C Options History — July 2023 In July 2023, C traded between $45.33 and $47.75. ATM implied volatility averaged 24.1%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.7% (HV 20d: 21.4%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.74.
Notable Days 2023-07-14 : Highest Volume — 203,784 contracts2023-07-14 : Largest IV drop — 16.6% change2023-07-06 : Highest IV Rank — 29.3%2023-07-05 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $46.89 $45.33 $47.75 $46.84 $47.39 Max Pain $47.13 $46.00 $48.00 $47.00 $48.00 ATM IV 24.1% 20.1% 29.9% 25.3% 20.2% Expected Move 6.8% 5.6% 7.9% 7.3% 5.6% HV 20d 21.4% 15.6% 24.9% 15.6% 24.5% HV 60d 24.3% 23.3% 25.3% 24.7% 23.3% IV Rank 10.7% 0.0% 29.3% 13.6% 0.5% IV Percentile 14.9% 0.0% 48.0% 16.7% 0.4% Term Structure -0.7% -2.3% 0.5% -1.2% 0.0% VWIV 23.7% 19.8% 28.0% 25.6% 20.0% Skew 25d 2.8% 1.7% 4.4% 3.4% 1.8% Skew 10d 4.2% 2.0% 7.6% 5.2% 2.9% Call IV 25d 22.9% 19.5% 27.7% 24.0% 20.0% Put IV 25d 25.7% 21.4% 32.1% 27.4% 21.7% Bid-Ask Spread % 2.32 1.79 3.17 2.25 2.54 Gamma HHI 0.07 0.06 0.08 0.07 0.07 Net GEX -3.0M -31.1M 30.1M -5.2M -4.5M Net DEX 1.02B 546.6M 1.53B 978.1M 1.00B Net VEX -20.5M -21.4M -19.4M -20.5M -20.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.45 1.71 0.72 0.56 Total Volume 101,126.15 47,669 203,784 55,316 67,142 Total OI 2,439,879.35 2,284,101 2,577,008 2,284,101 2,489,249
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 2023-07-03 $46.84 $47.00 25.3% 7.3% 15.6% 13.6% 25.6% 3.4% -1.2% -5.2M 978.1M -20.5M 0.72 2.25 32,252 23,064 1,095,119 1,188,982 2023-07-05 $46.70 $47.00 26.8% 7.9% 15.6% 18.9% 27.3% 3.9% -1.3% -5.2M 1.03B -20.2M 0.69 2.07 28,231 19,438 1,105,406 1,196,562 2023-07-06 $45.33 $47.00 29.9% 7.9% 17.6% 29.3% 26.0% 4.4% -2.3% -23.4M 1.53B -19.4M 0.46 2.18 89,237 41,085 1,112,952 1,206,490 2023-07-07 $45.84 $47.00 28.4% 7.5% 16.4% 24.1% 26.6% 4.0% -1.8% -20.6M 1.33B -20.2M 0.86 2.03 39,377 33,799 1,141,745 1,225,872 2023-07-10 $45.72 $47.00 28.8% 7.8% 16.3% 25.5% 26.7% 3.9% -1.2% -15.4M 1.33B -20.1M 1.06 1.79 34,189 36,082 1,134,558 1,209,792 2023-07-11 $46.53 $47.00 28.6% 7.7% 17.7% 24.9% 28.0% 3.8% -1.4% -8.0M 1.04B -20.8M 0.61 2.22 69,355 42,214 1,148,370 1,231,686 2023-07-12 $47.36 $46.00 27.9% 7.5% 19.0% 22.5% 26.0% 3.2% -1.9% 5.3M 722.6M -21.2M 0.56 2.17 54,479 30,666 1,177,871 1,244,664 2023-07-13 $47.75 $47.00 27.9% 7.5% 19.1% 22.6% 26.4% 2.2% -1.9% 8.9M 546.6M -21.4M 0.86 2.41 109,331 93,956 1,189,620 1,255,960 2023-07-14 $45.84 $47.00 23.3% 6.5% 23.7% 7.1% 22.5% 2.4% -1.0% -31.1M 1.50B -19.5M 0.45 2.98 140,118 63,666 1,225,863 1,280,689 2023-07-17 $46.30 $47.00 23.1% 6.5% 24.0% 6.2% 22.7% 2.6% -0.2% -7.1M 1.25B -19.7M 0.71 2.24 66,696 47,162 1,204,777 1,244,557 2023-07-18 $46.95 $47.00 22.4% 6.4% 24.7% 3.9% 22.9% 2.0% 0.0% 8.0M 956.4M -20.6M 0.45 2.50 85,526 38,608 1,213,607 1,265,505 2023-07-19 $47.61 $47.00 22.0% 6.3% 24.8% 2.8% 22.4% 2.1% -0.3% 30.1M 628.1M -21.0M 0.84 2.18 35,494 29,977 1,237,971 1,274,367 2023-07-20 $47.30 $47.00 22.7% 6.5% 24.9% 5.0% 22.7% 2.6% -0.1% 22.6M 806.5M -20.7M 1.71 2.14 28,056 48,069 1,249,406 1,289,911 2023-07-21 $47.16 $47.00 21.0% 6.0% 24.1% 0.0% 21.1% 2.3% -0.4% 1.5M 988.9M -20.6M 0.65 2.19 55,861 36,122 1,258,410 1,318,598 2023-07-24 $47.66 $47.00 20.6% 6.0% 23.7% 0.0% 21.1% 2.3% -0.0% 3.1M 782.3M -21.0M 0.48 2.22 65,292 31,545 1,158,671 1,230,595 2023-07-25 $47.09 $47.50 22.0% 6.5% 24.1% 4.6% 22.9% 3.4% 0.5% -4.9M 1.06B -20.7M 1.31 3.17 35,350 46,148 1,191,573 1,252,098 2023-07-26 $47.34 $47.50 20.6% 6.0% 24.1% 0.0% 20.9% 2.7% 0.3% -8.4M 1.02B -20.7M 0.65 2.36 41,618 27,075 1,209,260 1,282,553 2023-07-27 $47.75 $47.50 21.2% 6.2% 24.2% 1.9% 21.8% 1.7% 0.3% 7.1M 779.5M -21.0M 0.53 2.39 117,827 62,895 1,217,891 1,289,000 2023-07-28 $47.34 $48.00 20.1% 5.6% 24.5% 0.0% 19.8% 1.8% 0.5% -13.6M 1.03B -20.8M 0.64 2.45 46,158 29,363 1,239,044 1,308,343 2023-07-31 $47.39 $48.00 20.2% 5.6% 24.5% 0.5% 20.0% 1.8% 0.0% -4.5M 1.00B -20.1M 0.56 2.54 43,099 24,043 1,211,585 1,277,664
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