C Options History — June 2022

In June 2022, C traded between $45.57 and $52.60. ATM implied volatility averaged 38.1%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 4.9% (HV 20d: 43.0%). Max pain ranged from $47.50 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2022-06-24: Highest Volume — 172,707 contracts
  • 2022-06-13: Largest IV spike — 19.0% change
  • 2022-06-13: Highest IV Rank — 87.7%
  • 2022-06-13: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.54$45.57$52.60$52.60$46.03
Max Pain$49.64$47.50$55.00$55.00$47.50
ATM IV38.1%31.4%45.2%33.5%41.6%
Expected Move11.1%9.3%13.1%10.1%11.9%
HV 20d43.0%35.3%50.1%50.1%36.9%
HV 60d37.4%35.2%39.5%36.0%38.8%
IV Rank61.7%37.0%87.7%44.7%74.3%
IV Percentile88.5%70.6%99.2%81.7%94.4%
Term Structure-0.3%-2.4%2.8%-0.3%-2.0%
VWIV39.8%32.8%46.4%35.5%42.2%
Skew 25d7.3%5.3%9.3%6.5%8.3%
Skew 10d14.6%11.5%18.5%12.1%15.0%
Call IV 25d35.2%29.1%41.6%31.5%38.0%
Put IV 25d42.5%34.3%50.9%37.9%46.3%
Bid-Ask Spread %2.411.723.483.483.16
Gamma HHI0.090.070.110.080.09
Net GEX-29.8M-44.1M-12.9M-12.9M-36.6M
Net DEX2.89B2.02B4.07B2.02B3.02B
Net VEX-25.1M-29.4M-22.5M-29.4M-22.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.451.020.580.84
Total Volume106,879.28665,940172,707116,68177,534
Total OI2,969,1672,525,9153,247,2203,106,1882,743,030

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$52.60$55.0033.5%10.1%50.1%44.7%35.5%6.5%-0.3%-12.9M2.02B-29.4M0.583.4873,99842,6831,452,2541,653,934
2022-06-02$52.18$50.0032.0%9.3%48.1%39.3%33.2%6.3%-1.1%-18.0M2.19B-28.5M0.702.1945,49731,6921,460,3311,660,379
2022-06-03$51.39$50.0033.1%9.4%47.8%43.1%35.4%6.4%-0.8%-22.3M2.55B-27.6M0.752.1660,34145,4781,474,5851,671,404
2022-06-06$51.46$50.0033.1%9.4%47.7%43.1%34.1%6.2%-0.2%-22.7M2.48B-27.7M0.711.9940,70628,9921,462,3661,660,331
2022-06-07$52.18$50.0031.4%9.4%46.5%37.0%32.8%5.3%1.5%-14.3M2.19B-28.3M0.591.7241,63524,7391,473,3721,668,460
2022-06-08$51.37$50.0032.4%9.5%45.3%40.6%34.0%5.9%0.7%-21.7M2.42B-27.6M0.902.3937,75434,0061,492,2821,657,437
2022-06-09$50.17$50.0034.5%10.3%45.9%48.5%37.0%6.5%1.6%-36.6M2.92B-26.7M1.011.9339,37839,8171,497,3071,665,352
2022-06-10$47.82$50.0038.0%11.4%48.0%61.2%40.4%7.1%2.8%-43.4M3.66B-24.8M0.822.0171,27858,1171,508,6531,670,690
2022-06-13$45.57$50.0045.2%13.1%49.9%87.7%46.4%9.3%-2.4%-42.7M4.07B-22.5M1.022.2659,72160,9741,495,2411,658,808
2022-06-14$45.88$50.0043.5%12.5%49.9%81.2%45.2%8.6%-2.2%-44.1M4.04B-22.6M0.973.0859,46457,5661,519,3751,675,736
2022-06-15$47.69$50.0040.0%11.5%43.3%68.4%41.1%7.2%-1.5%-40.6M3.49B-24.3M0.663.3472,66547,6991,535,3421,675,169
2022-06-16$46.83$50.0042.0%12.1%41.6%76.0%44.7%8.9%-0.2%-39.3M3.67B-23.8M0.892.4188,07778,7361,564,3981,668,610
2022-06-17$46.59$50.0040.4%11.6%41.0%69.9%41.4%8.6%0.0%-29.6M3.71B-23.4M0.982.2052,19751,1071,572,4471,674,773
2022-06-21$47.96$50.0038.4%11.4%42.5%62.8%42.6%7.3%0.9%-28.2M2.43B-24.4M0.742.2164,77148,1111,144,2891,381,626
2022-06-22$47.25$50.0040.9%12.2%35.3%71.7%42.6%7.8%0.5%-28.1M2.60B-23.7M0.882.1964,30056,4371,169,4431,400,355
2022-06-23$46.30$48.5042.5%12.5%35.6%77.7%44.6%8.2%0.0%-31.3M2.86B-22.9M1.002.0061,19761,0911,195,7981,425,137
2022-06-24$47.91$47.5038.3%11.2%38.4%62.4%40.0%7.0%1.0%-28.7M2.42B-24.6M0.592.39108,85163,8561,217,7991,451,879
2022-06-27$47.83$48.0039.5%11.6%36.8%66.6%41.5%7.6%-1.0%-27.2M2.49B-24.0M0.452.6086,26938,9271,207,4421,437,047
2022-06-28$47.21$48.0040.5%11.7%36.8%70.2%40.4%7.4%-1.4%-27.9M2.70B-23.6M0.522.4367,66535,1991,246,6471,451,186
2022-06-29$47.07$48.0040.2%11.5%36.7%69.1%40.2%7.6%-1.2%-29.7M2.75B-23.3M0.522.5243,41722,5231,255,8711,455,922
2022-06-30$46.03$47.5041.6%11.9%36.9%74.3%42.2%8.3%-2.0%-36.6M3.02B-22.5M0.843.1642,06235,4721,277,1331,465,897