A Options History — April 2010

In April 2010, A traded between $24.25 and $26.63. ATM implied volatility averaged 21.7%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 4.7% (HV 20d: 17.0%). Max pain ranged from $22.17 to $23.61. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2010-04-15: Highest Volume — 22,290 contracts
  • 2010-04-15: Largest IV spike — 30.4% change
  • 2010-04-30: Highest IV Rank — 15.1%
  • 2010-04-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.33$24.25$26.63$24.71$25.94
Max Pain$22.65$22.17$23.61$23.61$23.61
ATM IV21.7%16.4%28.2%16.4%28.2%
Expected Move6.8%4.7%8.1%4.7%8.1%
HV 20d17.0%11.5%23.9%14.5%23.9%
HV 60d19.6%16.9%20.9%20.2%18.1%
IV Rank6.8%0.0%15.1%0.0%15.1%
IV Percentile14.2%0.0%36.9%0.0%36.9%
Term Structure0.0%-1.7%5.5%5.5%-1.6%
VWIV25.0%17.7%29.3%17.7%29.3%
Skew 25d3.3%2.2%4.0%3.0%3.3%
Skew 10d6.7%4.7%8.9%6.8%6.0%
Call IV 25d22.7%16.2%27.3%16.2%27.3%
Put IV 25d26.0%19.2%30.6%19.2%30.6%
Bid-Ask Spread %5.433.4210.304.5110.30
Gamma HHI0.210.160.360.240.16
Net GEX3.8M3.1M6.1M3.6M3.5M
Net DEX-82.8M-115.3M-53.8M-68.7M-91.1M
Net VEX-336.0K-363.9K-311.6K-340.6K-363.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.072.920.550.90
Total Volume4,077.85770622,2901,8131,618
Total OI103,886.90596,784114,72796,784113,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$24.71$23.6116.4%4.7%14.5%0.0%17.7%3.0%5.5%3.6M-68.7M-340.6K0.554.51N/AN/A1,17064362,05634,728
2010-04-05$24.91$22.1717.3%6.3%11.5%1.2%22.3%3.9%1.5%3.9M-75.7M-329.7K0.854.49N/AN/A74563362,72434,883
2010-04-06$24.72$22.1717.0%6.3%11.8%0.8%26.3%3.8%1.4%3.9M-70.5M-327.3K1.784.17N/AN/A41874563,33935,207
2010-04-07$24.53$22.1718.5%6.7%12.1%2.7%23.8%4.0%0.7%3.9M-63.6M-329.3K2.923.42N/AN/A1,2183,55463,50835,460
2010-04-08$24.31$22.1718.9%6.8%12.0%3.2%24.6%3.9%0.5%3.8M-56.4M-325.9K0.884.29N/AN/A2,0941,84763,50835,460
2010-04-09$24.48$22.1717.2%6.9%12.1%1.0%24.1%4.0%0.4%3.6M-60.2M-335.5K0.075.85N/AN/A9376462,96037,974
2010-04-12$24.47$22.1719.0%6.9%12.0%3.3%25.0%4.0%0.1%3.6M-61.2M-322.5K1.443.59N/AN/A28941762,96537,960
2010-04-13$24.25$22.1717.9%6.9%12.4%2.0%24.2%3.9%0.1%3.8M-53.8M-326.0K0.814.35N/AN/A76861963,70438,030
2010-04-14$24.61$22.1717.5%6.9%13.4%1.5%25.2%3.8%0.0%3.7M-66.4M-324.5K0.444.51N/AN/A1,87882963,89338,154
2010-04-15$25.49$22.1722.8%6.5%17.8%8.2%23.2%3.1%0.4%3.1M-97.1M-311.6K0.235.74N/AN/A18,0924,19864,16738,167
2010-04-16$25.23$22.1723.9%6.8%18.4%9.5%23.9%3.5%0.3%6.1M-98.3M-336.2K1.137.14N/AN/A2,5322,87374,52240,205
2010-04-19$25.15$22.8923.9%6.8%18.5%9.6%24.3%3.8%-0.7%3.2M-69.2M-328.5K1.157.14N/AN/A1,2051,38861,16437,034
2010-04-20$25.96$22.8923.2%6.6%21.1%8.7%24.2%2.6%-0.5%3.5M-93.5M-325.8K0.297.71N/AN/A8,3562,41662,11037,922
2010-04-21$25.84$22.8923.5%6.7%21.1%9.0%24.2%2.6%-0.6%3.8M-93.0M-340.7K0.544.67N/AN/A1,53282166,04638,754
2010-04-22$26.07$22.8924.4%7.0%20.9%10.3%26.2%2.6%-0.9%3.8M-98.7M-346.9K2.095.77N/AN/A6301,31666,71139,179
2010-04-23$26.21$22.8923.5%6.7%20.1%9.1%24.4%2.4%-0.8%3.9M-102.5M-346.8K0.554.83N/AN/A1,50482567,12939,466
2010-04-26$26.34$22.8924.6%7.1%19.8%10.5%26.6%2.2%-1.2%3.9M-107.6M-339.6K0.094.85N/AN/A2,88825767,78839,898
2010-04-27$25.91$22.8927.2%7.8%21.0%13.7%29.3%3.8%-1.7%3.7M-93.9M-355.9K0.497.03N/AN/A4,7062,30768,71640,069
2010-04-28$26.21$22.8925.9%7.4%21.2%12.1%27.5%3.1%-0.9%4.0M-103.0M-354.4K1.475.15N/AN/A1,0821,59569,87240,840
2010-04-29$26.63$23.6126.1%7.5%21.4%12.4%28.5%2.4%-1.4%3.8M-115.3M-343.7K0.574.55N/AN/A2,9441,68269,94541,908
2010-04-30$25.94$23.6128.2%8.1%23.9%15.1%29.3%3.3%-1.6%3.5M-91.1M-363.9K0.9010.30N/AN/A85076870,44043,060