C Options History — August 2021

In August 2021, C traded between $67.87 and $74.22. ATM implied volatility averaged 25.6%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.5% (HV 20d: 23.1%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.63.

Notable Days

  • 2021-08-11: Highest Volume — 167,651 contracts
  • 2021-08-19: Largest IV spike — 8.0% change
  • 2021-08-19: Highest IV Rank — 20.1%
  • 2021-08-19: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.50$67.87$74.22$67.87$72.01
Max Pain$69.70$67.50$70.00$67.50$70.00
ATM IV25.6%23.5%28.7%26.5%24.4%
Expected Move7.3%6.5%8.2%7.3%6.6%
HV 20d23.1%19.4%28.5%28.5%21.5%
HV 60d25.3%24.5%26.1%24.5%26.1%
IV Rank7.4%0.0%20.1%11.0%3.8%
IV Percentile8.1%0.0%28.6%12.3%2.4%
Term Structure0.3%-0.8%1.3%-0.3%0.5%
VWIV26.3%23.3%30.2%26.0%23.9%
Skew 25d3.1%1.9%4.9%3.2%3.4%
Skew 10d8.3%5.0%12.4%11.5%7.4%
Call IV 25d25.1%22.7%28.4%25.6%23.6%
Put IV 25d28.2%25.6%33.3%28.8%27.0%
Bid-Ask Spread %2.471.753.613.612.81
Gamma HHI0.070.060.120.060.07
Net GEX25.2M-6.4M75.5M-6.4M20.5M
Net DEX-1.01B-2.19B350.1M350.1M-1.06B
Net VEX-25.7M-26.6M-24.3M-25.7M-24.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.321.050.470.63
Total Volume81,331.81839,997167,65189,85039,997
Total OI2,255,815.7732,155,0812,314,1242,155,0812,282,409

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$67.87$67.5026.5%7.3%28.5%11.0%26.0%3.2%-0.3%-6.4M350.1M-25.7M0.473.6161,08628,764984,4261,170,655
2021-08-03$68.92$68.0026.3%7.3%26.9%10.5%26.0%3.4%-0.8%7.0M-146.7M-25.7M0.462.6438,37317,4751,011,6181,191,348
2021-08-04$68.67$68.0026.6%7.4%26.8%11.7%26.1%3.4%-0.4%5.5M9.0M-26.4M1.022.7529,04429,7621,030,5831,207,729
2021-08-05$69.69$70.0025.3%7.4%26.0%6.1%26.1%2.9%0.0%22.9M-425.8M-26.4M0.712.1641,59829,4911,038,4391,212,699
2021-08-06$71.16$70.0025.3%7.5%25.0%6.4%26.8%2.4%0.1%30.2M-1.16B-26.1M0.521.7585,85544,3321,043,5851,223,904
2021-08-09$71.58$70.0025.6%7.4%24.5%7.4%27.0%2.2%0.1%26.6M-1.13B-26.5M0.622.9851,75432,3101,023,8731,203,835
2021-08-10$72.91$70.0025.2%7.4%24.5%5.9%26.8%2.3%0.8%39.6M-1.63B-26.6M0.651.8382,20553,7411,030,4711,206,577
2021-08-11$74.22$70.0024.8%7.2%24.6%4.3%25.9%1.9%0.5%46.9M-2.17B-25.9M0.341.94125,24242,4091,035,5171,219,075
2021-08-12$74.10$70.0024.3%7.1%24.7%2.3%25.3%2.0%0.5%50.4M-2.19B-26.0M0.422.3151,99922,0091,040,1841,229,062
2021-08-13$73.20$70.0024.4%7.2%23.2%2.5%25.5%2.6%1.3%35.2M-1.81B-25.8M0.851.9647,71540,3551,050,7041,230,307
2021-08-16$72.03$70.0025.4%7.3%21.4%6.7%27.2%2.9%0.6%23.3M-1.21B-25.3M1.052.0033,32434,8871,027,0831,217,150
2021-08-17$71.58$70.0026.8%7.7%20.5%12.2%28.8%4.1%0.3%19.3M-928.3M-25.9M0.642.3238,47824,6571,035,3501,232,632
2021-08-18$71.51$70.0026.6%7.6%19.4%11.4%27.6%3.2%0.4%19.7M-966.3M-26.0M0.532.6529,88215,7891,043,3271,242,330
2021-08-19$69.73$70.0028.7%8.2%21.1%20.1%30.2%4.9%0.4%1.5M-170.2M-26.0M0.632.9154,39134,1901,052,2541,245,233
2021-08-20$70.23$70.0026.5%7.5%21.0%11.1%26.7%3.9%0.6%6.3M-381.9M-25.6M0.602.1364,46638,7001,061,3031,252,821
2021-08-23$71.01$70.0025.6%7.2%20.7%7.6%28.0%3.4%0.3%7.0M-616.1M-25.5M0.602.3040,82524,3311,001,7121,188,140
2021-08-24$72.10$70.0025.1%7.0%21.2%5.5%25.3%3.9%0.5%22.8M-1.14B-25.0M0.522.4439,22320,2041,027,3691,204,578
2021-08-25$73.24$70.0025.3%7.1%21.7%6.0%25.0%3.2%0.5%44.8M-1.59B-26.0M0.322.4783,96726,5111,048,3091,220,425
2021-08-26$72.42$70.0025.5%7.3%22.2%7.0%26.3%3.3%0.4%37.9M-1.31B-25.4M0.742.8436,87027,3621,060,0371,229,547
2021-08-27$72.99$70.0023.5%6.5%20.7%0.0%23.3%2.9%0.7%75.5M-1.58B-25.1M0.662.8041,55627,5131,064,3121,236,872
2021-08-30$71.77$70.0024.3%6.7%22.0%3.4%25.3%2.9%0.5%17.1M-986.1M-24.7M0.862.6830,45526,2031,043,4101,226,753
2021-08-31$72.01$70.0024.4%6.6%21.5%3.8%23.9%3.4%0.5%20.5M-1.06B-24.3M0.632.8124,52015,4771,049,0101,233,399