A Options History — December 2010

In December 2010, A traded between $25.84 and $29.99. ATM implied volatility averaged 24.5%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.1% (HV 20d: 25.6%). Max pain ranged from $23.61 to $25.04. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2010-12-17: Highest Volume — 14,143 contracts
  • 2010-12-13: Largest IV spike — 13.4% change
  • 2010-12-01: Highest IV Rank — 37.6%
  • 2010-12-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.20$25.84$29.99$25.84$29.64
Max Pain$24.35$23.61$25.04$25.04$24.32
ATM IV24.5%22.6%27.4%27.4%24.7%
Expected Move7.1%6.5%7.9%7.9%7.1%
HV 20d25.6%17.9%29.7%29.3%17.9%
HV 60d23.8%21.6%25.0%24.2%21.6%
IV Rank27.6%21.3%37.6%37.6%28.3%
IV Percentile23.8%15.5%37.3%37.3%25.4%
Term Structure3.4%1.0%4.9%1.0%4.9%
VWIV25.9%23.2%28.9%27.5%28.9%
Skew 25d3.4%2.5%4.7%3.6%3.0%
Skew 10d7.8%5.7%11.9%7.8%9.1%
Call IV 25d23.6%21.7%26.2%26.2%23.4%
Put IV 25d27.1%24.5%30.0%29.9%26.4%
Bid-Ask Spread %10.464.6819.0815.324.68
Gamma HHI0.160.100.180.160.14
Net GEX2.0M1.4M2.3M2.0M2.0M
Net DEX-105.1M-131.6M-58.1M-58.1M-123.9M
Net VEX-291.0K-337.5K-251.9K-337.5K-331.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.142.860.360.14
Total Volume3,301.5451,06714,1432,9113,564
Total OI102,937.90996,490115,04996,490115,049

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$25.84$25.0427.4%7.9%29.3%37.6%27.5%3.6%1.0%2.0M-58.1M-337.5K0.3615.32N/AN/A2,14276954,33642,154
2010-12-02$26.27$25.0425.9%7.4%29.7%32.4%26.1%3.0%1.3%2.2M-70.8M-321.8K0.1717.44N/AN/A2,15637054,98942,014
2010-12-03$26.81$25.0425.6%7.3%29.4%31.3%27.1%3.1%1.6%2.2M-80.5M-324.3K0.4419.08N/AN/A2,21097654,87442,139
2010-12-06$26.56$23.6126.7%7.8%29.4%35.1%27.3%4.7%2.8%2.3M-76.1M-310.3K0.678.58N/AN/A1,03068854,83441,846
2010-12-07$26.88$23.6125.4%7.5%29.6%30.8%27.5%4.4%2.8%2.2M-83.1M-300.5K1.0911.22N/AN/A77084254,78141,925
2010-12-08$26.94$24.3224.6%7.4%28.5%28.2%28.2%4.3%2.9%2.3M-84.7M-296.0K1.2311.05N/AN/A71487755,10142,242
2010-12-09$27.22$24.3223.5%7.3%28.4%24.5%25.8%4.1%3.0%2.3M-91.1M-283.3K2.8610.77N/AN/A8932,55355,03642,119
2010-12-10$27.57$24.3223.2%7.2%28.3%23.2%25.6%3.8%3.0%2.2M-98.1M-289.0K0.4212.56N/AN/A2,5861,09555,77743,987
2010-12-13$27.68$24.3226.3%7.2%27.9%33.8%26.7%3.6%3.0%2.2M-101.8M-281.7K0.5412.52N/AN/A1,25467956,62244,449
2010-12-14$27.83$24.3225.9%7.1%27.7%32.5%25.3%3.7%3.2%2.2M-104.8M-278.7K0.4010.46N/AN/A2,04182257,14344,743
2010-12-15$27.53$24.3225.7%7.4%24.9%31.7%25.3%4.0%3.2%2.2M-96.6M-287.2K0.388.03N/AN/A1,48255957,11944,979
2010-12-16$28.43$24.3223.6%6.8%26.8%24.7%25.2%3.5%3.5%2.1M-117.9M-251.9K1.219.09N/AN/A1,4831,79157,66845,183
2010-12-17$29.00$24.3224.2%6.9%26.0%26.6%25.1%3.9%4.0%1.4M-122.3M-268.6K0.297.82N/AN/A10,9923,15158,10245,996
2010-12-20$29.06$24.3223.3%6.7%26.0%23.6%25.3%3.2%4.0%1.9M-119.6M-269.2K1.259.09N/AN/A2,4673,09558,24544,792
2010-12-21$29.21$24.3222.8%6.5%25.7%21.9%26.7%3.3%4.3%2.0M-118.2M-287.9K1.278.44N/AN/A1,1491,46558,44545,938
2010-12-22$29.37$24.3222.6%6.5%23.2%21.3%23.4%2.8%4.3%1.8M-122.8M-268.9K0.468.16N/AN/A1,13752458,43947,234
2010-12-23$29.38$24.3222.9%6.6%22.3%22.3%23.2%3.0%4.3%1.8M-123.6M-269.9K0.378.66N/AN/A1,23445659,01047,422
2010-12-27$29.99$24.3223.4%6.7%22.8%23.8%24.0%2.5%4.2%1.9M-130.2M-278.0K0.3810.92N/AN/A1,46055259,61647,577
2010-12-28$29.69$24.3223.6%6.8%21.5%24.8%25.3%2.8%4.4%1.9M-127.2M-277.1K1.509.41N/AN/A1,2371,85160,21547,891
2010-12-29$29.82$24.3223.5%6.7%19.4%24.3%24.6%2.6%4.8%1.8M-131.6M-272.3K0.917.86N/AN/A3,3853,06660,96349,184
2010-12-30$29.75$24.3223.8%6.8%17.9%25.3%25.4%2.9%4.8%1.8M-129.3M-315.6K1.879.03N/AN/A37269563,14151,315
2010-12-31$29.64$24.3224.7%7.1%17.9%28.3%28.9%3.0%4.9%2.0M-123.9M-331.6K0.144.68N/AN/A3,12244263,22251,827