A Options History — January 2010

In January 2010, A traded between $20.05 and $22.39. ATM implied volatility averaged 28.7%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 10.7% (HV 20d: 18.0%). Max pain ranged from $21.46 to $21.46. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.86.

Notable Days

  • 2010-01-05: Highest Volume — 6,137 contracts
  • 2010-01-11: Largest IV spike — 18.5% change
  • 2010-01-29: Highest IV Rank — 14.4%
  • 2010-01-29: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.61$20.05$22.39$22.39$20.05
Max Pain$21.46$21.46$21.46$21.46$21.46
ATM IV28.7%23.5%33.0%26.7%33.0%
Expected Move8.6%8.1%9.5%8.7%9.5%
HV 20d18.0%13.8%23.9%15.0%22.5%
HV 60d24.0%22.9%24.6%24.1%23.4%
IV Rank8.5%1.2%14.4%5.7%14.4%
IV Percentile18.4%1.6%38.5%10.3%38.5%
Term Structure-0.9%-2.6%0.6%0.6%-2.6%
VWIV30.2%27.5%33.9%30.2%33.9%
Skew 25d5.1%2.9%9.7%4.0%4.4%
Skew 10d9.8%6.3%17.1%7.1%11.9%
Call IV 25d28.6%26.1%33.3%28.6%33.3%
Put IV 25d33.6%30.8%37.7%32.6%37.7%
Bid-Ask Spread %3.151.995.184.195.18
Gamma HHI0.460.230.730.450.23
Net GEX646.4K70.6K1.6M727.9K70.6K
Net DEX-27.5M-49.8M-1.0M-44.3M-1.0M
Net VEX-175.4K-193.7K-147.7K-147.9K-180.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.083.620.790.64
Total Volume2,380.5266836,1373,5262,359
Total OI71,17349,79989,48581,17157,506

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$22.39$21.4626.7%8.7%15.0%5.7%30.2%4.0%0.6%727.9K-44.3M-147.9K0.794.19N/AN/A1,9661,56039,65641,515
2010-01-05$22.15$21.4626.1%8.5%15.7%4.9%29.1%5.0%0.6%945.6K-41.6M-147.7K1.124.16N/AN/A2,8993,23839,51641,038
2010-01-06$22.07$21.4625.2%8.5%15.9%3.6%27.5%5.1%0.3%994.9K-41.5M-175.0K0.104.15N/AN/A6196441,81143,222
2010-01-07$22.04$21.4624.9%8.4%15.3%3.2%30.0%5.1%0.4%1.1M-41.3M-173.8K0.774.78N/AN/A43533341,82743,188
2010-01-08$22.03$21.4623.5%8.4%14.5%1.2%29.2%5.1%0.1%1.1M-41.5M-172.0K1.153.76N/AN/A31936641,92943,334
2010-01-11$22.05$21.4627.8%8.4%13.8%7.2%29.5%4.5%-0.3%1.1M-41.6M-166.6K0.173.68N/AN/A3,56558941,74743,418
2010-01-12$21.78$21.4627.2%8.4%14.6%6.4%29.4%4.5%-0.4%1.6M-40.6M-177.5K0.422.29N/AN/A1,58565844,23143,330
2010-01-13$21.95$21.4628.1%8.3%14.3%7.7%30.0%5.1%-0.4%1.6M-45.2M-172.0K1.432.23N/AN/A1,7102,44244,55143,103
2010-01-14$22.28$21.4628.8%8.2%15.1%8.6%28.9%4.5%-0.2%788.6K-49.8M-172.1K0.083.48N/AN/A1,65113044,36745,118
2010-01-15$21.77$21.4628.6%8.2%17.5%8.3%28.3%4.3%-0.4%806.0K-43.8M-174.6K0.102.22N/AN/A2,29321943,50045,178
2010-01-19$22.03$21.4628.3%8.1%17.3%7.9%27.9%2.9%-1.6%213.4K-17.2M-172.1K0.132.38N/AN/A3,44545725,13724,662
2010-01-20$21.91$21.4628.8%8.2%17.4%8.6%28.8%3.1%-1.8%282.6K-16.5M-176.5K0.371.99N/AN/A1,84867827,42324,780
2010-01-21$21.83$21.4629.4%8.4%16.6%9.4%29.3%3.7%-1.9%306.7K-17.2M-184.4K0.752.06N/AN/A69151728,86925,316
2010-01-22$20.87$21.4631.4%9.0%23.0%12.2%31.6%9.7%-1.6%169.6K-8.6M-180.3K3.623.74N/AN/A6682,41629,09225,602
2010-01-25$21.07$21.4632.0%9.2%23.3%13.1%32.5%4.7%-2.1%118.0K-9.0M-187.7K0.662.03N/AN/A1,5501,01829,24927,216
2010-01-26$20.95$21.4631.8%9.1%23.3%12.7%32.7%4.5%-1.8%133.3K-8.8M-193.7K0.562.24N/AN/A75542229,99027,205
2010-01-27$20.87$21.4631.7%9.1%23.3%12.6%32.4%9.3%-2.2%111.2K-7.5M-188.8K1.192.52N/AN/A42850929,96527,220
2010-01-28$20.52$21.4632.4%9.3%23.9%13.5%32.4%7.5%-2.5%94.3K-5.1M-188.2K2.382.76N/AN/A24558330,18327,293
2010-01-29$20.05$21.4633.0%9.5%22.5%14.4%33.9%4.4%-2.6%70.6K-1.0M-180.9K0.645.18N/AN/A1,44191830,29527,211