A Options History — June 2010

In June 2010, A traded between $20.34 and $23.34. ATM implied volatility averaged 32.8%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 10.3% (HV 20d: 43.0%). Max pain ranged from $22.17 to $22.89. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2010-06-29: Highest Volume — 10,634 contracts
  • 2010-06-29: Largest IV spike — 26.7% change
  • 2010-06-07: Highest IV Rank — 71.5%
  • 2010-06-30: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.26$20.34$23.34$22.52$20.34
Max Pain$22.53$22.17$22.89$22.89$22.17
ATM IV32.8%25.5%40.8%38.7%38.9%
Expected Move9.3%7.3%11.1%11.1%11.1%
HV 20d43.0%36.1%53.9%51.5%37.7%
HV 60d37.3%33.8%39.8%33.8%39.8%
IV Rank47.8%26.6%71.5%65.3%65.7%
IV Percentile57.5%27.8%88.9%81.7%83.7%
Term Structure1.9%-1.9%3.8%-1.9%1.2%
VWIV33.1%25.5%40.9%38.6%38.0%
Skew 25d7.5%5.3%10.8%7.0%8.5%
Skew 10d15.1%10.6%21.5%13.5%16.3%
Call IV 25d29.4%24.1%35.1%35.1%34.6%
Put IV 25d37.0%29.6%44.4%42.1%43.0%
Bid-Ask Spread %8.225.5911.418.0411.41
Gamma HHI0.160.080.320.080.09
Net GEX711.2K-112.5K2.0M304.6K-112.5K
Net DEX2.0M-19.8M21.6M3.5M21.3M
Net VEX-313.0K-332.7K-267.0K-319.4K-267.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.113.973.920.78
Total Volume3,306.13641010,6341,5473,174
Total OI86,416.04573,12499,69283,06976,698

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$22.52$22.8938.7%11.1%51.5%65.3%38.6%7.0%-1.9%304.6K3.5M-319.4K3.928.04N/AN/A3151,23246,80536,264
2010-06-02$23.05$22.8933.1%9.5%51.2%48.7%34.6%7.2%-0.5%443.4K-2.5M-319.6K0.269.54N/AN/A1,44837046,98136,236
2010-06-03$23.18$22.8931.8%9.1%51.1%45.1%30.2%6.3%-0.3%548.3K-5.6M-322.6K0.118.05N/AN/A5,74465148,01436,012
2010-06-04$21.70$22.8940.1%11.0%53.9%69.4%37.1%10.8%0.4%515.2K11.2M-302.4K1.5410.70N/AN/A2,4663,78752,84735,868
2010-06-07$21.53$22.8940.8%11.1%52.0%71.5%38.9%9.8%0.4%432.6K14.2M-303.3K0.598.17N/AN/A1,56392853,84737,863
2010-06-08$21.34$22.8938.3%10.6%44.2%64.1%40.9%9.8%0.8%366.3K16.8M-306.0K3.975.63N/AN/A4881,93655,06037,933
2010-06-09$21.12$22.8937.4%10.4%44.2%61.3%35.3%9.8%1.4%210.0K21.6M-299.1K0.587.28N/AN/A1,47685155,22839,261
2010-06-10$21.78$22.8934.5%9.9%45.2%53.1%31.9%9.0%1.6%452.0K14.2M-312.5K0.195.59N/AN/A2,41345255,21039,327
2010-06-11$21.98$22.1731.5%9.0%45.5%44.2%32.1%7.8%2.5%558.5K11.4M-312.3K1.106.81N/AN/A80788955,57939,203
2010-06-14$22.50$22.1732.4%9.3%46.0%46.8%31.7%7.0%2.3%888.9K1.8M-323.3K0.707.94N/AN/A2,9582,07556,29039,549
2010-06-15$23.03$22.1729.1%8.3%46.7%37.2%28.7%6.3%2.9%1.6M-12.1M-332.4K0.147.46N/AN/A1,97127858,12739,240
2010-06-16$23.34$22.1727.2%7.8%41.0%31.5%28.5%5.3%3.6%2.0M-19.8M-332.7K0.187.13N/AN/A1,37824658,67039,315
2010-06-17$23.23$22.1727.8%8.0%40.7%33.3%29.9%5.5%3.5%2.0M-16.0M-326.5K1.227.26N/AN/A1,6612,01958,54539,350
2010-06-18$23.33$22.1725.5%7.3%36.4%26.6%25.5%5.4%3.8%1.6M-17.4M-323.3K0.447.22N/AN/A3,1021,35559,07540,617
2010-06-21$23.20$22.1727.5%7.9%36.4%32.4%26.9%5.7%3.3%948.0K-14.0M-324.7K0.879.21N/AN/A1,6681,44439,41433,710
2010-06-22$22.90$22.8929.1%8.4%36.8%37.3%34.4%6.8%2.8%884.9K-9.9M-327.8K1.037.88N/AN/A1,8681,91840,74134,382
2010-06-23$22.87$22.8927.9%8.0%36.7%33.8%26.3%6.8%3.6%928.3K-8.9M-330.1K0.437.72N/AN/A3,1961,36441,48334,371
2010-06-24$22.00$22.8931.1%8.9%39.2%43.0%33.4%7.9%2.6%416.5K4.3M-316.0K0.799.70N/AN/A78762241,55735,065
2010-06-25$21.95$22.1730.3%8.7%36.2%40.6%32.5%7.2%3.4%374.3K5.0M-310.2K1.218.71N/AN/A35843340,88034,999
2010-06-28$21.87$22.1729.8%8.6%36.1%39.3%37.0%7.4%3.6%291.2K7.2M-299.4K1.098.06N/AN/A19621440,86835,037
2010-06-29$20.89$22.1737.8%10.8%38.2%62.6%35.6%8.6%0.6%-16.7K17.3M-275.9K0.3611.21N/AN/A7,7992,83540,67934,953
2010-06-30$20.34$22.1738.9%11.1%37.7%65.7%38.0%8.5%1.2%-112.5K21.3M-267.0K0.7811.41N/AN/A1,7821,39241,16435,534