C Options History — June 2023

In June 2023, C traded between $44.81 and $48.67. ATM implied volatility averaged 25.3%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.9% (HV 20d: 23.3%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2023-06-02: Highest Volume — 115,796 contracts
  • 2023-06-12: Largest IV spike — 6.7% change
  • 2023-06-28: Highest IV Rank — 17.8%
  • 2023-06-28: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.16$44.81$48.67$44.81$46.19
Max Pain$46.57$45.00$47.00$45.00$47.00
ATM IV25.3%23.7%26.5%26.4%25.0%
Expected Move7.4%7.1%7.8%7.6%7.2%
HV 20d23.3%19.1%28.1%26.6%19.1%
HV 60d28.4%24.5%35.9%35.1%24.5%
IV Rank13.7%8.4%17.8%17.4%12.7%
IV Percentile15.8%6.7%26.6%19.4%13.9%
Term Structure0.5%-0.9%2.3%-0.6%1.0%
VWIV25.8%24.5%27.7%27.7%24.5%
Skew 25d4.2%3.5%5.7%5.7%3.5%
Skew 10d8.2%6.2%11.1%11.1%6.2%
Call IV 25d23.4%21.7%24.9%24.4%23.0%
Put IV 25d27.6%25.4%30.1%30.1%26.5%
Bid-Ask Spread %2.362.043.372.322.30
Gamma HHI0.080.060.120.060.07
Net GEX6.8M-19.7M41.0M-14.8M-14.5M
Net DEX604.2M-180.1M1.35B1.28B1.23B
Net VEX-20.8M-21.8M-19.8M-19.9M-20.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.441.490.710.57
Total Volume70,997.95237,534115,79660,76064,189
Total OI2,477,913.2862,163,9032,770,1642,572,9802,346,909

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$44.81$45.0026.4%7.6%26.6%17.4%27.7%5.7%-0.6%-14.8M1.28B-19.9M0.712.3235,45125,3091,277,2601,295,720
2023-06-02$46.36$45.0024.8%7.1%28.1%11.9%25.5%4.8%-0.8%8.4M676.4M-20.7M0.622.2171,36144,4351,285,1751,304,365
2023-06-05$46.23$46.0024.7%7.7%25.5%11.9%27.4%4.6%2.3%220.8K788.8M-20.5M1.062.0427,72929,4271,273,3971,297,459
2023-06-06$47.09$46.0024.2%7.5%26.3%10.2%26.2%4.4%2.1%16.6M406.5M-21.0M0.952.7450,65848,2561,286,2051,309,167
2023-06-07$48.03$46.0023.7%7.2%27.1%8.4%25.4%4.3%1.8%33.6M-6.9M-21.5M0.922.4045,34641,5221,304,3831,328,287
2023-06-08$48.14$46.0023.8%7.2%27.0%8.7%25.3%3.8%2.0%35.7M-45.0M-21.5M0.692.4333,53022,9821,316,0641,350,576
2023-06-09$48.25$46.0024.0%7.2%26.8%9.4%25.2%3.7%2.0%39.8M-99.4M-21.5M0.932.3033,61031,3531,319,5981,359,153
2023-06-12$48.41$47.0025.6%7.4%25.9%14.8%25.7%4.1%-0.1%35.7M-83.9M-21.6M1.492.3826,25139,1031,306,2681,342,476
2023-06-13$48.67$47.0025.5%7.2%25.6%14.3%25.2%4.0%-0.4%41.0M-180.1M-21.8M0.822.2241,75634,1271,313,0071,364,117
2023-06-14$48.31$47.0026.3%7.4%25.1%17.1%26.5%4.0%-0.5%29.7M18.0M-21.4M0.803.3751,08140,7081,321,3651,376,533
2023-06-15$48.52$47.0025.7%7.2%22.1%15.1%26.1%3.7%-0.7%28.6M-56.3M-21.6M1.192.3933,68940,1751,339,0181,407,661
2023-06-16$48.22$47.0025.3%7.2%21.6%13.7%24.7%3.6%-0.4%782.6K78.0M-21.3M1.152.4138,32043,9801,343,8571,426,307
2023-06-20$47.59$47.0025.2%7.2%21.5%13.5%25.4%4.2%-0.4%-11.7M807.7M-20.9M0.442.6849,77521,6981,002,9691,160,934
2023-06-21$47.53$47.0025.1%7.2%21.5%13.0%24.7%4.2%-0.8%-12.2M818.9M-21.0M0.842.2720,36317,1711,025,8841,173,127
2023-06-22$46.69$47.0025.8%7.4%22.6%15.4%25.6%4.2%-0.9%-16.1M1.12B-20.6M0.732.0629,83921,8571,035,4341,178,039
2023-06-23$46.05$47.0025.8%7.4%19.7%15.3%25.3%4.2%-0.2%-19.7M1.35B-19.8M0.512.0442,46321,8331,048,3181,186,463
2023-06-26$46.39$47.0025.8%7.4%19.6%15.5%26.5%4.1%1.0%-10.9M1.10B-20.1M0.602.2042,35525,4081,039,3401,157,488
2023-06-27$46.39$47.0025.9%7.5%19.6%15.6%26.9%4.3%0.7%-9.3M1.11B-19.9M1.232.3432,55839,9301,066,9211,174,699
2023-06-28$46.23$47.0026.5%7.8%19.6%17.8%26.8%4.4%1.0%-9.9M1.15B-20.0M0.502.2437,43118,8511,081,5271,193,679
2023-06-29$46.25$47.0025.7%7.5%19.3%15.3%25.3%3.9%1.4%-7.9M1.21B-19.9M0.642.1845,89829,1791,107,6691,209,361
2023-06-30$46.19$47.0025.0%7.2%19.1%12.7%24.5%3.5%1.0%-14.5M1.23B-20.2M0.572.3040,94423,2451,122,9721,223,937