C Options History — December 2021

In December 2021, C traded between $58.02 and $63.83. ATM implied volatility averaged 28.2%, placing in the 32.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.5% (HV 20d: 21.7%). Max pain ranged from $62.50 to $70.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2021-12-10: Highest Volume — 225,644 contracts
2021-12-07: Largest IV drop — 13.5% change
2021-12-03: Highest IV Rank — 64.7%
2021-12-03: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.01	$58.02	$63.83	$63.16	$60.52
Max Pain	$65.80	$62.50	$70.00	$70.00	$62.50
ATM IV	28.2%	25.0%	34.9%	32.7%	25.3%
Expected Move	8.2%	7.1%	10.8%	9.9%	7.2%
HV 20d	21.7%	18.8%	24.9%	22.1%	22.3%
HV 60d	21.9%	20.2%	23.9%	23.8%	20.5%
IV Rank	32.7%	17.4%	64.7%	54.2%	19.0%
IV Percentile	43.9%	15.5%	78.2%	65.9%	21.0%
Term Structure	0.8%	-1.0%	7.4%	-0.2%	0.5%
VWIV	29.6%	25.1%	46.3%	36.2%	26.1%
Skew 25d	4.3%	2.5%	9.1%	7.0%	2.5%
Skew 10d	10.1%	5.4%	20.2%	15.2%	5.4%
Call IV 25d	27.2%	24.1%	33.0%	31.0%	24.7%
Put IV 25d	31.5%	27.2%	42.1%	38.0%	27.2%
Bid-Ask Spread %	3.18	2.00	5.43	2.93	2.59
Gamma HHI	0.10	0.07	0.16	0.09	0.09
Net GEX	-63.3M	-92.2M	-42.3M	-62.1M	-42.3M
Net DEX	3.12B	2.41B	4.18B	2.69B	2.46B
Net VEX	-25.1M	-26.1M	-23.4M	-25.7M	-25.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.22	1.59	0.83	0.71
Total Volume	134,448.955	80,512	225,644	119,423	91,814
Total OI	2,830,967.909	2,685,178	3,150,252	2,688,524	2,859,446

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
2021-12-01	$63.16	$70.00	32.7%	9.9%	22.1%	54.2%	36.2%	7.0%	-0.2%	-62.1M	2.69B	-25.7M	0.83	2.93	65,194	54,229	1,170,609	1,517,915
2021-12-02	$63.83	$70.00	32.0%	9.5%	22.4%	51.0%	33.8%	5.7%	-0.3%	-58.5M	2.52B	-25.9M	1.35	3.48	46,745	62,915	1,184,202	1,538,182
2021-12-03	$62.66	$70.00	34.9%	10.8%	20.4%	64.7%	46.3%	9.1%	-0.0%	-60.6M	2.94B	-25.9M	1.59	3.03	39,546	62,990	1,190,880	1,556,366
2021-12-06	$62.54	$67.50	31.0%	9.3%	20.3%	46.3%	33.1%	6.4%	1.3%	-70.0M	3.03B	-24.9M	0.45	2.74	65,942	29,850	1,159,882	1,564,167
2021-12-07	$62.81	$67.50	26.9%	8.2%	18.9%	26.4%	28.8%	5.9%	3.1%	-72.2M	3.02B	-24.4M	0.65	4.81	84,969	55,528	1,175,729	1,578,807
2021-12-08	$62.51	$67.50	26.2%	8.0%	18.9%	23.1%	28.8%	3.1%	1.8%	-70.3M	3.12B	-24.3M	0.83	3.48	83,407	69,520	1,200,324	1,579,537
2021-12-09	$62.35	$67.50	27.3%	8.0%	18.8%	28.3%	28.9%	3.6%	1.4%	-71.7M	3.28B	-24.1M	0.87	2.00	99,212	86,661	1,225,089	1,601,069
2021-12-10	$60.60	$67.50	26.4%	8.0%	19.5%	23.9%	27.8%	3.4%	1.7%	-92.2M	4.02B	-23.5M	0.97	2.24	114,310	111,334	1,253,431	1,639,166
2021-12-13	$60.16	$67.50	28.1%	8.0%	19.4%	32.1%	28.9%	3.5%	-0.3%	-89.5M	4.03B	-23.4M	0.95	5.43	66,319	63,074	1,251,102	1,660,566
2021-12-14	$60.71	$65.00	29.1%	8.3%	20.2%	37.2%	28.7%	3.6%	-0.2%	-80.4M	3.76B	-24.5M	0.78	2.59	71,720	55,675	1,272,269	1,681,048
2021-12-15	$60.04	$65.00	28.1%	7.9%	20.2%	32.2%	27.8%	3.4%	-0.5%	-86.3M	4.02B	-24.7M	0.94	4.66	99,330	92,875	1,301,722	1,703,821
2021-12-16	$61.11	$65.00	29.1%	8.3%	21.7%	36.8%	28.6%	3.1%	-0.4%	-47.9M	3.52B	-26.1M	0.56	2.77	125,411	70,033	1,353,586	1,729,798
2021-12-17	$59.66	$65.00	29.5%	8.3%	22.6%	38.9%	30.0%	4.2%	-1.0%	-61.6M	4.18B	-26.0M	0.70	3.91	107,919	75,088	1,393,884	1,756,368
2021-12-20	$58.02	$65.00	31.4%	8.9%	23.8%	48.1%	31.2%	6.0%	0.0%	-65.9M	3.49B	-24.5M	0.43	2.79	141,537	60,872	1,151,515	1,533,663
2021-12-21	$59.40	$65.00	28.1%	8.0%	24.6%	32.3%	28.4%	4.7%	-0.4%	-56.2M	2.99B	-25.7M	0.57	3.30	66,474	37,585	1,187,240	1,553,390
2021-12-22	$59.54	$65.00	26.5%	7.6%	23.9%	24.5%	27.8%	3.6%	-0.9%	-56.8M	2.98B	-25.6M	0.45	2.50	69,917	31,802	1,202,836	1,575,070
2021-12-23	$60.32	$65.00	25.0%	7.1%	24.9%	17.4%	25.1%	3.2%	0.3%	-47.8M	2.67B	-25.5M	0.52	2.33	70,206	36,154	1,223,061	1,584,967
2021-12-27	$60.53	$62.50	25.7%	7.3%	23.6%	20.9%	26.4%	3.4%	7.4%	-53.8M	2.51B	-25.6M	0.39	4.48	79,594	30,826	1,195,071	1,563,212
2021-12-28	$60.78	$62.50	25.9%	7.4%	23.8%	21.6%	26.4%	2.9%	2.0%	-50.4M	2.41B	-25.8M	0.22	2.58	96,409	21,366	1,196,924	1,569,197
2021-12-29	$60.62	$62.50	25.3%	7.2%	23.2%	19.0%	25.9%	2.9%	1.4%	-44.5M	2.42B	-25.5M	0.57	2.99	51,241	29,271	1,237,944	1,573,839
2021-12-30	$60.42	$62.50	25.9%	7.3%	22.8%	21.7%	25.6%	2.6%	1.3%	-51.8M	2.52B	-25.5M	0.72	2.36	48,393	34,620	1,252,270	1,582,130
2021-12-31	$60.52	$62.50	25.3%	7.2%	22.3%	19.0%	26.1%	2.5%	0.5%	-42.3M	2.46B	-25.3M	0.71	2.59	53,768	38,046	1,265,788	1,593,658