C Options History — January 2022

In January 2022, C traded between $62.30 and $67.65. ATM implied volatility averaged 28.8%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 1.3% (HV 20d: 27.5%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.61.

Notable Days

2022-01-13: Highest Volume — 281,947 contracts
2022-01-21: Largest IV spike — 11.4% change
2022-01-27: Highest IV Rank — 58.1%
2022-01-27: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.90	$62.30	$67.65	$63.12	$65.07
Max Pain	$64.63	$62.50	$65.00	$62.50	$65.00
ATM IV	28.8%	25.5%	32.9%	26.7%	27.8%
Expected Move	8.2%	7.3%	9.8%	7.4%	8.1%
HV 20d	27.5%	24.3%	29.9%	26.6%	28.9%
HV 60d	23.9%	22.4%	25.3%	22.4%	24.9%
IV Rank	36.1%	19.9%	58.1%	25.4%	35.2%
IV Percentile	56.0%	24.2%	80.6%	40.1%	51.2%
Term Structure	-0.4%	-1.3%	0.4%	0.0%	0.4%
VWIV	29.4%	26.0%	35.8%	27.0%	29.4%
Skew 25d	3.1%	0.9%	6.8%	2.1%	4.4%
Skew 10d	5.4%	-9.1%	13.9%	3.3%	9.4%
Call IV 25d	28.0%	24.9%	30.9%	26.1%	27.0%
Put IV 25d	31.2%	27.1%	37.1%	28.2%	31.5%
Bid-Ask Spread %	3.18	1.95	5.41	2.60	4.29
Gamma HHI	0.09	0.06	0.15	0.08	0.08
Net GEX	-14.3M	-67.0M	37.1M	-24.3M	-19.4M
Net DEX	556.9M	-1.10B	1.78B	1.21B	849.9M
Net VEX	-27.1M	-28.4M	-25.7M	-26.9M	-27.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.28	1.12	0.42	0.78
Total Volume	176,604.95	89,367	281,947	199,354	115,308
Total OI	2,687,042.05	2,030,970	2,999,593	2,811,361	2,167,248

Daily Data (20 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
2022-01-03	$63.12	$62.50	26.7%	7.4%	26.6%	25.4%	27.0%	2.1%	0.0%	-24.3M	1.21B	-26.9M	0.42	2.60	140,127	59,227	1,236,819	1,574,542
2022-01-04	$63.84	$62.50	26.9%	7.6%	26.9%	26.7%	26.9%	2.5%	-0.7%	-21.7M	947.8M	-27.0M	0.28	2.36	171,893	48,143	1,241,050	1,579,362
2022-01-05	$62.91	$62.50	29.0%	8.1%	27.4%	36.5%	29.2%	2.4%	-0.7%	-21.7M	1.40B	-27.2M	0.67	3.09	68,489	45,696	1,271,900	1,594,861
2022-01-06	$65.02	$65.00	28.8%	8.0%	29.7%	35.7%	28.2%	2.0%	-0.8%	-1.9M	269.2M	-28.1M	0.45	2.41	142,231	64,091	1,288,286	1,615,193
2022-01-07	$65.84	$65.00	28.6%	8.0%	29.9%	34.9%	28.5%	1.4%	-0.9%	15.6M	-166.3M	-28.2M	0.37	2.56	191,420	70,501	1,308,648	1,642,293
2022-01-10	$65.89	$65.00	30.3%	8.4%	27.5%	42.9%	30.0%	1.5%	-0.5%	-5.4M	-12.8M	-28.4M	0.46	2.59	104,874	47,908	1,288,658	1,612,231
2022-01-11	$67.01	$65.00	27.8%	7.7%	27.5%	30.9%	27.6%	1.0%	-0.9%	14.4M	-756.6M	-27.8M	0.46	2.73	103,870	48,090	1,319,585	1,618,642
2022-01-12	$67.28	$65.00	28.2%	7.8%	27.5%	32.7%	27.7%	1.2%	-1.0%	13.0M	-844.4M	-27.5M	0.41	2.70	117,509	48,208	1,307,131	1,622,611
2022-01-13	$67.65	$65.00	28.3%	7.9%	26.8%	33.5%	28.3%	0.9%	-0.8%	24.1M	-1.10B	-27.6M	0.45	3.33	193,973	87,974	1,323,072	1,629,614
2022-01-14	$66.91	$65.00	25.5%	7.3%	27.1%	19.9%	26.0%	2.3%	-0.4%	37.1M	-547.2M	-26.6M	0.63	2.38	129,372	80,874	1,342,590	1,657,003
2022-01-18	$65.24	$65.00	26.6%	7.6%	27.3%	25.1%	27.0%	2.1%	-0.3%	-33.4M	425.7M	-26.2M	0.70	1.95	92,563	64,367	1,303,968	1,632,058
2022-01-19	$64.49	$65.00	26.1%	7.5%	25.2%	22.8%	26.4%	3.2%	0.2%	-44.0M	866.2M	-25.8M	0.88	2.22	127,995	112,457	1,316,107	1,640,967
2022-01-20	$64.68	$65.00	26.8%	7.7%	24.3%	25.9%	27.0%	2.6%	-0.5%	-48.2M	1.01B	-26.0M	0.47	2.36	113,157	52,870	1,297,489	1,634,148
2022-01-21	$63.08	$65.00	29.8%	8.7%	26.4%	40.4%	29.6%	4.2%	-1.3%	-67.0M	1.72B	-25.7M	1.00	2.74	108,412	107,910	1,335,007	1,646,676
2022-01-24	$62.30	$65.00	32.6%	9.5%	26.7%	53.8%	34.6%	6.8%	0.3%	-39.2M	1.78B	-25.7M	1.07	4.71	75,236	80,839	848,418	1,182,552
2022-01-25	$64.31	$65.00	32.5%	9.6%	28.8%	53.3%	35.8%	6.2%	-0.1%	-21.0M	1.12B	-27.5M	0.35	4.23	173,297	61,077	878,126	1,217,615
2022-01-26	$64.61	$65.00	30.6%	9.0%	28.8%	44.2%	32.3%	5.6%	-0.2%	-8.5M	889.5M	-27.8M	0.63	5.41	58,016	36,717	933,490	1,234,179
2022-01-27	$64.38	$65.00	32.9%	9.8%	28.8%	58.1%	34.9%	5.8%	-0.4%	-8.7M	1.00B	-28.0M	1.12	4.50	42,094	47,273	943,039	1,246,723
2022-01-28	$64.28	$65.00	30.1%	8.9%	28.7%	44.4%	31.3%	4.6%	0.2%	-24.9M	1.08B	-27.6M	0.66	4.44	58,907	39,134	947,156	1,261,784
2022-01-31	$65.07	$65.00	27.8%	8.1%	28.9%	35.2%	29.4%	4.4%	0.4%	-19.4M	849.9M	-27.3M	0.78	4.29	64,774	50,534	920,317	1,246,931