A Options History — July 2010

In July 2010, A traded between $19.33 and $21.20. ATM implied volatility averaged 32.6%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.0% (HV 20d: 32.6%). Max pain ranged from $21.46 to $22.89. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-07-27: Highest Volume — 4,112 contracts
  • 2010-07-12: Largest IV spike — 25.7% change
  • 2010-07-01: Highest IV Rank — 63.8%
  • 2010-07-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.27$19.33$21.20$20.23$19.98
Max Pain$22.11$21.46$22.89$22.17$21.46
ATM IV32.6%27.8%38.2%38.2%33.5%
Expected Move9.7%8.5%11.0%11.0%9.6%
HV 20d32.6%27.3%37.4%37.4%33.0%
HV 60d40.4%39.2%41.5%39.8%40.7%
IV Rank47.5%33.2%63.8%63.8%50.1%
IV Percentile61.7%36.5%80.2%80.2%73.4%
Term Structure0.0%-2.0%3.3%1.8%-1.9%
VWIV33.7%30.9%36.9%36.7%33.6%
Skew 25d6.9%4.7%9.7%7.5%5.4%
Skew 10d14.3%9.4%19.4%14.9%12.2%
Call IV 25d31.5%27.9%34.8%34.8%31.9%
Put IV 25d38.4%32.6%44.5%42.3%37.3%
Bid-Ask Spread %7.014.4710.7310.3710.73
Gamma HHI0.140.100.370.100.13
Net GEX-154.9K-603.8K172.1K-183.9K16.1K
Net DEX21.9M9.1M34.0M23.3M22.5M
Net VEX-241.7K-258.8K-213.8K-255.9K-223.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.032.520.701.48
Total Volume2,069.6192014,1122,736201
Total OI75,848.14368,77881,48375,69976,647

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$20.23$22.1738.2%11.0%37.4%63.8%36.7%7.5%1.8%-183.9K23.3M-255.9K0.7010.37N/AN/A1,6091,12739,98135,718
2010-07-02$19.88$22.1735.4%10.1%30.7%55.5%36.8%6.6%3.3%-251.4K26.6M-250.7K1.089.62N/AN/A90698340,43036,289
2010-07-06$19.85$22.8936.6%10.9%30.7%59.0%36.2%9.7%-0.3%-265.5K27.2M-242.4K0.267.25N/AN/A2,30360141,17236,565
2010-07-07$20.44$22.8931.8%10.0%32.8%45.0%32.0%8.8%0.9%-266.5K22.3M-255.7K0.206.44N/AN/A2,32647041,07936,657
2010-07-08$20.61$22.8929.7%9.9%32.8%38.8%31.6%8.2%0.8%-265.7K21.3M-258.8K0.124.66N/AN/A1,52517941,57736,633
2010-07-09$20.49$22.8927.8%9.7%30.5%33.2%35.3%8.1%0.9%-315.9K22.9M-254.3K0.834.85N/AN/A33427840,91836,699
2010-07-12$20.17$22.8934.9%10.1%30.5%54.0%33.5%8.3%0.1%-321.5K26.0M-237.3K0.805.40N/AN/A1,7561,40441,20636,791
2010-07-13$20.57$22.1730.0%9.4%30.0%39.9%33.8%7.4%0.9%-300.3K22.5M-251.5K0.814.69N/AN/A53443341,74637,550
2010-07-14$20.52$22.1728.7%9.5%28.2%36.1%34.8%7.8%0.7%-288.1K23.1M-251.9K0.905.55N/AN/A52147041,91537,711
2010-07-15$20.31$22.1734.6%9.9%27.3%53.2%35.5%7.5%0.1%-347.6K25.0M-242.1K0.144.47N/AN/A2,14029242,16437,815
2010-07-16$19.33$22.1736.3%10.4%31.2%58.3%36.9%7.8%-0.2%-603.8K34.0M-213.8K0.436.89N/AN/A2,5281,09643,63937,844
2010-07-19$19.70$22.1733.1%9.5%32.4%48.8%32.1%6.6%-0.7%-157.1K25.1M-219.5K0.316.87N/AN/A2,20768634,88633,892
2010-07-20$19.69$22.1732.2%9.2%32.5%46.2%33.0%6.6%-0.5%-157.8K25.5M-216.3K2.527.34N/AN/A7171,81035,11534,251
2010-07-21$19.73$22.1732.8%9.4%32.7%47.9%32.3%6.0%-0.3%-169.0K24.3M-224.4K0.196.53N/AN/A1,52228935,57934,767
2010-07-22$20.54$21.4630.8%8.8%36.8%42.1%30.9%4.9%-0.3%-17.6K16.5M-242.1K0.037.43N/AN/A2,2006336,67934,887
2010-07-23$20.96$21.4629.8%8.5%35.7%39.2%31.2%4.7%0.4%123.9K11.9M-252.5K0.167.63N/AN/A75211737,76334,897
2010-07-26$21.20$21.4630.2%8.7%36.0%40.5%31.9%5.3%-0.6%153.4K9.1M-254.7K0.846.30N/AN/A1,5851,33537,88034,908
2010-07-27$20.65$21.4632.3%9.2%37.0%46.4%32.6%6.2%-1.2%172.1K14.8M-245.1K1.276.49N/AN/A1,8082,30439,37735,615
2010-07-28$20.59$21.4632.8%9.4%33.4%48.0%32.8%5.0%-1.5%139.4K15.9M-251.5K0.738.30N/AN/A31222840,97837,001
2010-07-29$20.14$21.4634.1%9.8%32.9%51.6%34.0%5.7%-2.0%53.6K20.7M-232.4K1.129.47N/AN/A71479739,65035,940
2010-07-30$19.98$21.4633.5%9.6%33.0%50.1%33.6%5.4%-1.9%16.1K22.5M-223.5K1.4810.73N/AN/A8112040,16336,484