A Options History — December 2009

In December 2009, A traded between $20.92 and $22.25. ATM implied volatility averaged 24.7%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.1% (HV 20d: 19.6%). Max pain ranged from $17.88 to $19.31. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.22.

Notable Days

  • 2009-12-29: Highest Volume — 10,615 contracts
  • 2009-12-10: Largest IV spike — 13.5% change
  • 2009-12-10: Highest IV Rank — 4.5%
  • 2009-12-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.42$20.92$22.25$21.06$22.22
Max Pain$18.08$17.88$19.31$19.31$17.88
ATM IV24.7%22.6%26.7%25.3%25.0%
Expected Move7.2%6.5%7.9%7.3%7.2%
HV 20d19.6%13.6%27.2%27.2%15.0%
HV 60d25.9%24.1%27.4%27.4%24.1%
IV Rank1.8%0.0%4.5%1.8%3.4%
IV Percentile2.4%0.0%6.0%0.8%6.0%
Term Structure4.6%2.5%6.4%2.5%5.6%
VWIV25.8%22.7%30.1%24.1%25.1%
Skew 25d2.5%-5.5%6.0%6.0%-5.5%
Skew 10d5.4%-4.2%12.2%9.7%-4.2%
Call IV 25d25.3%19.0%30.4%24.0%30.4%
Put IV 25d27.8%23.8%31.0%30.1%25.0%
Bid-Ask Spread %3.442.105.175.172.10
Gamma HHI0.660.460.770.630.46
Net GEX947.0K663.1K1.5M783.3K663.1K
Net DEX-36.2M-41.5M-29.7M-35.2M-40.6M
Net VEX-136.8K-153.8K-119.7K-153.8K-149.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.064.490.630.24
Total Volume2,053.68223210,6159885,253
Total OI75,821.77368,55579,56076,66677,846

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$21.06$19.3125.3%7.3%27.2%1.8%24.1%6.0%2.5%783.3K-35.2M-153.8K0.635.17N/AN/A60538339,49537,171
2009-12-02$21.09$19.3124.6%7.0%27.1%0.8%24.7%6.0%2.9%847.4K-35.8M-151.3K0.423.35N/AN/A33414039,41237,437
2009-12-03$21.24$19.3124.9%7.1%26.9%1.3%24.9%5.1%2.9%840.5K-38.3M-150.6K0.803.71N/AN/A1,04784239,43237,399
2009-12-04$21.36$17.8824.1%7.8%23.8%0.1%30.1%3.0%3.8%873.6K-39.9M-146.9K0.973.73N/AN/A92089239,74837,659
2009-12-07$21.37$17.8825.0%7.8%23.8%1.4%28.0%2.6%3.8%919.8K-39.3M-144.3K0.363.41N/AN/A57920639,60338,047
2009-12-08$21.17$17.8824.8%7.9%22.9%1.2%29.8%2.8%3.9%897.7K-35.6M-146.3K1.433.19N/AN/A1,2651,80839,84038,119
2009-12-09$20.92$17.8823.5%7.8%23.6%0.0%28.7%2.9%4.0%858.9K-32.3M-145.6K1.524.07N/AN/A40461440,31338,706
2009-12-10$21.24$17.8826.7%7.7%23.4%4.5%26.8%2.6%4.2%1.1M-37.3M-143.1K0.602.86N/AN/A33320040,21238,718
2009-12-11$21.20$17.8826.3%7.5%23.4%3.9%26.3%2.8%4.5%1.1M-36.9M-142.2K1.183.47N/AN/A10612640,35538,744
2009-12-14$21.44$17.8826.4%7.6%18.9%4.0%26.4%1.9%4.2%1.3M-40.3M-134.6K0.753.64N/AN/A15711739,88638,434
2009-12-15$21.39$17.8825.9%7.4%16.7%3.3%26.0%1.7%4.8%1.4M-40.1M-129.1K1.014.23N/AN/A96998339,87738,490
2009-12-16$21.29$17.8825.4%7.3%16.5%2.6%25.6%1.1%4.6%1.5M-36.0M-132.0K0.823.48N/AN/A43635939,64738,782
2009-12-17$21.06$17.8825.1%7.2%16.9%2.2%25.1%0.2%4.8%1.2M-31.8M-128.5K2.095.08N/AN/A31064939,43638,958
2009-12-18$21.03$17.8825.5%7.3%16.3%2.7%26.8%-0.4%4.1%685.8K-29.7M-127.8K1.043.05N/AN/A38239839,52639,308
2009-12-21$21.39$17.8823.3%6.7%17.1%0.0%23.7%-1.2%5.7%797.9K-32.0M-122.5K0.823.66N/AN/A1,4931,21933,35235,203
2009-12-22$21.59$17.8822.9%6.6%16.8%0.0%23.2%4.9%5.5%1.0M-34.4M-123.6K1.312.82N/AN/A44958633,50335,734
2009-12-23$21.67$17.8822.6%6.5%16.8%0.0%22.7%4.7%6.0%886.2K-35.4M-121.7K0.483.06N/AN/A21110233,65335,315
2009-12-24$21.70$17.8822.7%6.5%16.5%0.2%24.0%5.1%6.4%885.7K-35.2M-119.7K4.092.39N/AN/A6472,64933,30235,272
2009-12-28$21.75$17.8824.6%7.1%13.6%2.8%24.9%5.8%5.6%767.1K-34.4M-123.7K4.492.71N/AN/A16875433,66937,457
2009-12-29$21.70$17.8823.6%6.8%13.7%1.4%26.6%5.2%6.0%820.9K-33.5M-123.8K1.653.16N/AN/A4,0126,60333,59837,861
2009-12-30$22.25$17.8824.6%7.1%15.0%2.8%24.7%-2.2%5.3%684.5K-41.5M-148.6K0.063.41N/AN/A5,15631536,98542,575
2009-12-31$22.22$17.8825.0%7.2%15.0%3.4%25.1%-5.5%5.6%663.1K-40.6M-149.4K0.242.10N/AN/A4,2321,02136,79141,055