C Options History — January 2023

In January 2023, C traded between $45.86 and $51.98. ATM implied volatility averaged 28.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 9.0% (HV 20d: 19.5%). Max pain ranged from $47.50 to $50.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2023-01-18: Highest Volume — 319,370 contracts
  • 2023-01-13: Largest IV drop — 23.5% change
  • 2023-01-05: Highest IV Rank — 51.8%
  • 2023-01-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.63$45.86$51.98$45.86$51.97
Max Pain$48.63$47.50$50.00$47.50$50.00
ATM IV28.6%22.1%38.4%37.3%22.9%
Expected Move8.2%6.6%11.5%11.3%6.9%
HV 20d19.5%16.3%24.9%24.9%17.5%
HV 60d28.2%27.1%30.1%30.1%27.6%
IV Rank17.7%0.0%51.8%47.5%2.5%
IV Percentile24.4%0.0%77.4%72.2%0.4%
Term Structure-0.6%-2.0%0.5%-2.0%0.2%
VWIV29.2%23.6%39.8%39.5%23.6%
Skew 25d4.3%3.0%5.6%5.5%3.3%
Skew 10d7.4%4.7%10.1%10.1%6.0%
Call IV 25d26.6%21.2%35.5%35.1%21.7%
Put IV 25d30.9%24.2%40.9%40.5%25.0%
Bid-Ask Spread %2.121.612.561.802.56
Gamma HHI0.100.060.270.080.08
Net GEX31.4M-12.4M87.2M-12.4M31.5M
Net DEX-99.6M-1.15B1.23B1.23B-511.5M
Net VEX-22.8M-23.5M-22.2M-22.2M-23.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.462.180.700.63
Total Volume140,375.2551,579319,37075,75667,127
Total OI2,764,936.852,171,7433,239,0852,915,2042,222,195

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$45.86$47.5037.3%11.3%24.9%47.5%39.5%5.5%-2.0%-12.4M1.23B-22.2M0.701.8044,47131,2851,480,8811,434,323
2023-01-04$46.70$47.5037.1%11.5%22.4%46.6%39.8%5.6%-1.8%-2.4M880.5M-22.6M2.051.9767,327137,8541,494,1451,446,931
2023-01-05$46.73$47.5038.4%10.1%21.9%51.8%36.0%5.4%-2.0%-347.7K870.5M-22.7M1.302.0039,69251,4191,515,3191,458,753
2023-01-06$47.44$47.5035.5%9.4%22.2%40.4%33.0%5.0%-1.8%29.9M568.2M-22.6M1.211.8655,35566,8011,523,2091,464,900
2023-01-09$47.55$47.5034.0%9.4%22.1%34.6%33.1%5.1%-0.7%-2.4M612.5M-22.3M1.331.9953,56771,3131,500,5891,463,730
2023-01-10$48.09$47.5033.7%9.4%22.2%33.7%33.4%5.3%-0.5%5.7M363.7M-22.7M0.962.1839,39737,7611,523,2601,473,052
2023-01-11$48.53$47.5032.5%9.3%21.9%29.0%31.0%4.9%0.5%10.1M166.6M-22.7M1.162.50131,393152,7371,530,0741,483,576
2023-01-12$49.03$47.5030.9%8.5%20.6%22.9%31.7%3.9%-1.7%26.0M-142.7M-22.9M1.411.8891,288128,8881,604,8091,500,609
2023-01-13$49.88$47.5023.6%6.8%19.6%0.0%24.0%3.1%-0.2%77.8M-645.7M-22.2M0.792.15151,730120,5411,619,0431,528,811
2023-01-17$50.28$47.5026.2%7.5%16.3%9.3%26.1%3.9%-0.7%39.5M-686.9M-22.4M0.842.1982,43469,2451,608,9051,485,522
2023-01-18$49.45$47.5026.0%7.5%17.4%8.7%26.1%4.4%0.3%24.0M-157.4M-22.3M2.181.61100,430218,9401,648,4271,504,817
2023-01-19$49.39$50.0025.5%7.3%16.5%6.8%27.0%4.6%0.5%19.4M-31.6M-22.7M0.791.6859,26146,9771,678,5551,535,361
2023-01-20$50.91$50.0025.1%7.3%18.6%5.4%25.8%4.3%-1.6%66.0M-1.15B-23.2M0.621.7286,54354,0021,693,3881,545,697
2023-01-23$51.94$50.0024.5%7.2%18.8%3.3%25.9%3.7%-0.2%62.3M-690.8M-23.2M0.592.4876,30645,1591,061,3571,110,386
2023-01-24$51.39$50.0024.6%7.3%17.4%3.6%25.6%4.0%-0.2%49.3M-437.6M-23.3M0.462.3374,85834,6881,092,6431,136,409
2023-01-25$51.77$50.0023.9%7.2%17.4%1.1%26.7%3.8%0.0%47.1M-578.2M-23.1M1.312.4138,34450,2051,072,9091,142,415
2023-01-26$51.97$50.0023.2%6.9%17.4%0.0%25.3%3.0%-0.1%44.1M-626.0M-23.3M1.132.2635,34539,8661,070,3811,163,980
2023-01-27$51.98$50.0022.1%6.6%17.5%0.0%23.8%3.1%0.0%87.2M-597.0M-23.5M0.922.4753,82349,5541,086,0901,189,595
2023-01-30$51.83$50.0024.0%7.3%17.8%6.4%26.8%3.4%0.0%25.5M-428.4M-23.3M0.622.4431,78219,7971,027,5421,176,149
2023-01-31$51.97$50.0022.9%6.9%17.5%2.5%23.6%3.3%0.2%31.5M-511.5M-23.3M0.632.5641,18625,9411,037,4941,184,701