A Options History — August 2009

In August 2009, A traded between $16.65 and $18.48. ATM implied volatility averaged 39.6%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.4% (HV 20d: 33.2%). Max pain ranged from $12.52 to $17.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-08-18: Highest Volume — 20,554 contracts
  • 2009-08-18: Largest IV drop — 17.0% change
  • 2009-08-06: Highest IV Rank — 34.7%
  • 2009-08-06: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.64$16.65$18.48$17.13$18.37
Max Pain$15.67$12.52$17.88$12.52$17.88
ATM IV39.6%29.6%50.6%45.2%30.6%
Expected Move10.8%8.5%14.5%12.9%8.8%
HV 20d33.2%27.1%38.9%31.6%33.7%
HV 60d34.8%32.3%36.9%36.9%33.4%
IV Rank21.1%8.8%34.7%28.0%10.1%
IV Percentile22.7%2.4%44.8%34.9%4.4%
Term Structure-0.2%-8.3%4.4%-6.1%2.3%
VWIV38.1%29.6%49.8%46.5%30.8%
Skew 25d3.6%-1.4%7.4%5.0%-1.4%
Skew 10d7.8%0.7%23.0%9.8%0.7%
Call IV 25d37.3%30.5%47.8%45.8%33.9%
Put IV 25d40.8%31.2%54.2%50.7%32.5%
Bid-Ask Spread %3.142.344.892.922.37
Gamma HHI0.330.240.490.250.38
Net GEX816.1K285.2K1.2M624.1K908.9K
Net DEX-51.6M-73.9M-35.9M-50.1M-39.4M
Net VEX-180.3K-209.4K-136.8K-136.8K-209.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.211.480.280.97
Total Volume6,774.1431,54220,5547,2263,492
Total OI99,263.71479,728123,90789,32486,453

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$17.13$12.5245.2%12.9%31.6%28.0%46.5%5.0%-6.1%624.1K-50.1M-136.8K0.282.92N/AN/A5,6451,58149,58439,740
2009-08-04$17.29$12.5246.2%13.2%28.1%29.2%48.7%4.5%-6.8%791.5K-55.0M-153.0K1.153.55N/AN/A1,9122,19855,15439,902
2009-08-05$16.83$12.5250.0%14.3%30.4%33.9%48.5%4.7%-7.9%770.0K-48.7M-156.9K1.053.62N/AN/A1,9752,08055,54440,715
2009-08-06$16.65$12.5250.6%14.5%31.3%34.7%49.8%7.4%-8.3%747.7K-45.0M-162.2K0.792.94N/AN/A1,7871,40456,25141,971
2009-08-07$16.97$16.0950.0%11.9%31.4%34.0%40.9%5.6%-1.2%783.5K-50.2M-162.0K0.322.70N/AN/A1,95361856,69042,252
2009-08-10$17.05$16.0949.5%11.1%31.2%33.3%41.4%5.3%-0.6%811.9K-51.6M-157.7K0.482.96N/AN/A2,6251,26956,84142,386
2009-08-11$17.09$16.0949.0%11.1%31.3%32.8%39.7%4.9%-0.3%830.8K-52.8M-158.0K1.052.66N/AN/A1,5171,59457,88643,186
2009-08-12$17.44$16.0946.4%10.9%27.1%29.5%38.3%4.0%0.1%825.2K-56.5M-153.4K0.872.77N/AN/A9,1007,89557,12243,977
2009-08-13$17.59$16.0938.7%11.1%27.1%20.0%39.2%4.6%0.0%836.6K-59.1M-173.2K0.484.42N/AN/A3,4011,64859,71745,748
2009-08-14$17.20$16.0938.6%11.1%29.2%19.9%40.0%5.1%-0.2%853.7K-51.8M-174.3K0.573.30N/AN/A7,0864,05760,03046,257
2009-08-17$16.85$16.0943.6%12.5%29.6%26.0%43.0%4.7%-1.4%854.2K-47.0M-188.4K1.172.75N/AN/A6,3617,44264,64948,209
2009-08-18$18.18$16.0936.2%10.4%38.7%16.9%36.6%3.9%2.9%1.2M-73.7M-187.1K0.832.50N/AN/A11,2539,30165,91050,317
2009-08-19$18.06$16.0935.7%10.2%38.9%16.4%35.8%3.6%3.3%873.8K-68.9M-199.3K1.482.34N/AN/A3,2044,74367,38854,124
2009-08-20$18.11$16.0933.5%9.6%38.2%13.6%33.6%3.2%4.0%285.2K-68.8M-200.4K0.213.93N/AN/A9,4832,03366,87856,195
2009-08-21$18.28$16.0932.8%9.4%38.2%12.7%33.2%2.7%4.4%632.9K-73.9M-199.4K0.693.17N/AN/A91063267,47456,433
2009-08-24$18.24$16.0932.8%9.4%38.1%12.7%32.7%2.9%1.3%876.2K-37.4M-200.3K1.424.89N/AN/A1,6662,37248,10931,619
2009-08-25$18.13$16.0931.1%8.9%37.5%10.7%32.0%0.9%2.2%887.4K-35.9M-201.5K0.764.04N/AN/A2,6802,04548,53032,065
2009-08-26$18.23$16.0930.6%8.8%35.4%10.1%30.8%0.8%2.6%915.2K-37.6M-205.2K1.312.69N/AN/A1,2221,60249,80132,523
2009-08-27$18.27$17.8829.9%8.6%34.8%9.2%29.9%1.7%2.9%941.8K-38.1M-205.6K0.792.59N/AN/A1,3271,04450,35332,860
2009-08-28$18.48$17.8829.6%8.5%34.9%8.8%29.6%0.7%2.5%935.7K-41.3M-203.3K1.222.92N/AN/A3,6544,44650,32133,374
2009-08-31$18.37$17.8830.6%8.8%33.7%10.1%30.8%-1.4%2.3%908.9K-39.4M-209.4K0.972.37N/AN/A1,7711,72151,73634,717