A Options History — February 2009

In February 2009, A traded between $9.92 and $13.82. ATM implied volatility averaged 58.2%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 13.0% (HV 20d: 45.2%). Max pain ranged from $12.52 to $12.52. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.34.

Notable Days

  • 2009-02-18: Highest Volume — 43,353 contracts
  • 2009-02-12: Largest IV drop — 25.2% change
  • 2009-02-11: Highest IV Rank — 63.4%
  • 2009-02-02: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.14$9.92$13.82$12.90$9.92
Max Pain$12.52$12.52$12.52$12.52$12.52
ATM IV58.2%49.9%74.0%63.9%49.9%
Expected Move15.8%14.0%18.3%18.3%14.3%
HV 20d45.2%36.8%53.4%46.6%52.9%
HV 60d55.7%49.1%62.7%62.7%49.1%
IV Rank44.0%33.7%63.4%51.0%33.7%
IV Percentile71.0%60.3%88.1%78.6%60.3%
Term Structure-3.0%-8.7%2.3%-8.6%0.3%
VWIV54.4%47.3%63.1%62.1%50.7%
Skew 25d9.6%6.6%11.5%10.2%8.8%
Skew 10d19.1%14.8%23.9%19.9%20.2%
Call IV 25d51.8%46.4%60.1%60.1%50.2%
Put IV 25d61.3%56.0%70.3%70.3%59.0%
Bid-Ask Spread %3.942.396.142.393.53
Gamma HHI0.360.280.600.290.38
Net GEX2.2K-387.2K256.9K26.7K-95.0K
Net DEX6.2M-8.1M34.0M3.4M12.3M
Net VEX-82.7K-108.3K-52.0K-98.5K-52.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.303.290.411.35
Total Volume8,336.4211,58243,3533,4931,582
Total OI74,447.52648,07999,99774,75551,152

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$12.90$12.5263.9%18.3%46.6%51.0%62.1%10.2%-8.6%26.7K3.4M-98.5K0.412.39N/AN/A2,4811,01243,86530,890
2009-02-03$13.03$12.5263.2%18.1%45.4%50.1%62.7%9.6%-8.6%43.4K1.9M-100.7K0.572.39N/AN/A1,42380944,52631,454
2009-02-04$13.22$12.5263.3%18.1%36.8%50.2%60.7%9.6%-8.7%103.0K-849.7K-104.3K1.722.73N/AN/A1,5592,68445,39931,739
2009-02-05$13.82$12.5257.5%16.5%39.9%43.1%60.6%6.6%-8.5%256.9K-8.1M-106.8K0.972.77N/AN/A2,5812,49846,05231,661
2009-02-06$13.81$12.5258.1%14.0%39.9%43.8%47.3%9.6%-0.5%249.1K-7.8M-108.3K1.413.36N/AN/A1,2501,76046,69632,494
2009-02-09$13.62$12.5262.6%14.3%40.2%49.4%52.1%9.8%-1.2%211.5K-5.8M-102.1K0.304.12N/AN/A3,4501,04347,06232,798
2009-02-10$13.06$12.5273.1%15.9%43.0%62.3%52.5%11.5%-2.7%47.1K1.1M-95.0K0.806.14N/AN/A6,2314,97546,81132,797
2009-02-11$13.14$12.5274.0%15.8%41.7%63.4%52.8%11.0%-2.5%75.5K-218.1K-101.0K3.293.89N/AN/A2,0056,58949,80033,932
2009-02-12$13.33$12.5255.3%15.9%40.4%40.5%51.9%10.8%-2.9%195.7K-4.7M-99.8K0.773.83N/AN/A1,8641,43350,34131,813
2009-02-13$13.21$12.5253.6%15.4%38.3%38.4%51.9%10.6%-1.7%50.0K-2.4M-99.3K1.125.70N/AN/A4,2374,74250,85934,838
2009-02-17$12.63$12.5263.4%18.2%40.4%50.5%63.1%10.9%-7.5%-16.8K4.3M-88.6K2.965.41N/AN/A8,25424,40851,88734,658
2009-02-18$11.48$12.5256.9%16.3%49.2%42.4%54.4%9.0%-2.2%-387.2K34.0M-61.9K3.104.61N/AN/A10,57332,78054,41745,580
2009-02-19$11.13$12.5253.3%15.3%46.8%38.0%51.6%9.7%0.4%-96.8K22.7M-63.7K1.573.52N/AN/A2,6934,23755,48935,629
2009-02-20$10.86$12.5251.7%14.8%47.0%36.0%51.1%10.3%2.3%-198.3K22.8M-63.6K1.085.50N/AN/A2,0802,24556,28236,791
2009-02-23$10.21$12.5253.9%15.4%50.3%38.7%54.1%9.7%-2.2%-122.1K12.5M-52.4K0.953.43N/AN/A3,8223,63526,50921,570
2009-02-24$10.67$12.5251.9%14.9%53.3%36.3%51.9%8.6%-1.4%-98.4K10.4M-59.9K1.125.38N/AN/A1,1321,26827,28121,469
2009-02-25$10.49$12.5250.8%14.6%53.4%34.9%51.5%6.7%-0.9%-95.8K10.8M-59.1K1.473.14N/AN/A1,0431,53527,65521,902
2009-02-26$10.16$12.5249.9%14.3%52.8%33.8%50.4%8.7%-0.3%-106.8K11.9M-54.2K0.602.94N/AN/A1,55292727,87922,526
2009-02-27$9.92$12.5249.9%14.3%52.9%33.7%50.7%8.8%0.3%-95.0K12.3M-52.0K1.353.53N/AN/A67291028,47922,673