C Options History — December 2022

In December 2022, C traded between $43.83 and $47.75. ATM implied volatility averaged 32.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.3% (HV 20d: 28.8%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.41.

Notable Days

2022-12-07: Highest Volume — 277,693 contracts
2022-12-05: Largest IV spike — 11.8% change
2022-12-30: Highest IV Rank — 38.1%
2022-12-30: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.07	$43.83	$47.75	$47.75	$45.09
Max Pain	$49.05	$47.50	$50.00	$47.50	$47.50
ATM IV	32.1%	26.9%	34.8%	28.1%	34.8%
Expected Move	9.5%	8.4%	10.3%	9.2%	10.3%
HV 20d	28.8%	23.4%	38.2%	36.6%	24.4%
HV 60d	32.4%	30.3%	33.7%	33.4%	30.3%
IV Rank	27.5%	7.7%	38.1%	12.1%	38.1%
IV Percentile	48.6%	10.3%	62.7%	17.9%	62.7%
Term Structure	1.0%	-1.4%	3.7%	0.1%	1.4%
VWIV	33.1%	29.8%	36.2%	31.5%	36.1%
Skew 25d	5.1%	4.0%	5.9%	4.8%	5.0%
Skew 10d	9.9%	8.5%	11.1%	10.0%	10.2%
Call IV 25d	29.8%	24.9%	32.7%	26.3%	32.0%
Put IV 25d	34.9%	28.9%	38.1%	31.1%	37.0%
Bid-Ask Spread %	1.76	1.24	2.29	2.03	1.93
Gamma HHI	0.10	0.07	0.33	0.08	0.09
Net GEX	-31.4M	-83.8M	-11.4M	-13.5M	-15.2M
Net DEX	1.88B	1.13B	2.33B	1.13B	1.53B
Net VEX	-22.3M	-24.8M	-21.0M	-24.8M	-21.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.41	0.42	8.62	2.90	0.67
Total Volume	139,551.238	46,370	277,693	192,341	58,899
Total OI	3,009,033.714	2,880,118	3,165,506	2,966,955	2,939,371

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
2022-12-01	$47.75	$47.50	28.1%	9.2%	36.6%	12.1%	31.5%	4.8%	0.1%	-13.5M	1.13B	-24.8M	2.90	2.03	49,315	143,026	1,449,680	1,517,275
2022-12-02	$47.06	$47.50	26.9%	8.4%	35.9%	7.7%	29.8%	4.0%	0.4%	-83.8M	1.53B	-23.9M	1.58	1.97	35,550	56,196	1,473,946	1,567,213
2022-12-05	$45.45	$50.00	30.1%	9.5%	38.2%	19.9%	33.1%	5.0%	3.3%	-30.5M	2.05B	-22.6M	0.64	1.49	120,094	77,165	1,456,541	1,515,216
2022-12-06	$44.92	$50.00	31.2%	9.8%	38.0%	24.2%	35.9%	5.1%	3.3%	-27.9M	2.12B	-22.6M	1.65	2.04	50,942	84,292	1,504,300	1,525,724
2022-12-07	$44.64	$50.00	31.9%	10.0%	37.9%	26.9%	31.9%	5.3%	3.3%	-36.0M	2.25B	-22.7M	8.62	1.65	28,871	248,822	1,517,405	1,565,287
2022-12-08	$44.58	$50.00	30.6%	9.6%	37.3%	21.7%	33.1%	4.4%	3.7%	-37.5M	2.22B	-22.8M	1.93	1.53	52,675	101,439	1,525,166	1,565,079
2022-12-09	$44.92	$50.00	31.4%	9.7%	26.8%	24.9%	33.5%	5.0%	3.7%	-38.1M	2.08B	-22.9M	2.17	1.31	45,531	98,925	1,542,850	1,581,903
2022-12-12	$45.61	$50.00	33.6%	10.1%	23.4%	33.1%	36.2%	5.4%	0.8%	-21.8M	1.74B	-23.3M	1.11	1.24	72,477	80,127	1,528,041	1,560,825
2022-12-13	$46.75	$50.00	31.6%	9.0%	24.7%	25.7%	31.8%	4.9%	-0.7%	-11.4M	1.27B	-24.0M	0.61	1.61	48,850	29,816	1,543,431	1,587,583
2022-12-14	$45.89	$50.00	31.9%	9.3%	25.3%	26.6%	30.2%	5.1%	0.8%	-19.4M	1.69B	-23.1M	6.70	1.45	34,182	228,996	1,555,008	1,598,719
2022-12-15	$44.75	$50.00	32.7%	9.2%	26.3%	29.8%	32.8%	4.9%	-0.6%	-32.0M	2.13B	-22.3M	0.85	1.52	52,209	44,591	1,564,308	1,592,044
2022-12-16	$44.34	$50.00	33.1%	9.2%	26.4%	31.4%	32.4%	5.2%	-1.4%	-50.5M	2.33B	-21.7M	2.20	1.33	50,540	111,343	1,559,590	1,605,916
2022-12-19	$43.86	$50.00	33.4%	9.5%	25.6%	32.5%	33.0%	5.8%	-0.2%	-40.4M	2.24B	-21.1M	0.42	2.06	48,228	20,259	1,415,700	1,464,418
2022-12-20	$43.95	$50.00	32.7%	9.3%	25.7%	29.7%	32.7%	5.2%	-0.4%	-38.3M	2.17B	-21.0M	0.79	1.89	41,288	32,738	1,441,559	1,462,233
2022-12-21	$44.69	$50.00	31.9%	9.2%	26.2%	26.9%	31.3%	5.1%	-0.9%	-29.5M	1.88B	-21.8M	5.01	2.00	30,872	154,726	1,449,652	1,453,895
2022-12-22	$43.83	$47.50	34.1%	9.8%	26.1%	35.2%	34.6%	5.9%	-0.6%	-39.2M	2.13B	-21.0M	2.66	2.29	46,234	122,916	1,461,911	1,449,692
2022-12-23	$44.20	$47.50	33.0%	9.5%	26.4%	30.9%	32.0%	5.4%	-0.4%	-29.5M	1.94B	-21.2M	1.20	1.89	39,116	46,995	1,481,873	1,448,003
2022-12-27	$44.45	$47.50	33.5%	9.6%	25.1%	33.0%	34.0%	5.5%	1.4%	-26.5M	1.83B	-21.4M	0.60	1.79	35,101	21,094	1,458,880	1,431,970
2022-12-28	$44.58	$47.50	33.7%	10.1%	24.7%	33.8%	33.8%	5.1%	1.4%	-22.4M	1.72B	-21.6M	7.68	2.08	27,626	212,140	1,473,768	1,434,076
2022-12-29	$45.19	$47.50	33.6%	9.9%	24.6%	33.1%	35.3%	5.1%	1.6%	-15.3M	1.50B	-21.7M	0.60	1.82	29,054	17,316	1,482,630	1,437,027
2022-12-30	$45.09	$47.50	34.8%	10.3%	24.4%	38.1%	36.1%	5.0%	1.4%	-15.2M	1.53B	-21.8M	0.67	1.93	35,214	23,685	1,493,829	1,445,542