C Options History — December 2023

In December 2023, C traded between $46.70 and $51.63. ATM implied volatility averaged 25.5%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.4% (HV 20d: 22.1%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.30.

Notable Days

  • 2023-12-14: Highest Volume — 432,789 contracts
  • 2023-12-14: Largest IV spike — 7.7% change
  • 2023-12-26: Highest IV Rank — 26.1%
  • 2023-12-26: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.49$46.70$51.63$47.16$51.47
Max Pain$44.80$41.00$45.00$41.00$45.00
ATM IV25.5%21.1%27.9%21.1%26.6%
Expected Move7.5%6.6%8.2%6.6%7.8%
HV 20d22.1%19.6%24.3%21.2%23.5%
HV 60d23.7%23.1%24.4%23.3%23.4%
IV Rank18.1%3.3%26.1%3.3%21.9%
IV Percentile45.2%3.2%67.5%3.2%60.3%
Term Structure0.9%-1.1%4.0%0.0%0.9%
VWIV27.1%24.1%29.3%24.1%28.2%
Skew 25d-0.2%-2.0%1.2%1.2%1.2%
Skew 10d0.3%-3.3%4.2%4.2%2.7%
Call IV 25d26.3%21.0%29.6%21.0%26.0%
Put IV 25d26.1%22.3%28.3%22.3%27.3%
Bid-Ask Spread %2.311.603.812.102.38
Gamma HHI0.130.080.570.100.11
Net GEX161.8M86.9M564.3M94.3M159.2M
Net DEX-3.12B-4.16B-1.82B-2.18B-3.69B
Net VEX-23.9M-25.4M-21.9M-22.2M-25.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.170.470.420.33
Total Volume194,646.3583,239432,789165,966158,398
Total OI3,325,9523,123,3773,580,5443,171,2183,386,426

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$47.16$41.0021.1%6.6%21.2%3.3%24.1%1.2%0.0%94.3M-2.18B-22.2M0.422.10116,87449,0921,852,6941,318,524
2023-12-04$47.31$45.0022.5%7.4%20.0%7.9%26.3%1.0%3.9%87.3M-2.13B-22.1M0.351.7261,68921,5501,813,6981,309,679
2023-12-05$46.70$45.0022.0%7.4%20.6%6.4%26.1%1.0%3.6%86.9M-1.82B-21.9M0.401.7689,03835,9661,839,6971,322,026
2023-12-06$47.89$45.0023.1%7.5%21.7%9.9%27.0%-0.0%3.7%106.8M-2.55B-22.7M0.372.83259,98095,2681,872,8461,336,948
2023-12-07$48.50$45.0023.9%7.6%21.5%12.8%27.8%-0.8%3.7%119.9M-2.90B-23.3M0.182.42191,20934,0811,947,9371,382,213
2023-12-08$48.92$45.0023.8%7.4%20.4%12.5%27.1%-1.1%4.0%162.9M-3.18B-23.6M0.282.90155,50544,2022,010,9281,388,172
2023-12-11$48.16$45.0025.5%7.4%22.0%18.0%26.0%0.1%-0.6%118.2M-2.56B-23.0M0.231.90121,41828,3112,000,0821,368,150
2023-12-12$48.00$45.0024.6%7.0%22.0%14.9%24.7%0.3%-0.7%115.3M-2.52B-22.9M0.441.6777,35734,0922,060,7231,380,497
2023-12-13$49.34$45.0025.4%7.0%19.6%17.6%25.0%-0.4%-1.1%176.3M-3.55B-23.6M0.182.23121,62721,9992,093,8551,400,305
2023-12-14$50.27$45.0027.3%7.6%20.1%24.1%27.4%-1.4%-0.9%196.2M-4.16B-23.8M0.241.60347,91584,8742,083,4681,410,623
2023-12-15$49.34$45.0026.6%7.4%21.5%21.6%26.7%-1.3%-1.0%139.8M-3.40B-24.1M0.363.08157,45356,8922,136,1251,444,419
2023-12-18$49.69$45.0026.4%7.5%21.3%21.2%26.8%-0.3%-0.5%123.8M-2.78B-24.2M0.172.18156,61127,2171,900,5831,243,963
2023-12-19$51.14$45.0027.6%7.9%22.9%25.1%29.1%-2.0%-0.4%156.4M-3.78B-24.7M0.173.81325,66055,3681,926,4711,257,226
2023-12-20$50.18$45.0027.4%7.8%24.3%24.2%28.2%-1.3%-0.6%170.5M-3.17B-25.1M0.473.13133,56762,8122,030,4021,279,159
2023-12-21$50.38$45.0027.7%8.0%24.0%25.5%28.8%-0.8%-0.7%183.7M-3.25B-25.4M0.192.02138,66126,3742,059,3621,318,669
2023-12-22$50.88$45.0027.1%7.8%24.1%23.3%27.7%-0.3%-0.5%564.3M-3.51B-25.4M0.442.17127,69656,6362,080,6001,328,634
2023-12-26$51.41$45.0027.9%8.2%24.0%26.1%29.3%-0.3%1.7%128.8M-3.65B-25.3M0.182.16154,05128,2361,934,1901,323,545
2023-12-27$51.39$45.0026.9%8.0%23.7%22.9%28.6%0.2%1.8%167.0M-3.75B-25.4M0.352.2671,86424,9662,003,5681,330,295
2023-12-28$51.63$45.0026.6%7.8%23.3%21.7%27.7%0.8%1.2%177.9M-3.90B-25.1M0.291.86106,98531,4332,005,7301,336,608
2023-12-29$51.47$45.0026.6%7.8%23.5%21.9%28.2%1.2%0.9%159.2M-3.69B-25.1M0.332.38118,87939,5192,036,0951,350,331