A Options History — May 2010

In May 2010, A traded between $22.20 and $26.30. ATM implied volatility averaged 36.9%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 6.2% (HV 20d: 43.1%). Max pain ranged from $22.89 to $25.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.21.

Notable Days

  • 2010-05-17: Highest Volume — 37,631 contracts
  • 2010-05-20: Largest IV spike — 24.7% change
  • 2010-05-20: Highest IV Rank — 85.5%
  • 2010-05-20: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.76$22.20$26.30$26.30$23.15
Max Pain$24.14$22.89$25.75$23.61$22.89
ATM IV36.9%27.9%45.7%27.9%32.5%
Expected Move10.3%8.0%13.1%8.0%9.3%
HV 20d43.1%24.2%51.9%24.2%51.5%
HV 60d28.4%17.8%33.9%17.8%33.9%
IV Rank45.2%14.7%85.5%14.7%47.1%
IV Percentile70.9%35.7%96.0%35.7%57.9%
Term Structure-1.2%-5.0%0.5%-2.4%-0.2%
VWIV36.4%30.8%46.5%30.8%35.0%
Skew 25d6.2%2.9%10.2%2.9%5.5%
Skew 10d13.0%6.3%20.3%7.2%11.6%
Call IV 25d33.6%27.9%41.8%27.9%30.1%
Put IV 25d39.8%30.8%52.0%30.8%35.7%
Bid-Ask Spread %7.664.9512.304.957.90
Gamma HHI0.130.070.160.160.09
Net GEX1.6M121.6K3.8M3.8M475.6K
Net DEX-24.8M-102.0M20.7M-102.0M-4.9M
Net VEX-346.7K-380.8K-309.6K-354.3K-330.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.224.920.561.48
Total Volume7,480.656137,6316601,233
Total OI111,821.8577,395130,216113,83582,171

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$26.30$23.6127.9%8.0%24.2%14.7%30.8%2.9%-2.4%3.8M-102.0M-354.3K0.564.95N/AN/A42423670,49443,341
2010-05-04$25.29$23.6132.2%9.2%28.3%20.2%32.5%3.6%-3.0%3.2M-69.9M-358.0K1.465.86N/AN/A3,0174,41270,46643,289
2010-05-05$24.86$23.6131.8%9.1%28.8%19.7%32.8%4.0%-2.9%2.8M-56.4M-357.8K2.415.27N/AN/A2,3535,67971,35445,030
2010-05-06$23.81$23.6139.3%11.3%32.7%29.2%38.4%4.0%-5.0%1.7M-24.0M-351.7K1.0612.30N/AN/A6,2696,62571,62945,864
2010-05-07$22.80$25.7545.7%11.6%35.8%37.3%40.9%8.1%-2.0%1.2M-2.1M-352.7K0.667.07N/AN/A5,6273,70173,16947,401
2010-05-10$24.46$25.7539.4%9.6%44.4%29.3%34.2%6.1%-0.2%2.5M-43.0M-380.8K0.809.62N/AN/A1,9891,58773,62748,989
2010-05-11$24.37$25.0439.4%9.8%44.3%29.3%34.5%5.7%-0.2%2.4M-37.4M-376.3K0.627.13N/AN/A1,20574273,72949,900
2010-05-12$24.90$25.0437.5%9.3%44.6%26.9%32.0%5.5%-0.1%3.1M-59.6M-378.8K0.397.50N/AN/A1,29650974,72049,902
2010-05-13$24.88$25.0432.8%9.4%42.8%20.9%32.5%5.1%-0.1%3.0M-57.9M-371.0K0.437.81N/AN/A2,30998373,69449,890
2010-05-14$24.22$25.0435.9%10.3%43.6%56.8%36.0%6.2%-1.1%2.2M-35.2M-365.1K2.616.77N/AN/A2,3426,10474,29150,352
2010-05-17$24.46$25.0440.5%11.6%43.8%70.3%39.6%4.4%-3.3%2.3M-45.8M-365.4K0.228.52N/AN/A30,8666,76574,88251,374
2010-05-18$22.94$25.0437.1%10.6%47.3%60.5%37.5%6.0%-0.5%393.9K6.6M-316.8K0.577.09N/AN/A11,7466,64370,36453,791
2010-05-19$23.31$23.6136.6%10.5%47.9%59.1%39.5%6.2%0.5%121.6K-7.3M-337.0K0.636.76N/AN/A6,6104,16771,77954,922
2010-05-20$22.20$23.6145.7%13.1%50.0%85.5%46.5%10.2%-2.9%772.3K20.7M-330.8K3.188.71N/AN/A1,2974,12872,03356,665
2010-05-21$22.42$23.6142.1%12.1%50.2%75.1%40.0%9.7%-1.0%647.5K17.1M-317.9K0.757.82N/AN/A4,7083,54771,95258,264
2010-05-24$22.46$23.6138.2%11.0%50.1%63.8%38.6%9.0%-0.6%273.0K3.5M-319.6K0.686.90N/AN/A1,5921,09043,30234,093
2010-05-25$22.35$23.6137.0%10.6%50.0%60.2%38.2%8.3%-0.1%270.4K5.6M-309.6K4.928.46N/AN/A6123,01343,80933,995
2010-05-26$22.53$22.8936.0%10.3%49.8%57.4%35.7%6.9%-0.5%265.2K4.0M-321.4K0.327.98N/AN/A2,73788843,94835,856
2010-05-27$23.43$22.8930.3%8.7%51.9%40.7%31.9%5.8%0.5%520.3K-8.8M-337.8K0.478.75N/AN/A38217946,19135,915
2010-05-28$23.15$22.8932.5%9.3%51.5%47.1%35.0%5.5%-0.2%475.6K-4.9M-330.4K1.487.90N/AN/A49673746,42335,748