C Options History — September 2021 In September 2021, C traded between $67.01 and $72.37. ATM implied volatility averaged 28.0%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.2% (HV 20d: 23.8%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2021-09-14 : Highest Volume — 223,972 contracts2021-09-20 : Largest IV spike — 21.2% change2021-09-20 : Highest IV Rank — 43.1%2021-09-20 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $70.30 $67.01 $72.37 $71.37 $70.37 Max Pain $70.00 $70.00 $70.00 $70.00 $70.00 ATM IV 28.0% 23.9% 34.2% 24.4% 32.3% Expected Move 8.2% 6.6% 10.0% 6.6% 9.6% HV 20d 23.8% 18.0% 29.3% 21.8% 29.3% HV 60d 25.4% 23.3% 26.4% 26.1% 25.8% IV Rank 18.1% 1.6% 43.1% 3.6% 35.7% IV Percentile 27.5% 0.8% 52.8% 2.4% 47.2% Term Structure 0.3% -1.4% 2.1% 0.5% -0.8% VWIV 29.1% 23.5% 35.7% 23.5% 35.7% Skew 25d 5.5% 3.3% 9.7% 3.7% 6.2% Skew 10d 13.0% 8.1% 28.2% 8.1% 11.9% Call IV 25d 26.3% 22.7% 30.8% 23.2% 29.7% Put IV 25d 31.8% 26.1% 40.5% 26.9% 35.9% Bid-Ask Spread % 2.72 1.77 7.37 3.09 2.60 Gamma HHI 0.08 0.06 0.17 0.06 0.08 Net GEX -3.8M -50.6M 33.0M 9.3M 5.3M Net DEX -349.4M -1.13B 730.0M -736.0M -430.1M Net VEX -24.0M -24.9M -22.9M -24.7M -24.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.42 1.40 0.55 0.50 Total Volume 89,523.381 41,648 223,972 41,648 67,073 Total OI 2,268,501.429 2,052,185 2,518,409 2,306,111 2,243,421
Daily Data (21 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 2021-09-01 $71.37 $70.00 24.4% 6.6% 21.8% 3.6% 23.5% 3.7% 0.5% 9.3M -736.0M -24.7M 0.55 3.09 26,922 14,726 1,058,804 1,247,307 2021-09-02 $71.23 $70.00 24.2% 7.6% 21.3% 2.9% 27.1% 3.3% 0.6% 8.6M -710.3M -24.4M 0.76 2.30 38,918 29,748 1,066,113 1,249,948 2021-09-03 $71.16 $70.00 23.9% 7.5% 19.9% 1.6% 25.9% 3.4% 0.6% 17.9M -672.4M -23.8M 0.43 1.94 60,905 26,407 1,069,479 1,255,363 2021-09-07 $70.94 $70.00 25.3% 7.8% 19.8% 7.1% 26.9% 3.3% 1.9% -6.4M -499.8M -24.2M 0.70 2.18 30,967 21,757 1,039,102 1,244,891 2021-09-08 $70.06 $70.00 25.5% 7.7% 19.0% 8.0% 27.0% 5.1% 1.5% -20.6M -137.9M -23.6M 0.83 7.37 29,112 24,029 1,047,415 1,251,721 2021-09-09 $70.74 $70.00 25.1% 7.7% 18.0% 6.6% 26.8% 4.1% 2.1% -10.1M -428.4M -23.3M 0.42 2.20 39,257 16,316 1,058,941 1,258,721 2021-09-10 $69.55 $70.00 26.6% 8.0% 18.7% 12.6% 28.6% 4.4% 1.8% -29.7M 89.4M -23.4M 0.63 2.02 64,524 40,954 1,066,329 1,267,594 2021-09-13 $70.44 $70.00 27.6% 8.0% 19.2% 16.4% 28.8% 6.1% -0.2% -15.3M -304.7M -22.9M 0.70 1.91 37,855 26,668 1,054,550 1,257,467 2021-09-14 $68.72 $70.00 30.3% 8.8% 20.3% 27.5% 28.5% 5.9% -1.4% -32.9M 416.5M -23.6M 0.83 5.95 122,407 101,565 1,085,415 1,272,510 2021-09-15 $70.77 $70.00 28.5% 8.2% 23.1% 20.3% 28.6% 6.1% -1.0% -7.7M -542.8M -23.3M 1.23 1.77 66,092 81,489 1,096,097 1,281,651 2021-09-16 $70.26 $70.00 27.5% 7.9% 23.2% 16.3% 27.7% 5.2% -0.1% -23.1M -261.6M -23.9M 0.73 2.54 38,120 27,927 1,154,727 1,313,209 2021-09-17 $70.10 $70.00 28.2% 8.1% 21.4% 18.9% 28.7% 6.3% -0.2% -50.6M -224.0M -24.3M 1.10 2.17 42,550 46,879 1,179,067 1,339,342 2021-09-20 $67.01 $70.00 34.2% 10.0% 26.6% 43.1% 35.7% 9.7% -0.5% -19.3M 702.5M -23.4M 1.11 2.50 65,786 73,243 941,950 1,110,235 2021-09-21 $67.19 $70.00 31.8% 9.4% 26.2% 33.5% 33.1% 9.1% 0.5% -23.0M 730.0M -23.2M 1.11 2.56 44,590 49,308 950,573 1,120,085 2021-09-22 $68.65 $70.00 28.5% 8.3% 26.9% 20.0% 30.0% 7.5% 0.5% -12.0M 263.1M -23.8M 0.86 2.13 55,636 47,833 972,498 1,160,035 2021-09-23 $70.94 $70.00 27.8% 7.9% 29.0% 17.3% 27.8% 4.9% 0.8% 15.2M -665.3M -24.7M 0.75 2.72 65,767 49,223 983,930 1,184,476 2021-09-24 $71.22 $70.00 27.4% 7.8% 28.8% 15.8% 27.1% 5.2% 0.2% 33.0M -856.2M -24.6M 0.62 2.14 42,406 26,126 997,277 1,197,201 2021-09-27 $72.37 $70.00 28.0% 7.8% 29.3% 18.0% 28.2% 4.7% 0.0% 31.2M -1.13B -24.9M 0.58 2.38 52,598 30,369 983,834 1,181,735 2021-09-28 $71.62 $70.00 30.0% 8.8% 28.9% 26.3% 32.1% 5.8% -0.4% 25.4M -983.4M -24.4M 1.40 2.61 40,823 57,053 999,508 1,189,079 2021-09-29 $71.59 $70.00 30.5% 8.9% 28.9% 28.3% 32.4% 5.1% -0.1% 25.2M -958.3M -24.8M 0.80 2.08 31,096 24,967 1,011,460 1,195,470 2021-09-30 $70.37 $70.00 32.3% 9.6% 29.3% 35.7% 35.7% 6.2% -0.8% 5.3M -430.1M -24.4M 0.50 2.60 44,736 22,337 1,022,230 1,221,191
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