A Options History — October 2010

In October 2010, A traded between $23.31 and $24.98. ATM implied volatility averaged 29.8%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.2% (HV 20d: 25.6%). Max pain ranged from $21.46 to $21.46. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2010-10-12: Highest Volume — 12,660 contracts
  • 2010-10-14: Largest IV spike — 36.0% change
  • 2010-10-19: Highest IV Rank — 59.4%
  • 2010-10-19: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.40$23.31$24.98$24.13$24.89
Max Pain$21.46$21.46$21.46$21.46$21.46
ATM IV29.8%23.6%33.8%26.2%33.3%
Expected Move9.1%7.5%9.7%7.5%9.6%
HV 20d25.6%21.0%28.8%25.5%21.0%
HV 60d35.1%32.6%37.3%36.5%32.6%
IV Rank45.8%24.8%59.4%33.7%57.8%
IV Percentile53.3%20.2%77.0%31.7%76.6%
Term Structure-0.4%-2.3%5.2%5.2%-2.3%
VWIV33.5%26.9%36.4%26.9%34.5%
Skew 25d5.5%3.2%6.7%3.2%5.5%
Skew 10d11.9%10.2%14.3%11.5%11.2%
Call IV 25d30.0%26.2%31.8%26.2%31.8%
Put IV 25d35.5%29.4%37.8%29.4%37.2%
Bid-Ask Spread %9.794.7519.807.1415.04
Gamma HHI0.160.100.280.110.15
Net GEX1.7M1.2M2.3M1.2M2.2M
Net DEX-63.0M-81.5M-39.5M-54.3M-72.1M
Net VEX-371.5K-403.3K-329.7K-335.3K-403.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.032.440.970.51
Total Volume3,805.57145612,66011,4101,774
Total OI106,146.23892,560115,83992,560115,839

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$24.13$21.4626.2%7.5%25.5%33.7%26.9%3.2%5.2%1.2M-54.3M-335.3K0.977.14N/AN/A5,7915,61950,94041,620
2010-10-04$23.31$21.4628.8%9.5%28.8%42.3%35.2%6.7%-0.3%1.2M-39.5M-350.7K0.495.49N/AN/A3,6381,77054,23744,658
2010-10-05$23.63$21.4627.9%9.3%26.1%39.4%32.7%6.5%-0.2%1.3M-45.4M-348.6K0.614.75N/AN/A2,6661,61554,70044,955
2010-10-06$23.37$21.4627.4%9.2%26.5%37.6%36.4%6.5%-0.1%1.3M-39.5M-342.9K2.445.81N/AN/A5861,42954,54644,635
2010-10-07$23.75$21.4627.7%9.3%26.7%38.6%32.1%6.0%0.1%1.3M-47.7M-340.3K0.405.46N/AN/A1,52461054,63445,488
2010-10-08$24.18$21.4624.5%8.8%26.8%27.8%33.7%5.7%0.5%1.5M-57.9M-331.5K1.497.00N/AN/A41561854,78944,789
2010-10-11$24.14$21.4627.3%9.0%27.0%37.2%35.6%5.8%0.1%1.6M-57.0M-329.7K0.946.00N/AN/A91386055,00344,809
2010-10-12$24.09$21.4626.7%9.3%27.2%35.1%32.5%5.5%0.3%1.5M-56.7M-335.1K0.035.94N/AN/A12,29436655,44745,332
2010-10-13$24.54$21.4623.6%9.1%27.5%24.8%33.0%5.0%-0.1%2.2M-78.8M-368.1K0.5910.30N/AN/A2,3041,36464,78545,389
2010-10-14$24.48$21.4632.2%9.2%27.2%53.9%32.0%5.3%-0.1%2.3M-77.6M-369.6K0.678.24N/AN/A3,6002,40264,87145,459
2010-10-15$24.66$21.4631.7%9.1%26.9%52.4%31.4%5.5%0.3%1.9M-81.5M-397.8K0.1110.38N/AN/A3,60339766,85247,571
2010-10-18$24.79$21.4631.1%8.9%26.7%50.1%34.6%5.1%-0.3%1.6M-65.4M-383.7K1.149.90N/AN/A1,1581,31458,11844,715
2010-10-19$24.33$21.4633.8%9.7%28.0%59.4%33.0%5.5%-1.4%1.6M-56.5M-392.9K0.4212.76N/AN/A4,4671,86158,81945,181
2010-10-20$24.79$21.4631.9%9.1%27.7%52.8%33.4%5.6%-1.2%1.8M-66.1M-396.2K0.418.96N/AN/A1,94780761,53446,010
2010-10-21$24.86$21.4631.5%9.0%27.3%51.5%35.2%5.3%-0.9%1.9M-70.0M-391.3K0.599.93N/AN/A1,8821,10462,74546,514
2010-10-22$24.86$21.4630.9%8.8%22.3%49.4%32.8%5.2%-0.8%2.0M-70.3M-400.2K0.6811.15N/AN/A27118563,99147,163
2010-10-25$24.96$21.4631.9%9.2%22.2%53.1%32.7%5.6%-1.8%2.1M-73.3M-389.3K1.2513.37N/AN/A1,0331,29264,08747,301
2010-10-26$24.89$21.4632.4%9.3%22.2%54.5%35.4%5.9%-1.9%2.0M-70.5M-398.6K1.1019.80N/AN/A9561,05564,80648,086
2010-10-27$24.74$21.4632.5%9.3%22.4%55.1%34.7%5.9%-2.1%2.1M-68.2M-399.3K0.4616.44N/AN/A1,06548965,49648,446
2010-10-28$24.98$21.4632.5%9.3%21.2%55.1%34.9%5.2%-2.2%2.2M-74.6M-397.1K0.5011.70N/AN/A1,91595866,25448,457
2010-10-29$24.89$21.4633.3%9.6%21.0%57.8%34.5%5.5%-2.3%2.2M-72.1M-403.3K0.5115.04N/AN/A1,17460066,79449,045