C Options History — September 2024

In September 2024, C traded between $57.16 and $62.77. ATM implied volatility averaged 28.2%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.7% (HV 20d: 24.6%). Max pain ranged from $57.50 to $62.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.72.

Notable Days

2024-09-19: Highest Volume — 163,890 contracts
2024-09-16: Largest IV spike — 8.2% change
2024-09-30: Highest IV Rank — 54.2%
2024-09-30: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.19	$57.16	$62.77	$61.20	$62.50
Max Pain	$61.75	$57.50	$62.50	$57.50	$62.50
ATM IV	28.2%	26.6%	29.8%	26.6%	29.8%
Expected Move	8.5%	8.0%	9.3%	8.0%	9.3%
HV 20d	24.6%	21.0%	29.2%	21.6%	29.2%
HV 60d	31.4%	30.4%	32.1%	31.3%	32.0%
IV Rank	45.4%	36.1%	54.2%	36.1%	54.2%
IV Percentile	80.7%	67.9%	90.1%	67.9%	90.1%
Term Structure	0.6%	-1.4%	3.5%	0.2%	3.4%
VWIV	29.7%	27.6%	32.8%	27.8%	32.4%
Skew 25d	3.9%	3.0%	4.9%	4.0%	3.7%
Skew 10d	8.3%	6.4%	9.7%	9.0%	7.4%
Call IV 25d	26.5%	24.4%	28.0%	24.6%	27.6%
Put IV 25d	30.4%	27.9%	32.3%	28.6%	31.3%
Bid-Ask Spread %	2.48	1.86	3.64	1.97	2.39
Gamma HHI	0.10	0.08	0.16	0.09	0.10
Net GEX	45.3M	-5.9M	123.4M	49.8M	66.3M
Net DEX	-1.47B	-2.88B	-343.9M	-1.96B	-2.13B
Net VEX	-23.9M	-24.5M	-23.2M	-24.4M	-23.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.23	1.49	0.57	0.48
Total Volume	81,580.7	43,542	163,890	56,472	58,907
Total OI	2,303,686.6	2,128,388	2,503,277	2,290,376	2,128,388

Daily Data (20 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
2024-09-03	$61.20	$57.50	26.6%	8.0%	21.6%	36.1%	27.8%	4.0%	0.2%	49.8M	-1.96B	-24.4M	0.57	1.97	35,966	20,506	1,182,848	1,107,528
2024-09-04	$60.63	$57.50	26.6%	8.1%	21.4%	36.4%	29.6%	3.8%	0.2%	38.6M	-1.68B	-24.3M	1.16	2.38	25,004	28,891	1,185,505	1,119,516
2024-09-05	$60.58	$62.50	26.9%	8.7%	21.0%	38.1%	29.4%	3.8%	-0.3%	38.5M	-1.66B	-24.3M	0.79	2.50	24,275	19,267	1,184,137	1,122,751
2024-09-06	$59.05	$62.50	28.8%	8.8%	21.2%	48.8%	30.0%	4.4%	-0.4%	-5.9M	-996.2M	-24.1M	0.81	2.93	38,811	31,289	1,186,963	1,124,258
2024-09-09	$59.64	$62.50	27.6%	8.7%	21.4%	42.1%	31.1%	3.5%	2.6%	38.1M	-1.32B	-23.9M	0.73	2.26	44,723	32,801	1,174,223	1,100,217
2024-09-10	$57.89	$62.50	28.9%	9.2%	24.0%	49.2%	32.8%	4.3%	3.1%	17.8M	-586.4M	-23.7M	0.96	3.05	70,417	67,812	1,180,850	1,116,041
2024-09-11	$57.16	$62.50	28.2%	8.8%	24.4%	45.3%	30.0%	4.1%	2.4%	13.5M	-343.9M	-23.4M	0.39	3.64	55,121	21,436	1,202,830	1,137,100
2024-09-12	$57.38	$62.50	27.5%	8.5%	22.9%	41.3%	27.6%	3.7%	2.8%	19.1M	-472.4M	-23.3M	1.43	2.55	47,657	68,360	1,218,475	1,135,292
2024-09-13	$57.66	$62.50	27.0%	8.4%	21.8%	38.7%	29.1%	3.6%	3.5%	19.0M	-578.4M	-23.2M	1.31	1.93	43,879	57,442	1,240,996	1,165,926
2024-09-16	$58.30	$62.50	29.2%	8.6%	21.5%	51.0%	28.7%	4.5%	-0.9%	27.7M	-788.1M	-23.2M	0.44	1.86	59,125	25,810	1,219,738	1,163,732
2024-09-17	$59.09	$62.50	29.0%	8.4%	21.9%	49.7%	29.3%	4.4%	-0.1%	41.3M	-1.14B	-24.1M	0.65	1.91	35,359	22,806	1,237,182	1,177,217
2024-09-18	$59.86	$60.00	29.3%	8.4%	22.2%	51.4%	29.5%	4.4%	-0.9%	53.1M	-1.49B	-24.1M	1.49	2.04	33,260	49,585	1,240,059	1,189,990
2024-09-19	$62.77	$60.00	28.5%	8.3%	27.7%	47.3%	29.0%	3.4%	-1.4%	89.1M	-2.88B	-24.0M	0.26	2.14	129,851	34,039	1,246,515	1,208,499
2024-09-20	$62.14	$62.50	28.1%	8.1%	28.0%	44.8%	29.2%	3.0%	-0.8%	123.4M	-2.57B	-24.1M	0.36	2.62	87,292	31,286	1,279,384	1,223,893
2024-09-23	$62.64	$62.50	27.7%	8.3%	26.6%	42.2%	28.7%	4.9%	-0.6%	70.3M	-2.23B	-23.9M	0.47	2.58	42,014	19,667	1,117,813	1,022,788
2024-09-24	$61.22	$62.50	28.2%	8.4%	27.9%	45.1%	31.2%	3.5%	0.3%	50.5M	-1.58B	-24.4M	0.69	2.56	40,860	28,060	1,132,772	1,033,925
2024-09-25	$60.44	$62.50	28.8%	8.6%	28.2%	48.8%	29.2%	3.7%	-0.3%	40.2M	-1.28B	-24.1M	0.87	2.61	28,481	24,709	1,139,737	1,033,167
2024-09-26	$61.70	$62.50	28.6%	8.6%	29.2%	47.6%	29.5%	3.1%	-0.2%	59.5M	-1.85B	-24.1M	0.23	2.50	53,411	12,120	1,146,084	1,048,836
2024-09-27	$61.91	$62.50	29.2%	8.7%	29.2%	50.7%	29.5%	3.5%	-0.1%	55.4M	-1.86B	-24.5M	0.33	3.12	61,372	19,943	1,144,750	1,053,807
2024-09-30	$62.50	$62.50	29.8%	9.3%	29.2%	54.2%	32.4%	3.7%	3.4%	66.3M	-2.13B	-23.5M	0.48	2.39	39,755	19,152	1,115,806	1,012,582