A Options History — October 2009

In October 2009, A traded between $17.70 and $19.76. ATM implied volatility averaged 33.0%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 8.1% (HV 20d: 24.9%). Max pain ranged from $17.88 to $19.67. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2009-10-08: Highest Volume — 8,592 contracts
  • 2009-10-15: Largest IV spike — 23.1% change
  • 2009-10-30: Highest IV Rank — 18.4%
  • 2009-10-30: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.09$17.70$19.76$19.03$17.70
Max Pain$18.05$17.88$19.67$19.67$17.88
ATM IV33.0%27.4%41.4%32.6%41.4%
Expected Move10.2%8.9%11.9%9.3%11.9%
HV 20d24.9%22.5%27.2%26.7%26.9%
HV 60d29.1%28.0%30.8%30.4%29.1%
IV Rank6.6%0.0%18.4%4.0%18.4%
IV Percentile12.7%0.0%36.9%9.1%36.9%
Term Structure-1.5%-4.8%5.6%4.9%-4.5%
VWIV36.0%31.1%43.2%32.7%43.2%
Skew 25d4.5%3.6%5.3%3.9%5.0%
Skew 10d8.4%6.0%10.6%8.3%8.6%
Call IV 25d34.0%29.8%40.1%32.9%40.1%
Put IV 25d38.5%34.0%45.1%36.8%45.1%
Bid-Ask Spread %3.722.296.323.744.83
Gamma HHI0.320.190.420.340.19
Net GEX659.0K292.1K1.1M474.8K292.1K
Net DEX-32.1M-47.3M-5.7M-29.8M-5.7M
Net VEX-188.7K-212.8K-164.8K-211.2K-180.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.162.801.661.50
Total Volume4,485.2739748,5927,9594,160
Total OI98,005.36489,110102,06197,447100,999

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$19.03$19.6732.6%9.3%26.7%4.0%32.7%3.9%4.9%474.8K-29.8M-211.2K1.663.74N/AN/A2,9924,96754,24043,207
2009-10-02$18.82$19.6732.3%9.3%27.2%3.7%34.6%3.9%5.6%376.7K-24.6M-212.8K0.163.44N/AN/A3,09949655,32744,592
2009-10-05$19.18$17.8832.3%11.0%26.9%3.6%37.9%5.3%-1.4%618.0K-34.8M-211.6K0.503.75N/AN/A1,33967557,10843,826
2009-10-06$19.47$17.8832.3%11.1%26.4%3.6%40.2%4.9%-1.4%692.7K-41.2M-211.7K0.773.86N/AN/A78060357,59843,819
2009-10-07$19.38$17.8830.8%10.9%24.6%1.7%38.2%5.1%-1.4%696.1K-39.6M-207.3K1.394.16N/AN/A40856657,37743,583
2009-10-08$19.60$17.8831.0%10.7%23.0%1.9%36.0%5.0%-0.5%757.8K-43.8M-202.2K0.253.94N/AN/A6,8821,71057,47243,606
2009-10-09$19.65$17.8827.4%10.5%22.9%0.0%39.4%5.2%-0.4%844.8K-44.6M-197.0K2.653.79N/AN/A1,1693,10156,32143,251
2009-10-12$19.64$17.8830.1%10.6%22.9%3.6%39.2%5.0%-1.0%810.5K-44.0M-190.2K1.563.07N/AN/A8561,33856,73143,750
2009-10-13$19.52$17.8829.3%10.6%22.7%2.5%39.8%4.6%-1.1%756.2K-41.7M-192.4K1.493.38N/AN/A1,0861,62057,12544,108
2009-10-14$19.74$17.8828.1%10.3%22.7%1.0%35.4%5.2%-4.4%983.1K-47.3M-182.9K1.223.53N/AN/A1,6081,96756,71742,886
2009-10-15$19.76$17.8834.6%9.9%22.7%9.5%34.8%4.3%-3.9%1.1M-47.1M-181.5K1.242.29N/AN/A2,9193,61956,87643,707
2009-10-16$19.46$17.8832.1%9.2%23.2%6.2%31.5%4.4%-0.5%989.0K-36.2M-178.7K0.752.57N/AN/A4,2233,17357,92144,140
2009-10-19$19.60$17.8831.0%8.9%22.5%4.8%31.8%4.2%-0.5%777.8K-40.0M-169.6K0.923.08N/AN/A1,3141,21550,87338,237
2009-10-20$18.93$17.8831.1%8.9%25.1%4.9%32.1%3.6%-0.0%674.9K-29.7M-164.8K0.914.99N/AN/A2,3882,17150,89138,539
2009-10-21$19.23$17.8831.0%8.9%25.9%4.7%31.1%3.7%-0.6%687.1K-33.6M-171.6K0.893.59N/AN/A2,6492,36350,71839,452
2009-10-22$19.22$17.8831.0%8.9%25.5%4.8%31.8%3.9%-0.9%725.7K-33.4M-176.0K2.022.96N/AN/A2,1044,24052,78440,992
2009-10-23$18.74$17.8834.9%10.0%26.7%9.9%33.4%3.9%-3.5%470.2K-22.8M-182.8K0.793.09N/AN/A1,6751,32151,65343,922
2009-10-26$18.39$17.8836.3%10.4%26.8%11.7%35.4%4.3%-4.3%447.1K-17.6M-177.3K1.946.32N/AN/A2,0754,01952,06344,167
2009-10-27$18.40$17.8837.9%10.9%26.8%13.8%36.5%4.7%-4.5%499.9K-18.3M-182.2K1.093.95N/AN/A2,6042,84452,69244,217
2009-10-28$18.11$17.8839.5%11.3%27.1%15.9%39.3%4.8%-4.0%460.7K-13.9M-178.2K2.803.81N/AN/A1,9295,40352,99744,142
2009-10-29$18.40$17.8838.8%11.1%23.5%14.9%36.8%4.7%-4.8%365.2K-16.1M-189.6K0.383.74N/AN/A2,18182553,79947,693
2009-10-30$17.70$17.8841.4%11.9%26.9%18.4%43.2%5.0%-4.5%292.1K-5.7M-180.4K1.504.83N/AN/A1,6622,49854,13546,864