C Options History — September 2023

In September 2023, C traded between $40.30 and $43.13. ATM implied volatility averaged 26.4%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.9% (HV 20d: 17.5%). Max pain ranged from $39.00 to $42.50. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2023-09-13: Highest Volume — 305,051 contracts
  • 2023-09-26: Largest IV spike — 8.6% change
  • 2023-09-27: Highest IV Rank — 38.9%
  • 2023-09-27: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.54$40.30$43.13$41.61$41.09
Max Pain$40.52$39.00$42.50$42.50$39.00
ATM IV26.4%20.6%32.1%20.6%30.9%
Expected Move7.8%5.6%9.5%5.6%9.2%
HV 20d17.5%14.5%20.3%15.2%20.3%
HV 60d19.3%18.1%20.4%18.2%19.6%
IV Rank20.5%1.5%38.9%1.5%35.1%
IV Percentile37.9%1.2%73.4%1.2%67.5%
Term Structure0.8%-1.1%3.7%0.8%1.3%
VWIV27.6%20.0%39.5%20.0%31.8%
Skew 25d3.6%2.6%4.7%2.8%4.4%
Skew 10d6.9%4.7%9.0%4.7%7.9%
Call IV 25d24.9%19.8%29.6%19.8%28.5%
Put IV 25d28.6%22.6%34.2%22.6%32.9%
Bid-Ask Spread %2.321.973.592.062.05
Gamma HHI0.070.050.120.080.06
Net GEX-12.0M-39.2M22.9M-19.4M-3.0M
Net DEX1.29B523.0M1.85B1.42B1.30B
Net VEX-19.0M-21.0M-17.0M-17.6M-19.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.362.011.171.18
Total Volume121,643.8555,224305,051109,55665,358
Total OI2,859,665.952,670,3133,130,8602,786,2382,919,216

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$41.61$42.5020.6%5.6%15.2%1.5%20.0%2.8%0.8%-19.4M1.42B-17.6M1.172.0650,56758,9891,532,5001,253,738
2023-09-05$41.53$40.0021.4%7.1%15.0%4.3%25.3%3.0%3.3%-19.7M1.47B-17.0M1.062.0157,76861,3311,531,8071,238,981
2023-09-06$41.39$41.0022.9%7.6%14.5%9.0%26.7%3.2%3.3%-16.4M1.47B-17.4M2.012.3266,859134,3101,562,0371,252,605
2023-09-07$40.78$41.0023.5%7.6%14.8%11.0%26.7%3.5%3.3%-30.0M1.71B-17.0M1.213.5951,58662,6241,583,3271,271,390
2023-09-08$40.41$41.0024.1%7.6%14.8%12.9%27.1%3.4%3.7%-38.5M1.85B-17.0M1.182.14103,543121,7851,611,6621,286,145
2023-09-11$40.59$40.0024.7%7.4%14.7%15.0%25.3%3.6%0.1%-39.2M1.77B-17.1M0.982.2160,28159,0581,611,0041,303,080
2023-09-12$41.73$40.0025.1%7.3%18.4%16.1%25.9%3.3%-0.1%-18.8M1.31B-18.1M0.532.39156,99082,4751,630,2171,312,347
2023-09-13$42.38$40.0026.2%7.4%18.4%19.9%25.1%3.6%-0.5%866.0K930.1M-19.8M0.712.80178,193126,8581,698,6381,324,327
2023-09-14$43.13$40.0025.2%7.2%18.9%16.7%26.3%2.6%-0.3%22.9M523.0M-20.8M0.792.4577,03360,8691,762,9761,337,910
2023-09-15$42.78$41.0025.6%7.2%18.9%17.8%25.3%3.2%-0.6%-44.6K663.6M-20.8M0.622.8565,03540,1081,781,8971,348,963
2023-09-18$42.69$41.0025.4%7.2%18.9%17.3%24.7%3.1%-0.8%3.6M869.1M-20.5M0.442.2744,55919,3951,482,0971,188,216
2023-09-19$42.72$41.0025.6%7.3%18.8%17.9%24.9%3.4%-0.9%6.6M840.1M-21.0M0.752.0532,57324,3681,520,9011,206,344
2023-09-20$42.31$41.0026.0%7.5%16.5%19.2%26.1%3.5%-0.3%-1.2M1.01B-20.6M0.672.2735,71323,8321,538,5771,220,882
2023-09-21$41.84$41.0028.0%8.1%17.1%25.5%28.2%4.1%-0.9%-8.9M1.21B-20.1M1.132.2528,32232,0471,549,9621,226,226
2023-09-22$41.05$41.0028.6%8.3%18.5%27.5%28.5%4.2%-1.1%-23.0M1.49B-19.5M0.832.1336,82230,4351,555,8401,229,482
2023-09-25$40.95$41.0029.5%8.8%18.4%30.5%29.7%4.0%1.4%-13.7M1.48B-19.3M0.362.1340,49714,7271,539,3671,221,889
2023-09-26$40.30$41.0032.1%9.4%19.2%38.8%39.5%4.6%1.2%-17.9M1.67B-18.7M0.692.39109,81575,3131,548,6081,225,623
2023-09-27$40.31$39.0032.1%9.5%18.7%38.9%32.8%4.7%1.1%-18.9M1.54B-18.9M0.651.9751,80833,6951,604,8991,274,921
2023-09-28$41.19$39.0031.1%9.3%20.3%35.7%31.6%4.6%1.6%-5.0M1.24B-19.5M0.652.1334,81222,5241,620,1161,284,602
2023-09-29$41.09$39.0030.9%9.2%20.3%35.1%31.8%4.4%1.3%-3.0M1.30B-19.2M1.182.0529,94135,4171,627,8521,291,364