A Options History — September 2009

In September 2009, A traded between $18.04 and $20.61. ATM implied volatility averaged 31.6%, placing in the 3.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 4.4% (HV 20d: 27.2%). Max pain ranged from $17.88 to $19.67. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2009-09-11: Highest Volume — 9,066 contracts
  • 2009-09-22: Largest IV spike — 9.5% change
  • 2009-09-01: Highest IV Rank — 10.5%
  • 2009-09-04: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$18.04$20.61$18.49$19.91
Max Pain$18.99$17.88$19.67$17.88$19.67
ATM IV31.6%29.7%33.1%32.4%30.2%
Expected Move9.0%8.5%9.5%9.3%8.6%
HV 20d27.2%19.6%35.0%33.7%22.6%
HV 60d32.1%28.7%33.8%33.2%28.7%
IV Rank3.4%0.2%10.5%10.5%0.8%
IV Percentile4.3%0.4%7.9%6.0%1.6%
Term Structure4.4%1.6%6.5%1.6%6.5%
VWIV31.9%29.5%33.5%32.5%30.1%
Skew 25d5.4%1.4%11.1%1.4%5.1%
Skew 10d9.6%5.1%17.6%5.1%8.9%
Call IV 25d28.8%23.9%32.6%32.6%28.5%
Put IV 25d34.3%33.5%35.3%33.9%33.6%
Bid-Ask Spread %4.022.406.093.892.40
Gamma HHI0.390.360.460.370.39
Net GEX750.0K460.1K954.4K900.2K627.4K
Net DEX-53.5M-69.2M-33.5M-41.3M-46.3M
Net VEX-207.6K-221.1K-199.7K-212.2K-208.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.102.771.141.37
Total Volume4,2136049,0666,280604
Total OI94,604.04887,421101,05387,42197,144

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$18.49$17.8832.4%9.3%33.7%10.5%32.5%1.4%1.6%900.2K-41.3M-212.2K1.143.89N/AN/A2,9363,34452,28135,140
2009-09-02$18.04$17.8831.6%9.1%33.4%8.6%32.0%11.1%2.5%872.0K-33.5M-215.4K2.052.97N/AN/A2,3144,73553,41336,250
2009-09-03$18.09$17.8830.9%8.8%33.0%3.8%31.0%10.1%2.8%867.9K-35.0M-219.7K1.712.63N/AN/A1,5552,66354,13137,243
2009-09-04$18.50$17.8829.8%9.5%33.2%2.4%32.0%5.4%3.6%847.7K-42.7M-221.1K0.733.57N/AN/A2,0841,51454,88438,379
2009-09-08$18.89$17.8832.2%8.7%33.7%3.5%32.0%5.3%4.1%954.4K-50.1M-213.5K0.264.26N/AN/A1,38536255,39438,047
2009-09-09$19.42$17.8833.1%8.7%34.6%4.7%31.9%4.7%4.6%917.1K-58.3M-207.6K0.722.57N/AN/A3,0672,20255,15237,940
2009-09-10$19.93$17.8831.1%8.9%35.0%2.0%32.9%4.9%4.0%951.3K-65.8M-203.6K1.543.06N/AN/A2,3883,67855,87538,614
2009-09-11$20.06$17.8831.7%9.1%35.0%2.9%33.0%5.0%4.0%882.8K-67.7M-202.6K1.633.18N/AN/A3,4465,62056,21839,763
2009-09-14$20.10$19.6732.7%9.4%33.3%4.1%32.5%5.6%3.7%767.4K-66.4M-210.2K2.772.80N/AN/A1,3003,60457,39243,310
2009-09-15$20.26$19.6732.4%9.3%31.6%3.8%31.5%5.4%4.0%759.6K-66.6M-205.5K0.304.06N/AN/A2,96487856,87842,734
2009-09-16$20.48$19.6732.8%9.4%19.7%4.4%33.5%5.0%3.7%817.3K-69.2M-200.8K1.904.63N/AN/A6501,23456,95543,057
2009-09-17$20.38$19.6732.9%9.4%19.6%4.4%32.1%5.2%4.0%810.1K-67.3M-203.2K0.783.86N/AN/A2,0381,59057,15243,247
2009-09-18$20.29$19.6731.9%9.1%19.9%3.1%33.1%5.0%4.3%690.8K-65.6M-202.9K1.534.44N/AN/A1,5102,30957,31443,739
2009-09-21$20.61$19.6729.7%8.5%20.1%0.2%30.8%4.7%5.2%667.7K-59.3M-199.7K1.165.02N/AN/A3,1433,65650,16639,138
2009-09-22$20.41$19.6732.6%9.3%20.7%4.0%32.8%5.5%4.6%675.2K-56.3M-205.3K1.634.31N/AN/A6391,04452,04340,311
2009-09-23$20.22$19.6731.6%9.1%21.0%2.7%31.2%5.4%5.3%656.5K-53.2M-207.8K0.786.09N/AN/A2,8592,24152,09440,672
2009-09-24$19.91$19.6730.8%8.8%22.3%1.6%30.6%4.5%6.2%588.2K-46.5M-203.0K1.884.98N/AN/A1,8553,49450,99540,153
2009-09-25$19.73$19.6730.5%8.8%22.8%1.3%32.0%5.0%6.2%460.1K-40.7M-210.2K1.715.63N/AN/A46880151,21642,618
2009-09-28$19.95$19.6731.4%9.0%22.8%2.4%31.9%5.2%5.7%509.3K-45.0M-201.1K1.485.75N/AN/A1,4992,22051,39042,586
2009-09-29$19.96$19.6730.5%8.7%22.5%1.2%29.5%4.9%6.3%527.6K-45.6M-204.7K0.104.38N/AN/A2,34423652,19743,460
2009-09-30$19.91$19.6730.2%8.6%22.6%0.8%30.1%5.1%6.5%627.4K-46.3M-208.8K1.372.40N/AN/A25435054,14742,997