A Options History — July 2009 In July 2009, A traded between $13.45 and $16.66. ATM implied volatility averaged 39.2%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 3.9% (HV 20d: 35.3%). Max pain ranged from $12.52 to $12.52. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.92.
Notable Days 2009-07-31 : Highest Volume — 11,883 contracts2009-07-13 : Largest IV spike — 11.8% change2009-07-31 : Highest IV Rank — 29.0%2009-07-31 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $14.98 $13.45 $16.66 $14.75 $16.61 Max Pain $12.52 $12.52 $12.52 $12.52 $12.52 ATM IV 39.2% 33.8% 46.0% 33.8% 46.0% Expected Move 11.6% 9.7% 13.2% 9.7% 13.2% HV 20d 35.3% 31.3% 38.2% 32.4% 31.3% HV 60d 38.8% 36.9% 40.4% 39.5% 36.9% IV Rank 20.6% 14.0% 29.0% 14.0% 29.0% IV Percentile 25.0% 13.1% 36.5% 13.1% 36.5% Term Structure -1.1% -5.6% 6.0% 6.0% -5.6% VWIV 41.4% 33.1% 45.9% 33.1% 45.9% Skew 25d 6.3% 4.5% 7.5% 5.0% 6.9% Skew 10d 13.6% 6.6% 22.4% 10.9% 21.5% Call IV 25d 38.6% 31.2% 42.6% 31.2% 42.0% Put IV 25d 44.9% 36.3% 49.2% 36.3% 49.0% Bid-Ask Spread % 3.24 2.45 5.24 3.16 3.37 Gamma HHI 0.32 0.23 0.39 0.31 0.32 Net GEX 505.8K 352.2K 640.0K 640.0K 572.0K Net DEX -27.8M -43.7M -10.7M -29.8M -43.1M Net VEX -127.8K -140.0K -119.5K -135.1K -132.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.07 2.31 0.61 0.07 Total Volume 4,009.409 1,108 11,883 3,550 11,883 Total OI 83,631.773 73,906 90,806 85,682 85,816
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 2009-07-01 $14.75 $12.52 33.8% 9.7% 32.4% 14.0% 33.1% 5.0% 6.0% 640.0K -29.8M -135.1K 0.61 3.16 N/A N/A 2,200 1,350 46,563 39,119 2009-07-02 $14.11 $12.52 35.3% 10.1% 34.2% 15.9% 35.8% 4.5% 5.4% 566.0K -20.6M -140.0K 1.58 3.32 N/A N/A 2,290 3,612 47,352 39,554 2009-07-06 $13.98 $12.52 37.3% 11.9% 34.2% 18.3% 41.2% 7.0% -0.4% 592.1K -18.5M -135.5K 0.29 3.22 N/A N/A 2,740 801 48,034 39,995 2009-07-07 $13.58 $12.52 38.7% 12.0% 35.4% 20.1% 41.7% 7.5% -0.5% 414.5K -12.6M -132.8K 1.54 3.76 N/A N/A 436 672 47,339 40,053 2009-07-08 $13.45 $12.52 38.9% 12.0% 35.4% 20.3% 42.4% 6.9% -0.1% 369.0K -10.7M -129.5K 0.42 5.24 N/A N/A 6,123 2,582 47,195 40,117 2009-07-09 $13.51 $12.52 37.2% 12.0% 35.2% 18.2% 44.3% 6.5% -0.3% 363.2K -11.7M -131.1K 0.98 3.28 N/A N/A 684 668 46,822 40,499 2009-07-10 $13.56 $12.52 35.4% 11.9% 34.8% 15.9% 40.7% 6.5% -0.1% 352.2K -12.3M -129.9K 0.60 3.33 N/A N/A 1,749 1,051 46,572 40,778 2009-07-13 $13.87 $12.52 39.5% 12.0% 35.3% 21.0% 44.1% 6.2% -0.5% 440.1K -16.8M -129.8K 0.86 3.33 N/A N/A 1,093 941 46,707 41,354 2009-07-14 $13.94 $12.52 36.1% 11.8% 34.1% 16.8% 42.5% 6.0% -0.4% 468.7K -17.4M -127.3K 1.84 2.72 N/A N/A 1,096 2,015 46,763 41,487 2009-07-15 $14.71 $12.52 40.2% 12.0% 38.0% 21.8% 39.9% 6.8% -0.7% 595.6K -30.3M -127.2K 0.60 2.53 N/A N/A 4,078 2,459 47,037 41,514 2009-07-16 $14.90 $12.52 41.3% 11.9% 37.6% 23.3% 40.9% 6.5% -0.6% 483.7K -34.0M -126.9K 0.81 2.45 N/A N/A 839 681 48,368 42,438 2009-07-17 $14.99 $12.52 40.6% 11.7% 37.3% 22.4% 40.5% 6.1% -0.2% 430.4K -34.9M -125.2K 0.32 2.97 N/A N/A 1,771 572 47,314 41,624 2009-07-20 $15.42 $12.52 37.3% 10.7% 38.2% 18.3% 40.8% 5.7% -1.1% 482.5K -29.4M -122.6K 1.04 4.60 N/A N/A 1,574 1,641 39,849 34,057 2009-07-21 $15.36 $12.52 37.5% 10.7% 36.4% 18.5% 43.0% 6.0% -1.6% 497.7K -29.5M -122.7K 2.31 3.29 N/A N/A 540 1,246 40,606 34,840 2009-07-22 $15.38 $12.52 37.3% 10.7% 36.5% 18.3% 39.8% 5.9% -1.9% 500.8K -29.1M -120.9K 0.77 3.61 N/A N/A 1,335 1,029 40,602 34,960 2009-07-23 $15.82 $12.52 37.8% 10.8% 36.7% 18.9% 39.2% 5.5% -2.5% 539.7K -33.5M -122.2K 0.77 2.87 N/A N/A 1,248 963 40,729 35,174 2009-07-24 $15.93 $12.52 38.6% 11.1% 33.4% 19.9% 38.7% 5.7% -2.4% 571.6K -35.0M -123.5K 1.26 2.60 N/A N/A 615 774 41,363 35,119 2009-07-27 $16.21 $12.52 41.6% 11.9% 33.2% 23.7% 44.8% 6.9% -3.8% 577.9K -38.7M -119.5K 0.73 2.71 N/A N/A 4,481 3,262 41,632 35,252 2009-07-28 $16.66 $12.52 42.8% 12.3% 34.1% 25.1% 41.6% 6.6% -3.8% 539.6K -43.7M -119.8K 0.64 3.43 N/A N/A 3,958 2,518 42,805 36,791 2009-07-29 $16.19 $12.52 43.4% 12.4% 36.1% 25.7% 44.6% 6.8% -4.4% 562.3K -38.2M -128.1K 1.00 2.84 N/A N/A 1,497 1,499 44,503 37,884 2009-07-30 $16.57 $12.52 45.7% 13.1% 36.5% 28.7% 44.5% 6.6% -5.2% 567.4K -42.3M -130.1K 1.09 2.73 N/A N/A 2,694 2,947 44,965 38,354 2009-07-31 $16.61 $12.52 46.0% 13.2% 31.3% 29.0% 45.9% 6.9% -5.6% 572.0K -43.1M -132.5K 0.07 3.37 N/A N/A 11,110 773 46,281 39,535
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