C Options History — January 2024 In January 2024, C traded between $51.14 and $57.16. ATM implied volatility averaged 25.4%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.0% (HV 20d: 22.4%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.39.
Notable Days 2024-01-12 : Highest Volume — 562,015 contracts2024-01-12 : Largest IV drop — 15.4% change2024-01-04 : Highest IV Rank — 37.5%2024-01-03 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $53.32 $51.14 $57.16 $52.84 $56.25 Max Pain $51.43 $45.00 $52.50 $45.00 $52.50 ATM IV 25.4% 20.8% 31.3% 29.0% 23.3% Expected Move 7.3% 6.1% 9.1% 8.6% 7.0% HV 20d 22.4% 19.5% 27.6% 23.9% 27.4% HV 60d 23.8% 22.5% 24.7% 23.8% 24.0% IV Rank 17.8% 2.2% 37.5% 29.7% 10.6% IV Percentile 40.8% 2.4% 83.3% 75.4% 22.2% Term Structure -0.8% -1.9% 0.3% -1.0% -0.0% VWIV 25.7% 21.4% 32.4% 30.9% 24.8% Skew 25d 0.7% -0.3% 1.5% 1.1% -0.0% Skew 10d 0.9% -1.9% 2.1% 1.7% -0.3% Call IV 25d 25.1% 20.5% 30.9% 28.4% 23.5% Put IV 25d 25.8% 21.4% 31.9% 29.5% 23.5% Bid-Ask Spread % 2.36 1.69 3.14 2.09 2.89 Gamma HHI 0.15 0.11 0.23 0.11 0.13 Net GEX 133.3M 67.3M 203.0M 162.5M 129.7M Net DEX -3.71B -5.35B -2.36B -4.55B -3.94B Net VEX -24.3M -25.5M -23.1M -24.8M -24.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.21 0.79 0.23 0.40 Total Volume 235,370.333 87,486 562,015 278,604 314,699 Total OI 3,155,695.714 2,434,742 3,799,674 3,304,827 2,579,617
Daily Data (21 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 2024-01-02 $52.84 $45.00 29.0% 8.6% 23.9% 29.7% 30.9% 1.1% -1.0% 162.5M -4.55B -24.8M 0.23 2.09 226,945 51,659 1,991,478 1,313,349 2024-01-03 $53.67 $45.00 30.6% 9.1% 24.1% 35.1% 32.4% 0.9% -1.5% 158.4M -5.06B -24.5M 0.28 2.10 367,002 104,281 2,019,146 1,337,296 2024-01-04 $53.81 $50.00 31.3% 8.2% 23.0% 37.5% 29.4% 1.0% -1.9% 203.0M -5.07B -25.2M 0.55 1.80 171,163 94,383 2,079,461 1,386,858 2024-01-05 $54.36 $50.00 30.1% 8.0% 22.1% 33.4% 28.3% 0.6% -1.6% 136.4M -5.35B -25.5M 0.40 1.97 176,594 69,952 2,067,485 1,422,792 2024-01-08 $53.91 $50.00 29.7% 8.0% 22.5% 32.0% 29.3% 1.0% -1.9% 134.6M -4.68B -25.4M 0.38 1.69 92,443 34,753 2,018,452 1,411,909 2024-01-09 $53.38 $52.50 29.1% 7.9% 23.1% 30.0% 28.1% 0.7% -1.4% 127.4M -4.37B -25.2M 0.39 1.75 109,838 42,530 2,016,517 1,427,092 2024-01-10 $53.00 $52.50 30.2% 8.0% 22.3% 33.7% 27.9% 1.4% -1.2% 126.4M -4.13B -25.1M 0.79 2.31 118,059 93,356 2,057,795 1,446,651 2024-01-11 $51.91 $52.50 28.0% 7.7% 24.0% 26.3% 27.3% 0.4% -1.7% 104.9M -3.40B -24.9M 0.69 2.60 257,327 178,046 2,113,977 1,487,692 2024-01-12 $52.64 $52.50 23.7% 6.7% 22.6% 12.0% 23.3% -0.3% -0.9% 130.1M -3.95B -24.5M 0.35 2.15 416,701 145,314 2,136,431 1,534,482 2024-01-16 $51.80 $52.50 24.3% 6.9% 22.9% 14.1% 24.5% 0.1% -0.5% 124.9M -3.38B -23.9M 0.45 3.05 112,761 51,272 2,175,793 1,490,656 2024-01-17 $51.45 $52.50 24.4% 7.0% 21.8% 14.5% 24.7% 0.8% -0.0% 130.3M -3.20B -24.0M 0.42 2.36 125,746 52,340 2,228,759 1,501,196 2024-01-18 $51.14 $52.50 24.0% 7.0% 21.9% 13.2% 24.3% 1.3% -1.2% 147.2M -3.05B -23.7M 0.33 2.16 137,102 44,838 2,262,412 1,510,834 2024-01-19 $51.45 $52.50 23.3% 6.8% 19.5% 10.6% 23.6% 1.5% -0.0% 67.3M -3.32B -23.8M 0.23 2.09 139,475 32,527 2,278,112 1,521,562 2024-01-22 $52.88 $52.50 23.4% 7.0% 20.4% 11.1% 24.4% 0.8% -0.3% 105.6M -2.36B -24.1M 0.26 3.14 146,913 38,534 1,431,472 1,012,818 2024-01-23 $53.34 $52.50 22.1% 6.6% 20.5% 6.8% 23.1% 0.8% -0.5% 130.1M -2.64B -23.8M 0.30 2.46 74,615 22,398 1,461,465 1,027,422 2024-01-24 $53.16 $52.50 21.6% 6.5% 20.4% 4.9% 22.5% 1.0% -0.1% 131.9M -2.54B -23.9M 0.21 2.93 96,982 20,833 1,479,460 1,039,668 2024-01-25 $53.73 $52.50 21.5% 6.4% 20.4% 4.8% 22.5% 0.8% -0.2% 153.2M -2.84B -24.2M 0.42 2.57 61,636 25,850 1,490,392 1,048,110 2024-01-26 $53.78 $52.50 20.8% 6.1% 20.4% 2.2% 21.4% 0.9% 0.0% 173.8M -2.86B -23.5M 0.27 2.55 96,515 25,765 1,500,218 1,059,269 2024-01-29 $54.09 $52.50 21.1% 6.3% 20.4% 3.3% 22.2% 0.9% 0.3% 110.7M -2.85B -23.4M 0.48 2.37 61,657 29,497 1,386,840 1,047,902 2024-01-30 $57.16 $52.50 22.6% 6.9% 27.6% 8.4% 24.1% -0.0% -0.1% 110.9M -4.42B -23.1M 0.30 2.53 370,297 110,179 1,418,237 1,048,533 2024-01-31 $56.25 $52.50 23.3% 7.0% 27.4% 10.6% 24.8% -0.0% -0.0% 129.7M -3.94B -24.7M 0.40 2.89 225,408 89,291 1,495,499 1,084,118
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