A Options History — April 2009

In April 2009, A traded between $11.16 and $13.06. ATM implied volatility averaged 54.4%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 1.7% (HV 20d: 56.1%). Max pain ranged from $10.73 to $10.73. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2009-04-29: Highest Volume — 9,723 contracts
  • 2009-04-06: Largest IV spike — 21.6% change
  • 2009-04-30: Highest IV Rank — 46.4%
  • 2009-04-06: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.93$11.16$13.06$11.44$13.06
Max Pain$10.73$10.73$10.73$10.73$10.73
ATM IV54.4%44.9%60.2%54.0%60.2%
Expected Move16.0%13.3%17.4%15.5%17.3%
HV 20d56.1%38.4%67.0%67.0%40.7%
HV 60d59.2%58.3%60.7%60.7%59.8%
IV Rank39.3%27.7%46.4%38.8%46.4%
IV Percentile61.6%44.8%69.8%62.3%69.8%
Term Structure-4.9%-10.7%7.5%5.3%-10.7%
VWIV57.0%49.0%61.0%50.2%59.1%
Skew 25d8.7%7.4%10.5%7.9%7.8%
Skew 10d19.5%10.9%32.2%27.6%11.1%
Call IV 25d53.4%46.2%58.9%47.7%56.5%
Put IV 25d62.1%55.0%67.4%55.6%64.3%
Bid-Ask Spread %2.711.594.534.532.65
Gamma HHI0.290.240.400.260.40
Net GEX252.9K156.2K517.6K217.0K517.6K
Net DEX-6.8M-18.4M-1.8M-4.3M-18.4M
Net VEX-97.5K-118.2K-86.1K-94.0K-116.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.142.091.320.15
Total Volume3,296.2381,0019,7231,8316,355
Total OI64,979.14356,28077,24561,50477,245

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$11.44$10.7354.0%15.5%67.0%38.8%50.2%7.9%5.3%217.0K-4.3M-94.0K1.324.53N/AN/A7881,04337,67923,825
2009-04-02$11.67$10.7346.4%13.3%61.9%29.5%49.0%8.8%7.5%234.3K-6.0M-96.6K0.374.46N/AN/A1,51856137,75424,198
2009-04-03$11.77$10.7344.9%15.4%61.9%27.7%54.7%9.6%-2.5%249.6K-6.5M-96.8K0.812.32N/AN/A66553737,93924,141
2009-04-06$11.43$10.7354.6%17.4%62.9%39.6%58.6%10.3%-5.6%217.2K-4.0M-92.1K0.891.59N/AN/A90380437,76724,395
2009-04-07$11.16$10.7351.4%17.1%59.4%35.6%58.4%10.5%-4.5%197.2K-1.8M-89.0K0.471.77N/AN/A1,72580838,02824,568
2009-04-08$11.59$10.7351.3%17.0%60.3%35.5%56.0%9.6%-4.7%231.3K-4.8M-90.9K0.892.28N/AN/A1,1651,03538,02424,452
2009-04-09$12.16$10.7352.1%15.0%61.8%36.6%53.3%8.9%-2.0%278.1K-9.2M-96.8K0.262.94N/AN/A2,29760138,24524,942
2009-04-13$11.93$10.7354.0%15.5%62.7%38.9%55.5%8.3%-3.6%274.5K-7.4M-93.5K1.022.27N/AN/A1,1391,15938,96225,154
2009-04-14$11.82$10.7354.9%15.8%62.4%40.0%57.1%9.1%-4.5%240.5K-6.4M-94.4K0.483.19N/AN/A98747138,92225,739
2009-04-15$11.70$10.7354.3%15.6%61.0%39.2%58.3%8.6%-4.4%227.9K-4.8M-91.2K0.742.98N/AN/A85162938,78925,864
2009-04-16$12.03$10.7352.9%15.2%61.5%37.4%57.7%7.4%-4.1%243.6K-7.2M-89.4K2.091.97N/AN/A32467737,40225,284
2009-04-17$12.17$10.7351.8%14.9%61.5%36.2%52.7%7.8%-3.6%232.4K-7.7M-89.8K1.282.09N/AN/A51265437,49625,638
2009-04-20$11.75$10.7355.8%16.0%62.5%41.1%59.9%8.4%-6.4%181.5K-3.4M-86.1K1.593.08N/AN/A1,4972,37533,74122,539
2009-04-21$11.87$10.7354.8%15.7%52.8%39.9%58.6%8.9%-6.1%159.5K-3.8M-88.4K0.822.51N/AN/A71258233,99924,206
2009-04-22$11.99$10.7356.4%16.2%52.8%41.8%57.8%8.8%-7.0%156.2K-4.4M-89.5K0.722.78N/AN/A5,4423,93833,86024,581
2009-04-23$11.73$10.7356.2%16.1%53.4%41.5%59.9%8.3%-7.2%159.6K-3.3M-102.7K1.271.78N/AN/A1,4401,82737,60827,669
2009-04-24$12.09$10.7356.8%16.3%48.0%42.3%58.0%8.4%-8.4%189.7K-5.9M-105.9K0.143.38N/AN/A7,8471,08838,34028,694
2009-04-27$12.10$10.7359.6%17.1%43.3%45.8%60.8%9.0%-9.8%313.2K-7.7M-113.2K1.432.33N/AN/A67095645,57629,162
2009-04-28$12.19$10.7360.0%17.2%38.4%46.3%61.0%8.5%-10.2%325.4K-8.4M-113.6K0.252.57N/AN/A2,33957745,81029,463
2009-04-29$12.90$10.7359.5%17.0%42.4%45.6%59.8%7.5%-10.4%464.6K-16.5M-118.2K0.263.47N/AN/A7,7251,99847,00129,861
2009-04-30$13.06$10.7360.2%17.3%40.7%46.4%59.1%7.8%-10.7%517.6K-18.4M-116.4K0.152.65N/AN/A5,51983647,36429,881