A Options History — February 2010

In February 2010, A traded between $20.79 and $22.50. ATM implied volatility averaged 29.3%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.0% (HV 20d: 26.3%). Max pain ranged from $20.74 to $21.46. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-02-11: Highest Volume — 10,145 contracts
  • 2010-02-11: Largest IV drop — 23.2% change
  • 2010-02-09: Highest IV Rank — 25.1%
  • 2010-02-04: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.55$20.79$22.50$20.84$22.50
Max Pain$21.31$20.74$21.46$21.46$21.46
ATM IV29.3%21.2%40.8%33.6%21.2%
Expected Move8.0%6.1%10.5%9.6%6.1%
HV 20d26.3%21.2%28.5%27.3%21.2%
HV 60d21.8%20.2%24.7%24.6%20.3%
IV Rank9.5%0.0%25.1%15.3%0.0%
IV Percentile23.4%0.0%59.9%40.1%0.0%
Term Structure0.4%-5.1%4.6%-3.5%1.7%
VWIV27.7%21.4%36.8%33.6%21.4%
Skew 25d1.9%-54.9%12.1%10.1%2.2%
Skew 10d4.6%-78.4%20.0%18.1%4.9%
Call IV 25d29.1%20.5%98.2%28.9%20.6%
Put IV 25d31.0%22.7%43.3%39.0%22.7%
Bid-Ask Spread %9.722.1774.072.246.30
Gamma HHI0.250.170.330.250.23
Net GEX742.0K124.7K2.0M124.7K2.0M
Net DEX-18.7M-37.6M-7.8M-7.9M-30.9M
Net VEX-203.7K-229.6K-190.2K-190.2K-229.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.062.931.130.14
Total Volume2,753.42148410,1453,1701,027
Total OI61,701.89550,38170,97158,33960,124

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$20.84$21.4633.6%9.6%27.3%15.3%33.6%10.1%-3.5%124.7K-7.9M-190.2K1.132.24N/AN/A1,4871,68330,57127,768
2010-02-02$21.10$21.4633.2%9.5%27.7%14.7%33.3%11.9%-3.6%160.1K-10.3M-195.7K0.772.17N/AN/A27321131,25128,440
2010-02-03$21.13$21.4633.6%9.6%27.5%15.2%33.6%12.1%-4.9%153.5K-10.9M-194.8K1.052.81N/AN/A71274431,30328,537
2010-02-04$20.79$21.4636.8%10.5%28.0%19.6%36.8%-54.9%-5.1%141.7K-7.8M-193.0K2.9374.07N/AN/A3841,12831,35928,487
2010-02-05$20.87$20.7437.9%9.4%28.0%21.2%32.8%5.5%-1.2%174.9K-8.7M-195.4K2.308.23N/AN/A7971,83031,36728,283
2010-02-08$20.89$20.7440.1%9.4%28.1%24.3%30.9%5.3%-1.3%184.9K-9.1M-194.0K0.388.00N/AN/A1,02838931,65128,256
2010-02-09$21.04$20.7440.8%9.3%28.3%25.1%31.9%4.0%-0.2%236.8K-10.7M-196.9K1.986.83N/AN/A5551,10032,57928,511
2010-02-10$20.92$20.7439.9%9.1%28.1%24.0%31.2%4.2%-0.1%149.0K-8.2M-196.3K2.526.35N/AN/A6611,66532,64629,361
2010-02-11$21.00$21.4630.7%8.8%27.9%11.2%29.3%4.3%0.3%218.0K-9.8M-194.4K0.467.58N/AN/A6,9633,18233,04329,246
2010-02-12$21.44$21.4625.5%7.3%28.5%4.1%26.0%4.2%3.4%553.2K-17.8M-207.6K0.517.95N/AN/A5,2402,67237,55730,592
2010-02-16$21.64$21.4625.5%7.3%27.5%4.0%24.9%4.3%3.0%715.3K-23.1M-207.8K0.326.34N/AN/A1,64353339,37231,083
2010-02-17$21.91$21.4623.6%6.8%27.6%1.4%24.7%3.6%4.2%830.0K-30.1M-206.9K0.857.56N/AN/A98383639,48930,900
2010-02-18$22.16$21.4623.0%6.6%27.8%0.5%23.6%3.3%4.5%1.2M-35.2M-206.0K0.305.68N/AN/A65119939,71231,259
2010-02-19$22.32$21.4622.4%6.4%27.8%0.0%22.8%3.5%4.6%1.2M-37.6M-202.5K0.146.11N/AN/A2,05529639,61031,243
2010-02-22$22.28$21.4622.2%6.4%21.9%0.0%22.3%3.4%1.3%1.1M-22.9M-205.2K0.737.43N/AN/A47334429,83520,546
2010-02-23$22.07$21.4622.4%6.4%22.2%0.3%22.9%3.0%1.0%1.2M-20.4M-204.5K0.066.17N/AN/A7,24746030,09520,801
2010-02-24$22.34$21.4621.6%6.2%22.3%0.0%22.1%2.9%1.3%1.9M-27.2M-221.4K0.246.28N/AN/A1,42734437,08521,015
2010-02-25$22.24$21.4621.8%6.3%22.3%0.2%22.6%2.9%1.2%1.9M-26.4M-228.4K0.986.62N/AN/A55154238,10421,255
2010-02-26$22.50$21.4621.2%6.1%21.2%0.0%21.4%2.2%1.7%2.0M-30.9M-229.6K0.146.30N/AN/A90012738,44221,682