C Options History — July 2022 In July 2022, C traded between $43.95 and $52.58. ATM implied volatility averaged 35.4%, placing in the 51.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 10.6% (HV 20d: 46.0%). Max pain ranged from $47.50 to $52.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.92.
Notable Days 2022-07-15 : Highest Volume — 604,436 contracts2022-07-27 : Largest IV drop — 8.2% change2022-07-05 : Highest IV Rank — 77.0%2022-07-12 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $49.24 $43.95 $52.58 $46.95 $51.92 Max Pain $50.13 $47.50 $52.50 $47.50 $52.50 ATM IV 35.4% 28.3% 42.3% 40.0% 28.3% Expected Move 9.9% 7.8% 11.5% 11.5% 7.8% HV 20d 46.0% 29.3% 56.0% 38.0% 53.5% HV 60d 43.7% 38.7% 48.2% 38.9% 47.3% IV Rank 51.8% 25.5% 77.0% 68.7% 25.5% IV Percentile 73.4% 40.9% 95.6% 90.5% 40.9% Term Structure -0.3% -1.6% 1.1% -1.6% 0.4% VWIV 35.4% 27.4% 41.6% 41.6% 28.3% Skew 25d 6.6% 4.6% 8.8% 7.4% 5.4% Skew 10d 12.5% 8.7% 16.5% 14.8% 10.0% Call IV 25d 33.0% 26.2% 37.9% 37.2% 26.2% Put IV 25d 39.6% 31.5% 46.5% 44.6% 31.5% Bid-Ask Spread % 2.65 1.93 3.54 2.21 3.32 Gamma HHI 0.10 0.06 0.28 0.08 0.28 Net GEX -17.2M -69.8M 20.4M -29.5M -69.8M Net DEX 2.01B 871.3M 3.55B 2.73B 1.56B Net VEX -25.2M -28.1M -19.6M -23.6M -27.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.58 1.32 0.94 0.71 Total Volume 150,784.05 70,329 604,436 99,106 128,171 Total OI 2,728,714.25 2,554,776 2,860,147 2,762,146 2,726,468
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 2022-07-01 $46.95 $47.50 40.0% 11.5% 38.0% 68.7% 41.6% 7.4% -1.6% -29.5M 2.73B -23.6M 0.94 2.21 51,053 48,053 1,291,536 1,470,610 2022-07-05 $46.47 $50.00 42.3% 11.0% 37.9% 77.0% 41.4% 8.8% -1.4% -31.8M 2.87B -22.8M 0.96 2.41 50,693 48,594 1,267,169 1,458,326 2022-07-06 $46.35 $50.00 41.8% 10.9% 37.9% 75.0% 40.2% 8.5% -1.5% -30.8M 2.87B -22.9M 1.12 2.12 39,139 43,735 1,284,393 1,471,843 2022-07-07 $46.96 $50.00 39.1% 10.5% 37.8% 65.2% 37.3% 7.9% -1.2% -26.2M 2.73B -23.5M 0.58 1.93 69,793 40,613 1,298,629 1,485,544 2022-07-08 $47.02 $50.00 38.2% 10.3% 37.7% 61.8% 38.2% 7.3% -1.0% -12.0M 2.67B -23.3M 1.13 2.30 39,989 45,095 1,328,462 1,486,558 2022-07-11 $46.13 $50.00 40.1% 11.4% 37.4% 68.7% 39.1% 8.1% 0.1% -30.5M 2.94B -22.1M 1.32 2.15 30,273 40,056 1,293,223 1,470,006 2022-07-12 $46.18 $50.00 40.2% 11.5% 33.6% 69.2% 38.5% 7.7% 0.2% -31.7M 2.94B -22.2M 1.24 2.08 53,787 66,496 1,298,961 1,485,099 2022-07-13 $45.54 $50.00 40.0% 11.4% 29.3% 68.7% 38.8% 7.7% -0.2% -36.2M 3.10B -21.7M 0.71 2.68 94,104 66,359 1,294,421 1,484,460 2022-07-14 $43.95 $50.00 39.5% 10.9% 31.7% 66.5% 39.6% 7.2% -1.6% -43.4M 3.55B -19.6M 0.83 1.96 111,810 93,269 1,307,789 1,484,547 2022-07-15 $49.96 $50.00 36.4% 10.2% 54.6% 55.2% 36.1% 5.0% -0.8% 14.2M 1.32B -26.6M 0.81 2.44 334,445 269,991 1,345,520 1,514,627 2022-07-18 $50.03 $50.00 35.2% 10.0% 54.1% 50.9% 36.3% 6.0% -0.1% -11.5M 1.68B -26.6M 0.64 3.38 118,827 76,551 1,159,912 1,394,864 2022-07-19 $52.37 $50.00 33.0% 9.4% 56.0% 43.0% 35.1% 6.2% 0.2% 14.2M 871.3M -28.1M 0.70 2.43 101,636 70,844 1,215,475 1,418,586 2022-07-20 $52.26 $50.00 31.8% 9.1% 55.4% 38.5% 33.2% 6.1% 0.8% 18.9M 915.2M -28.0M 1.23 3.15 42,039 51,736 1,244,569 1,433,521 2022-07-21 $52.45 $50.00 30.0% 8.5% 54.9% 31.8% 31.1% 6.0% 1.1% 20.4M 915.9M -27.8M 1.16 3.54 34,374 39,712 1,249,055 1,452,915 2022-07-22 $51.76 $50.00 30.1% 8.6% 54.6% 32.3% 30.8% 5.8% 0.3% -14.0M 1.27B -27.3M 0.65 3.11 84,360 54,581 1,256,080 1,478,394 2022-07-25 $52.28 $50.00 31.6% 8.9% 53.5% 37.6% 31.8% 5.4% -0.1% -5.1M 1.21B -28.0M 0.91 3.25 63,365 57,582 1,200,187 1,435,069 2022-07-26 $51.34 $50.00 32.4% 9.3% 54.1% 40.4% 32.9% 5.8% 0.2% -15.0M 1.58B -27.2M 1.18 2.30 59,031 69,399 1,216,851 1,444,856 2022-07-27 $52.58 $50.00 29.7% 8.5% 54.2% 30.8% 29.4% 5.4% -0.1% -3.8M 1.12B -27.8M 1.11 2.83 69,390 76,978 1,218,699 1,463,080 2022-07-28 $52.21 $52.50 29.2% 8.1% 54.3% 28.8% 27.4% 4.6% -0.0% -21.1M 1.38B -27.6M 0.59 3.48 113,303 66,455 1,244,785 1,499,196 2022-07-29 $51.92 $52.50 28.3% 7.8% 53.5% 25.5% 28.3% 5.4% 0.4% -69.8M 1.56B -27.9M 0.71 3.32 75,044 53,127 1,216,970 1,509,498
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