A Options History — November 2010

In November 2010, A traded between $24.86 and $26.08. ATM implied volatility averaged 30.9%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 10.9% (HV 20d: 20.0%). Max pain ranged from $21.46 to $25.04. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-11-12: Highest Volume — 22,692 contracts
  • 2010-11-11: Largest IV drop — 23.1% change
  • 2010-11-10: Highest IV Rank — 82.9%
  • 2010-11-02: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.56$24.86$26.08$24.86$25.05
Max Pain$24.29$21.46$25.04$21.46$25.04
ATM IV30.9%25.1%40.7%34.6%30.2%
Expected Move8.5%7.2%9.9%9.9%8.7%
HV 20d20.0%15.0%27.3%16.3%27.3%
HV 60d27.6%24.4%32.6%32.6%24.5%
IV Rank49.6%29.8%82.9%62.3%47.1%
IV Percentile58.6%27.0%96.8%81.7%55.6%
Term Structure-0.3%-3.6%2.1%-3.2%0.1%
VWIV30.0%25.3%38.0%37.9%29.8%
Skew 25d4.6%3.5%6.0%6.0%4.2%
Skew 10d10.4%7.0%14.4%11.5%8.8%
Call IV 25d27.8%23.7%33.0%33.0%29.0%
Put IV 25d32.4%27.6%39.0%39.0%33.2%
Bid-Ask Spread %12.009.0014.7114.7111.06
Gamma HHI0.170.150.270.150.15
Net GEX2.5M1.6M3.5M2.2M1.6M
Net DEX-80.6M-115.2M-40.2M-72.8M-40.2M
Net VEX-364.3K-388.0K-340.4K-385.4K-340.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.092.930.480.36
Total Volume5,167.23888522,6921,0281,465
Total OI116,199.66793,784134,366116,45695,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$24.86$21.4634.6%9.9%16.3%62.3%37.9%6.0%-3.2%2.2M-72.8M-385.4K0.4814.71N/AN/A69533367,25649,200
2010-11-02$25.08$22.1734.7%9.9%15.9%62.4%36.0%5.9%-3.4%2.3M-77.0M-388.0K0.4611.93N/AN/A78335967,14949,449
2010-11-03$25.11$22.1734.1%9.8%15.0%60.5%38.0%5.4%-3.5%2.4M-78.6M-380.0K1.1213.66N/AN/A79589567,39349,635
2010-11-04$25.74$22.1732.9%9.4%16.3%56.4%34.0%4.5%-3.6%2.5M-95.6M-364.7K0.6513.84N/AN/A2,6301,71067,73449,547
2010-11-05$26.02$23.6133.1%8.4%15.6%56.9%29.0%4.4%-0.2%2.6M-102.8M-365.2K0.429.00N/AN/A1,43260568,76950,096
2010-11-08$25.88$23.6136.6%8.7%15.9%69.0%30.4%4.7%-0.8%2.6M-100.0M-360.2K0.279.77N/AN/A3,50195168,93150,058
2010-11-09$25.38$24.3239.7%8.9%17.8%79.6%30.3%4.8%-1.1%2.7M-86.8M-369.4K0.3310.70N/AN/A3,8501,25370,48350,294
2010-11-10$25.22$25.0440.7%8.9%17.0%82.9%30.9%5.0%-1.1%2.8M-83.4M-377.9K0.4610.14N/AN/A3,1121,43271,63150,907
2010-11-11$25.56$25.0431.3%9.0%17.4%50.9%32.1%5.2%-1.5%3.0M-96.1M-377.3K0.5211.62N/AN/A11,1915,83773,73551,435
2010-11-12$26.01$25.0428.4%8.1%18.2%41.0%28.6%4.5%0.8%3.5M-115.2M-367.4K0.4910.45N/AN/A15,2207,47277,76754,825
2010-11-15$25.89$25.0428.3%8.1%18.3%40.6%27.6%4.8%0.7%3.3M-105.0M-384.0K0.0912.41N/AN/A11,5731,05577,50856,858
2010-11-16$25.06$25.0429.6%8.5%20.9%45.1%29.4%5.3%0.5%2.9M-72.5M-374.9K0.9012.03N/AN/A4,2423,82675,04956,791
2010-11-17$25.19$25.0429.0%8.3%20.0%43.2%28.0%4.9%0.9%2.9M-77.4M-367.8K0.1311.20N/AN/A2,35329574,76457,567
2010-11-18$25.92$25.0426.5%7.6%22.3%34.6%26.0%4.4%1.5%3.5M-101.1M-354.3K0.3714.23N/AN/A2,47991674,60657,500
2010-11-19$26.08$25.0425.7%7.4%22.3%31.7%25.6%3.5%1.8%2.5M-107.1M-350.8K0.2011.01N/AN/A5,9351,18374,94057,396
2010-11-22$25.95$25.0425.1%7.2%22.4%29.8%25.9%4.5%2.1%2.0M-60.3M-350.8K0.4713.58N/AN/A63530153,59040,194
2010-11-23$25.34$25.0427.7%7.9%24.2%38.6%28.3%4.4%1.3%1.8M-47.8M-352.4K2.9314.24N/AN/A1,1923,49853,83140,293
2010-11-24$25.99$25.0425.6%7.3%25.5%31.4%25.3%3.5%1.5%1.9M-61.0M-356.7K0.3114.34N/AN/A86826753,84342,506
2010-11-26$26.00$25.0426.9%7.7%25.4%35.8%27.6%3.5%1.0%1.9M-61.7M-341.3K0.3610.18N/AN/A65023553,58741,711
2010-11-29$25.50$25.0428.8%8.3%26.5%42.4%29.7%4.2%0.0%1.8M-50.4M-341.0K0.9811.83N/AN/A75173753,76441,821
2010-11-30$25.05$25.0430.2%8.7%27.3%47.1%29.8%4.2%0.1%1.6M-40.2M-340.4K0.3611.06N/AN/A1,07439153,82341,957