.2%28.2%8.5%25.4%2.2%0.4%4.6M129.7M-24.3M0.553.0670,50138,734990,3791,153,905
2021-07-29$68.84$67.5025.1%6.8%27.9%5.4%24.2%2.5%0.6%28.1M-96.9M-24.2M0.182.89259,14447,7641,001,2241,161,952
2021-07-30$67.55$67.5025.8%7.2%28.5%8.2%25.4%2.7%0.6%22.5M336.5M-25.4M1.182.4746,98555,2471,027,1941,177,776