C Options History — September 2022

In September 2022, C traded between $41.81 and $50.83. ATM implied volatility averaged 37.5%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 11.1% (HV 20d: 26.4%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2022-09-23: Highest Volume — 255,972 contracts
2022-09-13: Largest IV spike — 12.9% change
2022-09-29: Highest IV Rank — 91.7%
2022-09-27: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.90	$41.81	$50.83	$48.58	$41.81
Max Pain	$50.71	$50.00	$52.50	$52.50	$50.00
ATM IV	37.5%	29.7%	46.3%	32.7%	44.4%
Expected Move	11.0%	9.2%	13.6%	9.3%	13.0%
HV 20d	26.4%	22.9%	29.4%	23.7%	29.4%
HV 60d	37.8%	36.5%	40.1%	40.1%	38.0%
IV Rank	59.3%	30.8%	91.7%	41.7%	84.7%
IV Percentile	78.7%	45.6%	99.6%	66.7%	96.8%
Term Structure	0.4%	-1.8%	2.6%	0.3%	1.0%
VWIV	38.0%	31.6%	47.8%	31.9%	45.7%
Skew 25d	7.1%	5.4%	9.3%	6.6%	9.3%
Skew 10d	13.6%	10.5%	18.2%	13.6%	17.1%
Call IV 25d	34.6%	26.9%	42.0%	30.6%	40.4%
Put IV 25d	41.6%	32.3%	51.0%	37.1%	49.8%
Bid-Ask Spread %	2.67	1.73	4.73	2.39	2.28
Gamma HHI	0.08	0.08	0.10	0.09	0.09
Net GEX	-36.9M	-46.6M	-23.2M	-37.4M	-44.1M
Net DEX	2.90B	1.84B	3.82B	2.65B	3.82B
Net VEX	-23.7M	-26.7M	-20.2M	-24.9M	-20.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.48	1.55	0.87	0.93
Total Volume	118,754.333	51,083	255,972	51,083	159,334
Total OI	2,897,707.19	2,657,364	3,131,707	2,819,005	3,131,707

Daily Data (21 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
2022-09-01	$48.58	$52.50	32.7%	9.3%	23.7%	41.7%	31.9%	6.6%	0.3%	-37.4M	2.65B	-24.9M	0.87	2.39	27,317	23,766	1,283,542	1,535,463
2022-09-02	$48.68	$52.50	32.7%	9.3%	23.5%	41.8%	31.6%	6.2%	0.3%	-34.9M	2.60B	-25.2M	0.76	2.68	39,009	29,467	1,294,484	1,539,120
2022-09-06	$48.21	$52.50	34.9%	10.5%	23.6%	49.8%	36.1%	7.0%	1.5%	-37.6M	2.75B	-24.4M	1.14	1.73	40,276	46,052	1,281,022	1,528,196
2022-09-07	$48.64	$52.50	31.9%	10.1%	23.8%	38.7%	34.6%	6.7%	2.4%	-36.6M	2.66B	-24.3M	0.85	2.66	40,684	34,582	1,294,916	1,544,958
2022-09-08	$49.67	$52.50	31.5%	9.5%	22.9%	37.3%	33.2%	6.0%	2.0%	-29.2M	2.26B	-25.6M	1.05	2.06	41,550	43,530	1,303,452	1,551,754
2022-09-09	$50.81	$52.50	29.7%	9.2%	24.2%	30.8%	32.4%	5.4%	2.6%	-23.2M	1.84B	-26.7M	1.22	1.78	37,138	45,345	1,316,994	1,578,709
2022-09-12	$50.83	$50.00	31.5%	9.3%	24.0%	37.4%	33.3%	5.6%	0.4%	-25.8M	1.89B	-26.3M	0.97	2.02	51,904	50,106	1,308,200	1,576,116
2022-09-13	$48.63	$50.00	35.6%	10.6%	28.1%	52.3%	35.2%	6.9%	1.0%	-39.2M	2.70B	-24.9M	0.93	4.73	64,139	59,719	1,325,841	1,587,846
2022-09-14	$48.48	$50.00	36.7%	10.5%	27.9%	56.6%	36.7%	6.2%	0.0%	-41.9M	2.71B	-24.9M	0.91	4.58	55,761	50,907	1,337,121	1,593,389
2022-09-15	$48.47	$50.00	36.9%	10.6%	27.9%	57.0%	37.3%	6.4%	-0.0%	-31.6M	2.71B	-24.8M	1.21	4.00	37,961	45,944	1,364,836	1,603,699
2022-09-16	$48.00	$50.00	37.3%	10.7%	27.9%	58.4%	35.9%	6.4%	-0.2%	-43.6M	2.86B	-24.4M	1.16	2.70	42,432	49,074	1,366,197	1,618,037
2022-09-19	$48.22	$50.00	36.2%	10.3%	27.7%	54.5%	35.1%	6.8%	-1.5%	-35.9M	2.48B	-24.2M	1.35	2.16	33,505	45,264	1,173,325	1,484,039
2022-09-20	$47.48	$50.00	37.5%	10.7%	26.5%	59.2%	37.5%	6.4%	-0.4%	-38.0M	2.69B	-23.8M	1.33	2.16	43,536	57,818	1,189,183	1,504,820
2022-09-21	$46.50	$50.00	37.9%	10.9%	27.2%	60.9%	35.7%	6.3%	-0.8%	-41.2M	2.93B	-23.5M	0.48	2.82	127,275	61,587	1,213,462	1,531,183
2022-09-22	$45.88	$50.00	38.3%	11.0%	27.3%	62.1%	40.3%	6.8%	-1.8%	-46.6M	3.18B	-23.1M	1.55	3.31	60,125	93,434	1,272,555	1,567,990
2022-09-23	$44.18	$50.00	42.3%	12.3%	28.2%	76.8%	44.0%	7.4%	-1.2%	-43.9M	3.60B	-21.9M	0.82	2.25	140,584	115,388	1,314,583	1,618,162
2022-09-26	$43.17	$50.00	45.0%	13.2%	26.3%	86.7%	45.8%	9.1%	0.2%	-39.8M	3.69B	-20.8M	1.05	2.26	69,378	72,851	1,328,020	1,621,969
2022-09-27	$42.57	$50.00	45.6%	13.6%	26.4%	88.9%	47.8%	8.7%	0.6%	-39.7M	3.70B	-20.8M	0.57	2.27	133,572	75,548	1,357,387	1,638,269
2022-09-28	$43.56	$50.00	42.6%	12.7%	28.5%	78.1%	41.3%	8.4%	0.9%	-31.0M	3.46B	-22.2M	0.66	2.22	71,665	47,160	1,424,713	1,647,601
2022-09-29	$42.49	$50.00	46.3%	13.6%	29.2%	91.7%	46.8%	9.3%	0.9%	-34.1M	3.66B	-21.0M	1.27	2.94	56,874	72,280	1,444,549	1,654,442
2022-09-30	$41.81	$50.00	44.4%	13.0%	29.4%	84.7%	45.7%	9.3%	1.0%	-44.1M	3.82B	-20.2M	0.93	2.28	82,765	76,569	1,467,402	1,664,305