C Options History — October 2021

In October 2021, C traded between $69.25 and $72.69. ATM implied volatility averaged 25.1%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.6% (HV 20d: 24.5%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2021-10-28: Highest Volume — 792,671 contracts
  • 2021-10-14: Largest IV drop — 16.1% change
  • 2021-10-04: Highest IV Rank — 33.3%
  • 2021-10-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.29$69.25$72.69$71.42$69.25
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV25.1%21.3%31.8%30.3%23.3%
Expected Move7.1%6.1%9.0%9.0%6.9%
HV 20d24.5%17.3%30.6%29.8%18.2%
HV 60d23.8%23.0%25.5%25.5%23.3%
IV Rank10.9%0.0%33.3%27.4%7.5%
IV Percentile17.0%0.0%46.8%43.7%4.4%
Term Structure-0.2%-1.2%0.6%-0.5%0.5%
VWIV25.4%19.8%31.9%31.9%24.7%
Skew 25d3.1%1.1%6.2%5.9%2.5%
Skew 10d5.6%1.9%12.5%12.5%6.3%
Call IV 25d24.2%21.0%28.9%28.0%22.7%
Put IV 25d27.3%22.5%35.1%34.0%25.2%
Bid-Ask Spread %3.022.237.632.523.66
Gamma HHI0.080.070.130.080.08
Net GEX17.9M-31.1M73.9M19.4M-31.1M
Net DEX-703.3M-1.47B547.7M-874.7M547.7M
Net VEX-22.6M-24.5M-20.9M-24.5M-23.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.051.080.640.49
Total Volume145,845.14362,072792,67162,072303,328
Total OI2,216,358.5242,014,0692,343,1942,259,0392,227,790

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$71.42$70.0030.3%9.0%29.8%27.4%31.9%5.9%-0.5%19.4M-874.7M-24.5M0.642.5237,78224,2901,030,3001,228,739
2021-10-04$71.26$70.0031.8%8.4%29.9%33.3%30.1%6.2%-1.2%20.3M-813.5M-23.8M0.773.3254,92542,3241,011,7411,195,830
2021-10-05$72.69$70.0029.2%8.2%30.6%22.9%29.9%5.7%-0.5%41.8M-1.47B-23.7M0.543.1450,33927,4291,019,3491,197,594
2021-10-06$72.28$70.0030.7%8.5%30.3%29.0%29.1%5.6%-0.7%35.9M-1.28B-23.7M0.512.5942,32821,3781,023,3481,210,822
2021-10-07$72.12$70.0028.6%7.9%30.2%21.2%28.4%4.9%-0.3%35.1M-1.20B-23.2M1.082.4631,58833,9831,035,4581,217,438
2021-10-08$72.37$70.0027.5%7.7%29.4%16.6%27.5%4.2%-0.6%35.5M-1.34B-23.0M0.592.4659,44134,7781,038,3601,227,417
2021-10-11$71.81$70.0028.3%7.9%29.4%20.0%28.6%4.3%-0.5%29.3M-1.08B-22.6M0.703.0566,35646,5931,015,8111,208,385
2021-10-12$70.49$70.0028.8%8.1%28.7%22.3%28.5%4.2%-0.2%10.9M-423.8M-22.3M0.552.5658,49332,4291,028,5201,221,015
2021-10-13$70.34$70.0027.2%7.8%26.7%15.6%27.9%3.6%-0.5%7.6M-325.0M-21.8M0.712.6378,02055,7381,049,0221,241,185
2021-10-14$70.60$70.0022.9%6.5%26.6%0.0%24.1%2.8%-0.4%10.7M-482.6M-20.9M0.882.23113,09199,3951,060,1861,253,100
2021-10-15$72.31$70.0021.8%6.2%27.9%0.0%22.5%2.3%-0.4%73.9M-1.37B-21.3M0.692.43110,73476,1041,067,8691,275,325
2021-10-18$71.78$70.0022.3%6.3%22.2%2.1%22.9%1.6%-0.1%14.6M-799.6M-21.4M0.772.9946,62135,705896,2771,117,792
2021-10-19$71.60$70.0021.7%6.2%22.3%0.0%22.1%1.4%-0.0%13.2M-697.8M-21.7M0.492.9463,32530,841923,0231,138,684
2021-10-20$71.60$70.0021.4%6.1%21.2%0.0%21.8%1.7%0.1%16.4M-706.8M-21.9M0.792.6250,15339,520963,0691,170,342
2021-10-21$70.52$70.0021.9%6.3%18.7%2.0%22.7%1.3%-0.1%-7.1M-290.9M-21.9M0.842.5968,76758,096987,2591,189,405
2021-10-22$71.46$70.0021.9%6.3%19.2%2.1%22.3%1.3%-0.4%17.7M-721.5M-22.5M0.802.6950,87540,7271,007,6981,209,310
2021-10-25$70.85$70.0021.8%6.3%18.5%1.5%22.6%1.3%0.3%2.3M-394.1M-22.7M0.772.8446,21035,411977,6201,192,238
2021-10-26$70.97$70.0021.3%6.2%18.2%0.0%22.6%1.1%0.6%15.4M-448.1M-22.8M0.832.7543,24935,716997,1601,207,162
2021-10-27$70.51$70.0021.7%6.4%18.3%1.6%22.7%1.1%0.5%7.2M-266.6M-22.5M0.633.3876,14947,8461,005,6571,217,760
2021-10-28$70.80$70.0022.3%6.6%17.3%3.6%19.8%1.2%0.5%7.1M-340.3M-23.1M0.057.63753,00539,6661,018,0791,240,390
2021-10-29$69.25$70.0023.3%6.9%18.2%7.5%24.7%2.5%0.5%-31.1M547.7M-23.4M0.493.66203,97899,350975,1581,252,632