A Options History — June 2009 In June 2009, A traded between $13.15 and $14.61. ATM implied volatility averaged 36.5%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.2% (HV 20d: 37.7%). Max pain ranged from $12.52 to $14.31. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.13.
Notable Days 2009-06-11 : Highest Volume — 9,523 contracts2009-06-22 : Largest IV spike — 17.1% change2009-06-17 : Highest IV Rank — 24.1%2009-06-17 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $13.85 $13.15 $14.61 $13.51 $14.53 Max Pain $12.84 $12.52 $14.31 $14.31 $12.52 ATM IV 36.5% 31.8% 42.0% 37.7% 32.8% Expected Move 10.5% 9.1% 12.0% 10.8% 9.4% HV 20d 37.7% 29.9% 45.4% 45.1% 32.5% HV 60d 45.7% 39.7% 50.4% 50.1% 40.1% IV Rank 17.3% 11.6% 24.1% 18.8% 12.8% IV Percentile 21.0% 11.5% 32.5% 27.4% 11.5% Term Structure 4.7% 0.3% 7.8% 0.3% 6.9% VWIV 37.0% 31.7% 41.5% 38.9% 32.4% Skew 25d 5.9% 3.9% 7.4% 5.8% 4.7% Skew 10d 12.6% 3.5% 23.3% 20.9% 8.6% Call IV 25d 34.8% 30.8% 37.3% 37.1% 31.3% Put IV 25d 40.7% 35.6% 44.3% 42.9% 36.0% Bid-Ask Spread % 3.54 2.36 5.29 4.52 3.91 Gamma HHI 0.33 0.21 0.44 0.35 0.30 Net GEX 581.4K 272.8K 930.0K 415.5K 623.2K Net DEX -17.8M -27.5M -7.8M -13.0M -27.2M Net VEX -132.6K -145.8K -120.5K -130.5K -137.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.13 0.21 5.18 0.55 2.50 Total Volume 3,749.318 1,169 9,523 2,346 1,843 Total OI 81,065.136 71,877 88,489 72,455 85,453
Daily Data (22 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-06-01 $13.51 $14.31 37.7% 10.8% 45.1% 18.8% 38.9% 5.8% 0.3% 415.5K -13.0M -130.5K 0.55 4.52 N/A N/A 1,514 832 39,252 33,203 2009-06-02 $13.98 $14.31 37.7% 10.8% 45.4% 18.8% 38.5% 5.9% 0.4% 570.2K -19.3M -131.9K 0.57 4.83 N/A N/A 4,254 2,419 40,047 33,323 2009-06-03 $13.83 $14.31 37.0% 10.6% 43.6% 17.9% 37.5% 5.0% 1.1% 618.0K -18.1M -138.1K 1.39 4.43 N/A N/A 1,373 1,914 43,000 33,973 2009-06-04 $14.33 $14.31 36.4% 10.4% 44.4% 17.2% 36.6% 3.9% 1.7% 698.1K -24.0M -142.7K 0.23 2.36 N/A N/A 3,552 835 43,506 35,286 2009-06-05 $14.23 $12.52 36.1% 10.8% 43.5% 16.9% 39.0% 6.2% 4.4% 774.2K -23.5M -145.8K 1.22 4.92 N/A N/A 842 1,030 45,555 35,608 2009-06-08 $14.05 $12.52 37.7% 10.9% 42.6% 18.7% 38.5% 5.9% 4.3% 749.7K -20.1M -138.9K 0.69 3.60 N/A N/A 709 487 45,403 35,712 2009-06-09 $14.11 $12.52 34.8% 10.4% 41.4% 15.2% 36.2% 5.8% 5.4% 836.8K -20.6M -135.6K 0.21 3.87 N/A N/A 3,509 747 45,229 35,393 2009-06-10 $13.91 $12.52 33.3% 10.3% 41.7% 13.4% 39.0% 6.2% 5.7% 889.3K -19.5M -136.0K 5.18 2.85 N/A N/A 295 1,528 47,120 35,471 2009-06-11 $14.11 $12.52 35.8% 10.3% 37.1% 16.5% 34.8% 5.9% 5.2% 930.0K -21.3M -136.5K 0.99 5.29 N/A N/A 4,780 4,743 47,203 36,505 2009-06-12 $13.85 $12.52 35.4% 10.1% 37.7% 16.0% 36.4% 6.6% 5.4% 882.6K -18.5M -134.1K 0.44 2.51 N/A N/A 1,658 733 49,457 35,203 2009-06-15 $13.51 $12.52 36.4% 10.4% 36.1% 17.2% 41.5% 6.9% 5.2% 619.9K -13.4M -128.2K 0.96 2.54 N/A N/A 1,370 1,317 49,456 35,311 2009-06-16 $13.28 $12.52 41.7% 12.0% 36.6% 23.7% 38.6% 7.2% 4.2% 407.7K -10.4M -123.2K 0.52 2.95 N/A N/A 3,171 1,654 49,479 35,192 2009-06-17 $13.15 $12.52 42.0% 12.0% 35.6% 24.1% 40.1% 7.4% 3.6% 272.8K -7.8M -121.0K 0.55 3.50 N/A N/A 4,563 2,515 49,407 36,054 2009-06-18 $13.39 $12.52 41.7% 12.0% 35.8% 23.8% 40.3% 7.0% 3.7% 347.7K -10.3M -123.8K 0.21 3.56 N/A N/A 966 203 51,028 37,461 2009-06-19 $13.51 $12.52 34.6% 9.9% 29.9% 15.0% 35.6% 6.2% 6.1% 368.2K -11.4M -123.7K 1.08 3.65 N/A N/A 579 625 51,129 37,293 2009-06-22 $13.16 $12.52 40.5% 11.6% 31.7% 22.3% 37.3% 6.6% 5.2% 311.9K -10.5M -120.5K 0.38 3.46 N/A N/A 2,993 1,131 40,802 31,075 2009-06-23 $13.27 $12.52 39.7% 11.4% 31.0% 21.3% 40.6% 5.5% 5.7% 378.0K -12.1M -122.8K 4.22 3.09 N/A N/A 1,701 7,175 42,123 31,743 2009-06-24 $13.60 $12.52 33.7% 9.6% 31.8% 13.8% 34.7% 4.8% 7.0% 363.2K -14.2M -135.9K 0.88 4.41 N/A N/A 688 608 42,955 36,871 2009-06-25 $14.28 $12.52 32.9% 9.4% 35.7% 12.9% 33.5% 5.5% 7.5% 484.3K -22.2M -138.3K 0.42 2.74 N/A N/A 2,719 1,142 43,126 37,054 2009-06-26 $14.58 $12.52 31.8% 9.1% 36.0% 11.6% 31.7% 4.5% 7.8% 605.3K -26.5M -137.0K 0.73 2.46 N/A N/A 2,209 1,605 44,270 37,176 2009-06-29 $14.61 $12.52 32.7% 9.4% 34.3% 12.7% 32.7% 5.4% 6.9% 643.1K -27.5M -135.7K 1.01 2.50 N/A N/A 1,970 1,984 45,629 37,897 2009-06-30 $14.53 $12.52 32.8% 9.4% 32.5% 12.8% 32.4% 4.7% 6.9% 623.2K -27.2M -137.7K 2.50 3.91 N/A N/A 527 1,316 46,577 38,876
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