C Options History — March 2024

In March 2024, C traded between $55.64 and $63.28. ATM implied volatility averaged 26.2%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 8.0% (HV 20d: 18.2%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2024-03-28: Highest Volume — 222,791 contracts
  • 2024-03-25: Largest IV spike — 6.8% change
  • 2024-03-27: Highest IV Rank — 32.4%
  • 2024-03-25: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.80$55.64$63.28$55.64$63.28
Max Pain$54.88$52.50$55.00$52.50$55.00
ATM IV26.2%23.5%28.1%23.5%26.2%
Expected Move7.7%6.8%8.1%6.8%7.7%
HV 20d18.2%15.1%21.0%20.8%16.7%
HV 60d23.0%21.9%24.1%24.1%22.2%
IV Rank22.0%11.3%32.4%11.3%30.9%
IV Percentile57.1%27.0%73.4%27.0%58.7%
Term Structure0.6%-1.1%3.0%-0.3%1.3%
VWIV27.1%24.0%28.8%24.0%27.0%
Skew 25d1.0%0.4%1.7%1.6%0.9%
Skew 10d2.4%0.6%3.8%3.8%2.3%
Call IV 25d25.9%23.2%28.3%23.2%25.7%
Put IV 25d26.9%24.7%29.4%24.8%26.6%
Bid-Ask Spread %2.692.113.332.242.18
Gamma HHI0.150.110.380.140.11
Net GEX133.9M93.3M225.3M110.1M115.1M
Net DEX-4.04B-5.70B-2.88B-2.88B-5.70B
Net VEX-22.8M-23.8M-21.3M-23.4M-21.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.150.540.480.27
Total Volume154,319.0586,421222,79192,172222,791
Total OI2,521,546.752,283,0162,749,9182,600,8892,531,361

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-03-01$55.64$52.5023.5%6.8%20.8%11.3%24.0%1.6%-0.3%110.1M-2.88B-23.4M0.482.2462,41929,7531,418,8131,182,076
2024-03-04$56.22$55.0024.1%7.8%20.9%13.4%26.9%0.9%3.0%104.8M-3.17B-22.9M0.332.2981,46627,1571,350,9831,162,742
2024-03-05$55.97$55.0025.0%7.9%19.5%16.5%27.5%0.9%2.8%110.7M-3.05B-23.3M0.263.06116,76430,4841,382,7871,177,976
2024-03-06$57.30$55.0025.0%7.9%20.9%16.4%28.0%1.1%3.0%131.3M-3.78B-22.9M0.192.87133,88825,5731,397,2331,189,164
2024-03-07$57.75$55.0025.7%7.9%21.0%18.9%27.7%0.6%3.0%132.6M-4.00B-23.3M0.362.11133,47548,0131,408,7891,198,486
2024-03-08$57.59$55.0025.9%7.9%21.0%19.3%27.5%0.5%3.0%139.2M-3.91B-22.9M0.212.41102,11921,7641,409,9281,204,568
2024-03-11$57.42$55.0027.1%7.8%20.8%23.6%27.6%1.1%-0.7%116.3M-3.68B-22.9M0.172.28138,56824,2171,388,9811,199,543
2024-03-12$57.44$55.0026.8%7.6%20.8%22.3%26.6%1.1%-0.5%161.0M-3.81B-22.8M0.462.3785,11039,2041,425,2921,210,381
2024-03-13$57.78$55.0027.6%7.7%16.6%25.1%27.2%0.5%-0.7%166.9M-4.02B-23.4M0.252.99108,74027,0891,453,3641,237,877
2024-03-14$56.86$55.0028.1%7.8%16.6%26.9%27.5%1.1%-1.1%144.1M-3.42B-23.8M0.462.8576,65935,2981,467,6781,255,097
2024-03-15$57.64$55.0027.7%7.8%15.1%25.4%27.3%1.1%-0.7%204.8M-4.02B-23.7M0.303.10137,33841,6081,486,1441,263,774
2024-03-18$58.58$55.0027.1%7.7%15.5%23.4%27.2%1.5%-0.3%93.3M-3.49B-22.9M0.372.6363,30523,1161,249,5301,033,486
2024-03-19$58.84$55.0026.3%7.5%15.3%20.8%26.7%1.7%-0.4%96.5M-3.64B-22.4M0.482.8278,86237,5811,259,1901,044,241
2024-03-20$60.17$55.0025.6%7.3%16.5%19.8%26.1%1.4%-0.9%99.4M-4.19B-22.7M0.293.33149,84943,8441,286,9411,055,288
2024-03-21$61.39$55.0025.7%7.4%17.3%20.4%26.2%0.8%-0.4%109.6M-4.80B-22.0M0.282.58146,10941,3701,316,0091,064,809
2024-03-22$61.02$55.0025.7%7.4%17.7%20.4%26.1%0.9%-0.6%225.3M-4.73B-22.0M0.153.32178,72327,1581,342,6751,083,622
2024-03-25$60.91$55.0027.5%8.1%17.1%26.7%28.5%0.7%1.0%123.8M-4.48B-22.1M0.293.18117,35834,4451,337,3171,040,446
2024-03-26$61.66$55.0027.4%8.1%17.3%27.0%28.6%0.4%1.2%132.7M-4.87B-22.5M0.282.52167,86146,9711,377,9441,056,375
2024-03-27$62.53$55.0026.6%7.9%16.6%32.4%28.8%0.8%1.3%159.4M-5.24B-22.0M0.542.59116,85263,4801,396,3831,083,642
2024-03-28$63.28$55.0026.2%7.7%16.7%30.9%27.0%0.9%1.3%115.1M-5.70B-21.3M0.272.18175,13747,6541,408,9961,122,365