A Options History — May 2009

In May 2009, A traded between $12.63 and $13.89. ATM implied volatility averaged 54.8%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 10.4% (HV 20d: 44.4%). Max pain ranged from $10.73 to $14.31. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2009-05-15: Highest Volume — 16,125 contracts
  • 2009-05-14: Largest IV drop — 46.5% change
  • 2009-05-13: Highest IV Rank — 89.2%
  • 2009-05-01: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.18$12.63$13.89$13.45$13.04
Max Pain$13.77$10.73$14.31$10.73$14.31
ATM IV54.8%40.4%94.9%55.6%40.4%
Expected Move13.0%11.6%15.9%15.9%11.6%
HV 20d44.4%40.3%49.3%41.2%44.6%
HV 60d57.5%51.6%60.6%60.1%51.6%
IV Rank39.8%22.2%89.2%40.8%22.2%
IV Percentile55.0%30.2%99.6%62.3%30.2%
Term Structure-0.4%-10.3%2.6%-10.3%1.1%
VWIV45.6%40.7%58.2%58.2%41.8%
Skew 25d6.8%5.4%7.9%7.5%7.0%
Skew 10d14.2%9.7%19.3%17.3%19.3%
Call IV 25d42.9%37.0%55.5%55.5%37.0%
Put IV 25d49.7%44.0%63.0%63.0%44.0%
Bid-Ask Spread %4.352.366.272.364.53
Gamma HHI0.360.270.470.420.29
Net GEX387.6K111.9K652.9K563.5K275.7K
Net DEX-14.3M-27.3M-3.6M-22.3M-7.9M
Net VEX-125.3K-133.9K-112.9K-116.7K-129.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.422.990.911.86
Total Volume4,98764316,1251,957643
Total OI79,248.2564,541102,77677,37672,194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$13.45$10.7355.6%15.9%41.2%40.8%58.2%7.5%-10.3%563.5K-22.3M-116.7K0.912.36N/AN/A1,02693147,11530,261
2009-05-04$13.89$10.7360.0%13.2%42.2%46.2%46.5%6.6%-0.4%626.7K-27.3M-112.9K0.423.55N/AN/A1,94582347,19530,513
2009-05-05$13.40$12.5268.3%14.3%43.0%56.4%45.8%7.7%-1.3%543.4K-21.1M-112.9K1.174.50N/AN/A1,3201,54847,63330,889
2009-05-06$13.76$12.5261.6%13.0%41.7%48.2%45.9%7.4%0.1%596.3K-24.8M-114.0K2.493.45N/AN/A8502,11848,09431,858
2009-05-07$13.43$14.3164.6%13.4%42.2%51.9%47.4%7.4%-0.7%590.8K-21.6M-124.9K1.724.16N/AN/A2,6004,47252,40133,015
2009-05-08$13.83$14.3163.4%13.1%40.3%50.4%46.6%6.8%-0.4%652.9K-27.1M-133.9K1.214.00N/AN/A8861,07254,11436,049
2009-05-11$13.48$14.3176.2%13.4%40.9%66.1%50.0%7.3%-0.7%590.3K-22.0M-127.6K1.626.02N/AN/A2,0053,25354,55836,306
2009-05-12$13.58$14.3178.4%13.4%40.5%68.9%49.4%7.5%-0.8%604.4K-23.2M-126.3K0.554.04N/AN/A5,6313,10154,97637,806
2009-05-13$12.91$14.3194.9%14.6%45.1%89.2%51.0%7.9%-1.4%369.4K-11.7M-122.6K1.173.48N/AN/A6,5597,66255,55839,580
2009-05-14$13.11$14.3150.7%14.5%44.5%34.8%49.1%6.8%-1.0%371.9K-13.9M-131.2K0.955.16N/AN/A6,3226,00957,55342,896
2009-05-15$12.63$14.3144.2%12.7%46.8%26.8%43.8%6.7%2.6%111.9K-11.8M-123.1K1.013.74N/AN/A8,0298,09658,99843,778
2009-05-18$12.78$14.3144.0%12.6%44.8%26.6%44.3%6.3%0.1%188.0K-5.5M-126.4K1.463.73N/AN/A1,0651,55635,26529,276
2009-05-19$13.14$14.3143.2%12.4%45.6%25.5%42.5%5.9%0.4%271.0K-8.9M-129.7K0.765.39N/AN/A74156535,89429,548
2009-05-20$13.33$14.3142.9%12.3%45.7%25.2%40.7%5.9%0.5%313.5K-10.7M-129.9K0.933.41N/AN/A1,4121,32036,08229,783
2009-05-21$12.65$14.3141.9%12.0%49.3%23.9%40.9%5.4%0.9%171.6K-3.6M-126.3K1.245.11N/AN/A2,3722,94636,52330,590
2009-05-22$12.65$14.3141.2%11.8%48.3%23.1%41.0%5.9%1.2%187.8K-4.5M-133.2K2.856.27N/AN/A22463738,00631,475
2009-05-26$12.91$14.3142.1%12.1%48.7%24.3%42.5%6.4%0.2%253.3K-6.6M-128.5K2.113.73N/AN/A4881,03038,02330,703
2009-05-27$12.80$14.3141.6%11.9%48.9%23.5%41.4%6.4%0.7%228.9K-5.9M-127.1K0.484.72N/AN/A4,8922,35438,17930,873
2009-05-28$12.86$14.3141.0%11.8%44.6%22.9%42.7%7.0%1.1%240.1K-6.4M-129.5K2.995.59N/AN/A31092739,01532,390
2009-05-29$13.04$14.3140.4%11.6%44.6%22.2%41.8%7.0%1.1%275.7K-7.9M-129.4K1.864.53N/AN/A22541839,12333,071