C Options History — February 2024

In February 2024, C traded between $52.59 and $56.16. ATM implied volatility averaged 23.6%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 4.0% (HV 20d: 27.6%). Max pain ranged from $48.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2024-02-01: Highest Volume — 392,785 contracts
  • 2024-02-14: Largest IV drop — 7.6% change
  • 2024-02-13: Highest IV Rank — 17.9%
  • 2024-02-13: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.93$52.59$56.16$56.16$55.55
Max Pain$51.77$48.00$52.50$48.00$52.50
ATM IV23.6%22.6%25.4%23.5%23.1%
Expected Move6.8%6.4%7.3%7.0%6.7%
HV 20d27.6%20.8%30.1%27.1%20.8%
HV 60d24.1%22.8%24.5%23.7%24.1%
IV Rank11.7%8.4%17.9%11.5%10.1%
IV Percentile26.5%13.1%46.8%27.4%19.0%
Term Structure-0.0%-0.5%0.6%0.1%0.5%
VWIV23.9%22.7%25.5%24.1%23.8%
Skew 25d1.9%1.2%2.9%1.7%2.9%
Skew 10d4.2%2.7%6.1%2.8%4.4%
Call IV 25d23.0%22.1%24.5%23.0%22.2%
Put IV 25d24.9%23.5%27.0%24.7%25.1%
Bid-Ask Spread %2.532.123.093.092.52
Gamma HHI0.160.100.330.110.16
Net GEX107.8M49.0M157.3M138.5M132.6M
Net DEX-2.59B-3.73B-1.34B-3.73B-2.86B
Net VEX-24.1M-25.4M-22.8M-25.0M-23.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.180.880.360.22
Total Volume141,788.667,104392,785392,785149,080
Total OI2,581,494.32,437,0662,704,1662,704,1662,553,209

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-02-01$56.16$48.0023.5%7.0%27.1%11.5%24.1%1.7%0.1%138.5M-3.73B-25.0M0.363.09287,920104,8651,570,1371,134,029
2024-02-02$55.66$50.0023.2%6.9%27.4%10.5%24.1%2.0%0.1%123.4M-2.90B-25.4M0.442.52122,59954,2711,463,2471,180,844
2024-02-05$54.52$50.0023.7%6.8%28.3%12.0%23.7%2.4%0.2%97.1M-2.30B-25.1M0.232.67119,51026,9941,444,6441,174,696
2024-02-06$54.33$52.5024.1%6.8%28.1%13.5%24.7%2.1%-0.3%100.6M-2.26B-24.9M0.612.2847,74128,9061,460,4071,178,979
2024-02-07$54.53$50.0023.2%6.7%27.9%10.3%22.9%2.5%0.0%106.9M-2.36B-24.8M0.202.46101,14420,6251,479,6881,186,196
2024-02-08$54.39$50.0023.6%6.7%27.7%11.6%23.6%2.2%-0.4%97.3M-2.29B-24.3M0.482.1245,31221,7921,465,8801,195,649
2024-02-09$54.00$52.5023.0%6.6%26.7%9.6%23.4%2.2%-0.1%96.5M-2.03B-24.5M0.302.37110,47533,5311,473,6981,197,642
2024-02-12$54.22$52.5023.8%6.8%26.4%12.4%24.0%2.2%0.6%107.3M-2.33B-24.2M0.232.72154,90435,3311,427,2981,166,335
2024-02-13$52.59$52.5025.4%7.3%28.1%17.9%25.1%2.6%-0.3%49.0M-1.34B-24.3M0.332.7598,72733,0411,421,6621,173,135
2024-02-14$53.86$52.5023.5%6.7%29.1%11.4%23.9%2.3%0.2%93.0M-2.07B-24.3M0.212.4093,76920,1551,428,5041,178,926
2024-02-15$55.19$52.5024.3%7.0%29.9%13.9%24.3%1.3%0.1%133.7M-2.84B-24.6M0.182.16182,09732,0891,428,7401,186,445
2024-02-16$54.84$52.5023.7%6.8%30.1%12.1%24.3%1.2%0.0%157.3M-2.53B-24.1M0.303.03100,29229,6591,456,9371,191,780
2024-02-20$55.41$52.5024.4%7.0%28.9%14.5%25.5%1.6%-0.5%95.4M-2.80B-23.8M0.882.8652,43645,9991,312,6861,124,380
2024-02-21$55.22$52.5023.8%6.8%28.8%12.6%23.9%1.6%-0.3%90.3M-2.66B-23.7M0.572.2950,99728,8801,325,5061,152,900
2024-02-22$55.89$52.5023.2%6.6%29.0%10.5%23.4%1.4%-0.3%101.5M-3.06B-23.4M0.242.42117,04028,3621,330,2471,158,639
2024-02-23$56.00$52.5022.6%6.4%28.8%8.4%22.7%1.4%-0.2%124.6M-3.10B-23.3M0.322.4782,54426,0791,340,0431,169,468
2024-02-26$55.50$52.5023.2%6.7%29.1%10.4%23.4%1.7%0.2%85.3M-2.77B-23.1M0.202.57115,15822,6681,304,6171,149,084
2024-02-27$55.66$52.5022.7%6.5%29.1%8.8%22.8%1.2%-0.1%115.3M-2.94B-22.8M0.372.4079,88829,3561,354,7711,156,360
2024-02-28$55.09$52.5023.4%6.7%21.2%11.2%23.6%1.5%-0.1%111.0M-2.56B-23.4M0.252.5780,96120,5751,366,6381,165,840
2024-02-29$55.55$52.5023.1%6.7%20.8%10.1%23.8%2.9%0.5%132.6M-2.86B-23.1M0.222.52122,43626,6441,381,3641,171,845