A Options History — September 2010

In September 2010, A traded between $20.24 and $23.87. ATM implied volatility averaged 29.5%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 7.3% (HV 20d: 36.8%). Max pain ranged from $20.03 to $20.74. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-09-01: Highest Volume — 8,818 contracts
  • 2010-09-07: Largest IV spike — 14.9% change
  • 2010-09-13: Highest IV Rank — 53.0%
  • 2010-09-07: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.70$20.24$23.87$20.24$23.87
Max Pain$20.54$20.03$20.74$20.03$20.74
ATM IV29.5%26.9%31.9%30.6%27.9%
Expected Move8.5%7.9%9.3%8.8%8.0%
HV 20d36.8%26.9%46.9%45.0%26.9%
HV 60d37.3%36.0%38.2%37.5%36.5%
IV Rank44.8%36.0%53.0%48.6%39.2%
IV Percentile47.4%33.7%63.5%51.2%39.3%
Term Structure2.9%2.0%4.2%2.5%4.2%
VWIV30.0%27.9%33.5%30.3%29.4%
Skew 25d4.0%1.8%6.0%4.3%1.8%
Skew 10d9.0%5.4%11.9%9.3%6.2%
Call IV 25d28.6%27.1%30.4%29.5%27.4%
Put IV 25d32.7%29.2%36.0%33.8%29.2%
Bid-Ask Spread %6.725.108.876.077.67
Gamma HHI0.180.120.380.170.12
Net GEX998.5K702.8K1.6M710.4K1.0M
Net DEX-16.4M-50.0M2.9M2.9M-50.0M
Net VEX-282.0K-320.3K-241.7K-241.7K-320.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.181.120.820.61
Total Volume4,049.2867638,8188,8187,744
Total OI81,09171,12188,89971,12188,899

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$20.24$20.0330.6%8.8%45.0%48.6%30.3%4.3%2.5%710.4K2.9M-241.7K0.826.07N/AN/A4,8523,96639,40331,718
2010-09-02$20.89$20.0329.3%8.4%46.4%44.3%29.4%2.8%2.2%889.7K-6.2M-274.8K0.855.39N/AN/A2,7462,32641,65534,791
2010-09-03$21.35$20.7426.9%8.6%46.9%36.0%28.8%4.9%2.6%1.1M-13.6M-281.8K0.526.36N/AN/A2,9531,52842,75235,290
2010-09-07$20.74$20.0330.9%9.3%46.2%49.7%33.5%5.6%2.1%912.8K-3.1M-275.4K1.027.02N/AN/A9931,01643,74136,359
2010-09-08$20.63$20.0330.3%9.3%46.0%47.6%31.5%5.7%2.0%859.9K-1.0M-274.4K0.596.11N/AN/A74444244,06636,886
2010-09-09$20.69$20.7431.9%9.1%43.3%53.0%30.3%5.7%2.3%916.7K-2.0M-272.1K0.467.80N/AN/A52423944,23636,918
2010-09-10$20.68$20.7431.8%9.1%42.2%52.6%31.1%5.2%2.4%953.5K-1.5M-267.4K0.728.87N/AN/A64246444,48936,983
2010-09-13$20.84$20.7431.9%9.1%42.1%53.0%30.7%6.0%2.1%1.0M-3.8M-264.5K0.936.51N/AN/A2,9972,79244,48337,160
2010-09-14$20.87$20.7431.2%8.9%41.9%50.6%31.9%5.5%2.3%1.2M-3.2M-267.9K0.717.29N/AN/A1,20285045,83538,314
2010-09-15$21.04$20.0331.2%8.9%32.4%50.5%31.5%4.5%2.5%1.3M-6.6M-268.8K0.827.14N/AN/A91174446,03338,533
2010-09-16$21.49$20.0329.8%8.5%33.3%45.6%30.0%4.1%2.9%1.6M-17.3M-271.2K0.418.00N/AN/A4,1101,67646,08138,677
2010-09-17$21.85$20.7429.4%8.4%31.4%44.4%29.4%3.6%2.7%894.0K-27.9M-279.5K0.186.81N/AN/A6,2561,09647,70438,581
2010-09-20$22.20$20.7428.6%8.2%31.7%41.7%29.1%3.3%3.0%702.8K-17.8M-278.3K0.506.58N/AN/A3,2631,61939,71634,399
2010-09-21$22.28$20.7428.6%8.2%30.2%41.6%28.2%3.5%3.0%884.4K-20.9M-285.5K0.426.97N/AN/A1,61967841,87435,079
2010-09-22$22.00$20.7429.0%8.3%29.3%43.0%29.5%4.1%3.3%882.8K-16.7M-287.9K1.126.00N/AN/A1,5761,75942,47035,326
2010-09-23$21.86$20.7428.7%8.2%29.5%42.1%28.9%4.1%3.5%858.3K-14.1M-289.2K1.065.68N/AN/A2,3572,50742,77035,983
2010-09-24$22.95$20.7427.7%7.9%33.0%38.5%28.7%3.0%3.4%998.3K-33.0M-299.5K0.707.51N/AN/A3,5012,45844,10637,103
2010-09-27$22.89$20.7428.6%8.2%33.1%41.6%30.6%2.7%3.4%1.1M-32.1M-300.2K0.985.49N/AN/A1,1951,16945,29837,722
2010-09-28$23.13$20.7427.7%7.9%32.5%38.7%27.9%2.2%4.0%1.1M-36.5M-304.6K0.826.67N/AN/A2,6412,16745,88238,337
2010-09-29$23.30$20.7427.7%7.9%29.9%38.5%29.0%2.5%3.8%1.1M-39.4M-317.9K0.855.10N/AN/A1,4651,24847,37839,881
2010-09-30$23.87$20.7427.9%8.0%26.9%39.2%29.4%1.8%4.2%1.0M-50.0M-320.3K0.617.67N/AN/A4,8082,93648,18240,717