A Options History — August 2010

In August 2010, A traded between $19.29 and $21.33. ATM implied volatility averaged 33.5%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 7.0% (HV 20d: 40.5%). Max pain ranged from $20.03 to $21.46. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2010-08-17: Highest Volume — 16,462 contracts
  • 2010-08-17: Largest IV drop — 20.8% change
  • 2010-08-11: Highest IV Rank — 77.5%
  • 2010-08-16: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.18$19.29$21.33$20.62$19.29
Max Pain$20.29$20.03$21.46$21.46$20.03
ATM IV33.5%29.8%41.7%32.8%33.2%
Expected Move9.3%8.5%10.9%9.4%9.5%
HV 20d40.5%34.2%45.4%34.2%41.9%
HV 60d38.0%35.4%40.5%40.5%36.1%
IV Rank55.3%45.8%77.5%48.1%57.5%
IV Percentile69.6%46.0%96.4%70.2%75.0%
Term Structure0.7%-3.3%3.6%-2.8%1.7%
VWIV32.8%29.4%37.2%33.9%33.6%
Skew 25d5.1%3.9%6.3%5.7%4.3%
Skew 10d10.7%8.6%13.3%13.0%8.6%
Call IV 25d30.9%28.2%35.0%31.3%32.5%
Put IV 25d36.1%32.4%41.0%37.0%36.8%
Bid-Ask Spread %8.584.5612.397.797.13
Gamma HHI0.190.120.390.150.14
Net GEX620.2K4.6K2.4M179.2K377.6K
Net DEX11.4M-7.6M23.9M15.7M13.2M
Net VEX-229.2K-253.2K-206.3K-235.3K-217.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.091.790.321.64
Total Volume4,330.04567816,4626781,636
Total OI79,723.560,36798,36076,41970,153

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$20.62$21.4632.8%9.4%34.2%48.1%33.9%5.7%-2.8%179.2K15.7M-235.3K0.327.79N/AN/A51316540,14636,273
2010-08-03$19.91$21.4634.3%9.8%36.6%52.5%34.5%5.5%-3.2%4.6K23.4M-213.4K1.638.47N/AN/A1,4542,37540,23736,260
2010-08-04$20.24$21.4634.1%9.8%35.5%51.8%32.4%5.1%-3.3%76.2K20.5M-228.7K0.307.57N/AN/A4,1661,24641,00637,272
2010-08-05$20.36$21.4634.4%9.9%35.4%52.7%33.7%4.8%-2.9%442.3K15.5M-236.4K0.648.16N/AN/A87855944,42636,593
2010-08-06$20.55$20.0332.8%8.6%35.5%47.9%31.9%6.1%1.4%561.7K12.3M-239.4K0.699.05N/AN/A52136144,93936,811
2010-08-09$21.33$20.0335.4%8.6%37.3%56.6%30.1%4.9%1.1%801.1K-547.4K-250.9K0.1712.39N/AN/A2,45341444,93736,786
2010-08-10$21.07$20.0336.4%8.9%37.1%60.3%32.3%5.4%1.4%965.0K1.8M-253.2K0.3011.00N/AN/A2,91887946,76636,937
2010-08-11$20.19$20.0341.7%9.8%40.3%77.5%37.2%6.0%0.5%356.1K17.1M-233.1K0.557.31N/AN/A2,8351,55345,14337,469
2010-08-12$19.69$20.0334.8%10.0%41.1%61.2%34.5%6.3%0.3%258.7K23.3M-218.3K0.096.80N/AN/A8,07568846,83937,929
2010-08-13$19.56$20.0336.4%10.4%37.1%68.5%35.1%6.1%-0.0%597.5K20.9M-222.2K1.798.79N/AN/A2,1563,86052,92437,840
2010-08-16$19.43$20.0337.9%10.9%36.6%73.4%36.9%5.9%-0.8%339.8K23.9M-218.3K0.447.88N/AN/A6,2832,74353,99540,694
2010-08-17$20.94$20.0330.0%8.6%45.4%46.5%30.5%4.8%2.9%2.4M-7.6M-249.4K0.3411.19N/AN/A12,2514,21156,45441,906
2010-08-18$21.06$20.0329.8%8.5%45.4%45.8%29.4%4.2%3.4%2.3M-5.0M-249.5K0.3910.20N/AN/A1,71366054,11841,374
2010-08-19$20.41$20.0330.7%8.8%44.7%48.9%31.6%5.1%3.1%1.0M11.4M-225.6K1.079.56N/AN/A2,7582,96052,91341,284
2010-08-20$20.43$20.0330.0%8.6%44.1%46.6%31.2%5.2%3.6%525.3K11.5M-227.0K0.439.83N/AN/A1,61970353,07442,122
2010-08-23$20.00$20.0330.9%8.9%44.3%49.7%29.8%5.0%1.6%259.2K9.4M-216.1K0.4811.97N/AN/A2,3571,13832,11828,249
2010-08-24$19.57$20.0333.5%9.6%44.1%58.5%32.3%5.1%1.2%221.2K13.2M-206.3K0.198.29N/AN/A3,38365833,24328,741
2010-08-25$19.81$20.0331.9%9.1%44.4%53.0%31.9%4.3%1.5%421.6K9.2M-219.9K1.066.35N/AN/A1,1281,19235,30229,042
2010-08-26$19.68$20.0332.5%9.3%43.8%54.9%33.6%5.1%1.5%384.9K9.7M-218.4K0.557.07N/AN/A3,0941,68635,47029,220
2010-08-27$20.00$20.0331.0%8.9%44.1%49.9%32.8%3.9%2.0%593.0K5.7M-231.8K0.647.49N/AN/A1,7131,10437,75629,944
2010-08-30$19.80$20.0332.4%9.3%42.6%54.6%32.4%4.5%1.3%567.3K7.1M-230.8K1.324.56N/AN/A9511,25138,82830,384
2010-08-31$19.29$20.0333.2%9.5%41.9%57.5%33.6%4.3%1.7%377.6K13.2M-217.7K1.647.13N/AN/A6211,01539,18930,964