A Options History — January 2009

In January 2009, A traded between $11.62 and $13.96. ATM implied volatility averaged 58.0%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 10.3% (HV 20d: 47.7%). Max pain ranged from $12.52 to $14.31. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2009-01-07: Highest Volume — 12,086 contracts
  • 2009-01-12: Largest IV spike — 21.7% change
  • 2009-01-14: Highest IV Rank — 56.4%
  • 2009-01-20: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.21$11.62$13.96$11.62$12.93
Max Pain$12.61$12.52$14.31$14.31$12.52
ATM IV58.0%46.0%68.3%49.4%61.5%
Expected Move16.8%14.1%18.9%14.1%17.6%
HV 20d47.7%42.3%50.6%42.3%47.9%
HV 60d71.9%64.5%80.8%80.4%64.5%
IV Rank43.7%29.1%56.4%33.1%48.1%
IV Percentile74.6%64.3%83.3%71.0%77.0%
Term Structure-4.1%-6.9%6.9%6.9%-6.9%
VWIV58.1%43.2%64.5%43.2%60.4%
Skew 25d8.2%5.8%10.5%6.2%9.3%
Skew 10d16.8%12.5%27.2%27.2%16.5%
Call IV 25d55.0%42.6%61.6%42.6%57.7%
Put IV 25d63.2%48.8%68.8%48.8%67.0%
Bid-Ask Spread %2.982.553.512.553.04
Gamma HHI0.240.200.290.290.27
Net GEX168.7K-25.4K338.8K-25.4K43.4K
Net DEX248.6K-4.2M11.4M11.4M2.5M
Net VEX-90.1K-109.5K-47.5K-47.5K-101.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.102.760.100.59
Total Volume5,202.91,25812,0861,2584,078
Total OI78,265.0562,37098,33978,30273,098

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$11.62$14.3149.4%14.1%42.3%33.1%43.2%6.2%6.9%-25.4K11.4M-47.5K0.102.55N/AN/A1,13911955,93522,367
2009-01-05$12.01$12.5246.0%15.2%42.6%29.1%50.9%8.3%-2.2%69.8K8.9M-52.0K0.102.66N/AN/A4,01638256,67222,404
2009-01-06$12.97$12.5252.6%16.0%50.6%37.2%55.0%9.9%-3.5%217.4K2.9M-63.3K0.523.11N/AN/A7,8474,08857,64722,497
2009-01-07$13.04$12.5255.4%16.9%50.6%40.6%54.3%9.5%-4.8%237.7K2.1M-73.6K0.122.67N/AN/A10,8011,28560,68324,658
2009-01-08$13.13$12.5254.4%16.8%48.8%39.3%56.8%9.0%-4.3%248.8K1.4M-74.6K0.693.40N/AN/A2,7271,86958,26025,184
2009-01-09$13.25$12.5253.3%17.0%48.6%38.0%57.4%8.9%-5.2%263.6K549.0K-80.4K0.493.03N/AN/A1,71484459,67126,411
2009-01-12$13.25$12.5264.9%17.6%48.6%52.2%58.8%8.0%-5.9%270.4K188.5K-80.9K0.323.14N/AN/A3,4871,10260,05026,436
2009-01-13$13.63$12.5258.2%16.6%46.8%44.0%58.7%7.4%-5.5%337.9K-3.4M-85.1K0.502.78N/AN/A4,1602,06160,80626,837
2009-01-14$13.20$12.5268.3%17.8%43.8%56.4%61.6%7.5%-4.8%256.5K628.7K-87.5K2.032.57N/AN/A2,6375,34761,25328,076
2009-01-15$13.68$12.5258.4%16.7%44.6%44.2%61.3%6.3%-4.4%270.4K-2.3M-96.9K0.912.91N/AN/A5,4684,95961,90831,814
2009-01-16$13.96$12.5257.3%16.4%44.7%42.9%59.4%5.8%-3.6%338.8K-3.9M-105.0K0.713.47N/AN/A3,2502,31263,54334,796
2009-01-20$13.27$12.5265.8%18.9%49.3%53.3%64.5%7.2%-4.4%73.3K-1.1M-102.7K1.522.55N/AN/A1,5212,30536,02526,345
2009-01-21$13.78$12.5259.5%17.1%50.5%45.6%60.6%6.3%-4.1%109.6K-4.2M-105.6K0.793.51N/AN/A1,06083536,41727,353
2009-01-22$13.52$12.5258.1%16.7%49.6%43.9%59.2%6.8%-4.4%78.4K-2.0M-104.5K0.362.75N/AN/A4,8261,75036,74827,682
2009-01-23$13.33$12.5260.4%17.3%49.7%46.8%58.1%7.2%-3.7%104.7K-1.4M-108.2K2.353.19N/AN/A1,0022,35139,84328,487
2009-01-26$13.53$12.5258.3%16.7%49.5%44.1%62.8%9.6%-5.3%109.0K-2.3M-109.5K0.852.76N/AN/A2,4122,04140,54129,647
2009-01-27$13.38$12.5262.0%17.8%49.7%48.6%60.5%10.5%-5.6%104.6K-1.1M-108.7K2.763.08N/AN/A1,2393,41742,11129,615
2009-01-28$13.56$12.5254.4%15.6%47.4%39.3%58.9%9.8%-5.1%161.4K-3.2M-108.5K0.623.17N/AN/A1,00962842,42529,194
2009-01-29$13.28$12.5261.2%17.5%48.3%47.7%58.9%9.7%-6.0%103.8K-820.2K-106.1K0.883.14N/AN/A1,04792342,37529,487
2009-01-30$12.93$12.5261.5%17.6%47.9%48.1%60.4%9.3%-6.9%43.4K2.5M-101.6K0.593.04N/AN/A2,5571,52143,04730,051