A Options History — November 2009

In November 2009, A traded between $17.90 and $21.19. ATM implied volatility averaged 33.0%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.0% (HV 20d: 31.0%). Max pain ranged from $17.88 to $19.31. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2009-11-13: Highest Volume — 19,745 contracts
  • 2009-11-13: Largest IV drop — 19.9% change
  • 2009-11-03: Highest IV Rank — 19.7%
  • 2009-11-03: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.93$17.90$21.19$17.93$20.69
Max Pain$18.49$17.88$19.31$17.88$18.60
ATM IV33.0%24.0%42.4%42.1%26.5%
Expected Move9.1%6.9%12.2%12.1%7.6%
HV 20d31.0%25.5%36.1%26.3%27.0%
HV 60d27.9%25.6%30.0%28.9%27.5%
IV Rank8.4%0.0%19.7%19.3%3.5%
IV Percentile16.5%0.0%40.5%39.7%1.6%
Term Structure-0.2%-6.4%3.2%-4.8%2.1%
VWIV32.9%24.2%42.7%42.4%30.7%
Skew 25d5.5%3.4%9.6%5.1%4.7%
Skew 10d10.7%4.9%18.2%9.3%10.4%
Call IV 25d30.5%21.5%41.2%40.2%26.0%
Put IV 25d36.0%28.3%46.0%45.3%30.7%
Bid-Ask Spread %4.262.466.194.763.98
Gamma HHI0.440.200.640.200.62
Net GEX716.9K349.1K1.1M355.1K688.4K
Net DEX-40.6M-76.1M-8.6M-9.0M-30.5M
Net VEX-172.9K-184.4K-157.9K-179.7K-157.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.202.001.361.95
Total Volume3,699.437219,7451,708896
Total OI100,092.0575,399116,470102,00576,243

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$17.93$17.8842.1%12.1%26.3%19.3%42.4%5.1%-4.8%355.1K-9.0M-179.7K1.364.76N/AN/A72498454,86347,142
2009-11-03$17.90$17.8842.4%12.2%25.5%19.7%42.7%5.3%-5.0%356.5K-9.0M-178.2K0.764.23N/AN/A43532954,90647,244
2009-11-04$17.92$17.8842.2%12.1%25.5%19.4%41.9%5.2%-5.5%349.1K-8.6M-175.0K0.205.42N/AN/A2,95158254,95147,396
2009-11-05$18.69$17.8841.5%11.9%30.0%18.5%41.1%4.3%-6.4%483.8K-22.3M-182.9K0.212.87N/AN/A2,05243154,31447,518
2009-11-06$18.72$18.6040.9%10.0%29.9%17.8%34.3%3.7%-0.6%490.7K-22.2M-180.2K0.702.46N/AN/A67146754,42747,493
2009-11-09$19.28$18.6039.7%9.8%32.0%16.2%35.1%3.4%-0.7%604.3K-33.3M-177.8K0.243.43N/AN/A4,3021,04454,71447,429
2009-11-10$19.31$18.6040.7%9.8%32.0%17.5%35.6%3.5%-0.9%780.2K-35.6M-184.2K0.623.08N/AN/A2,1491,33958,40847,613
2009-11-11$19.64$18.6041.0%9.8%32.3%17.8%33.8%4.2%-0.9%960.8K-44.2M-184.4K0.834.44N/AN/A3,4062,83559,61247,751
2009-11-12$19.62$18.6034.3%9.8%32.3%9.1%33.3%4.1%-0.6%903.2K-42.6M-183.6K0.555.15N/AN/A3,5131,91958,94048,944
2009-11-13$20.46$18.6027.5%7.9%35.1%0.2%28.8%5.9%1.4%1.1M-65.5M-164.7K0.725.34N/AN/A11,4528,29360,18149,305
2009-11-16$21.01$18.6028.8%8.3%36.1%2.1%31.8%9.6%1.2%1.1M-75.3M-175.4K0.244.74N/AN/A6,4221,52163,07453,324
2009-11-17$21.19$18.6028.5%8.2%33.2%1.7%29.3%4.1%1.2%1.0M-76.1M-167.6K0.324.37N/AN/A3,5091,13461,16053,193
2009-11-18$21.07$18.6028.4%8.2%33.3%1.6%29.3%8.9%1.3%896.1K-72.9M-168.2K2.003.64N/AN/A1,2972,59261,02153,546
2009-11-19$20.84$18.6028.2%8.1%33.7%1.2%31.0%7.3%1.4%746.7K-66.4M-176.3K0.653.62N/AN/A90558661,01755,453
2009-11-20$20.68$18.6027.4%7.9%32.2%0.1%31.2%6.3%1.7%673.5K-65.5M-171.2K0.323.76N/AN/A1,39744361,26754,887
2009-11-23$20.94$18.6025.5%7.3%31.0%0.0%26.3%7.0%2.6%644.0K-33.8M-165.8K0.475.37N/AN/A64930838,62536,774
2009-11-24$20.92$18.6024.1%6.9%31.1%0.0%24.2%5.6%3.1%672.2K-33.4M-162.6K0.343.55N/AN/A1,14839139,05336,858
2009-11-25$21.13$18.6024.0%6.9%30.0%0.0%25.1%7.0%3.2%801.0K-36.6M-161.0K1.894.73N/AN/A12924339,65136,956
2009-11-27$20.64$19.3126.0%7.5%31.8%2.9%30.5%4.5%2.2%655.1K-30.2M-161.0K0.936.19N/AN/A28026039,63636,952
2009-11-30$20.69$18.6026.5%7.6%27.0%3.5%30.7%4.7%2.1%688.4K-30.5M-157.9K1.953.98N/AN/A30359339,44536,798