A Options History — January 2011

In January 2011, A traded between $29.31 and $31.72. ATM implied volatility averaged 28.0%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 8.3% (HV 20d: 19.7%). Max pain ranged from $23.61 to $25.75. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2011-01-03: Highest Volume — 6,919 contracts
  • 2011-01-13: Largest IV spike — 36.2% change
  • 2011-01-28: Highest IV Rank — 58.4%
  • 2011-01-28: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.29$29.31$31.72$29.96$29.92
Max Pain$24.39$23.61$25.75$24.32$25.75
ATM IV28.0%21.0%33.5%24.1%33.3%
Expected Move8.4%6.9%9.6%6.9%9.5%
HV 20d19.7%13.9%26.6%17.2%26.6%
HV 60d22.5%20.8%25.1%21.5%25.1%
IV Rank39.6%15.8%58.4%26.5%57.6%
IV Percentile44.3%8.7%78.6%23.4%77.8%
Term Structure0.5%-3.5%5.3%4.9%-3.5%
VWIV29.8%24.5%34.3%28.3%34.3%
Skew 25d4.3%3.4%5.0%4.4%4.4%
Skew 10d9.3%6.7%13.9%13.9%10.4%
Call IV 25d27.6%23.2%32.1%23.6%32.1%
Put IV 25d31.9%26.6%36.7%28.0%36.5%
Bid-Ask Spread %8.116.0210.239.498.83
Gamma HHI0.160.120.390.140.12
Net GEX1.7M1.1M2.9M1.9M1.1M
Net DEX-115.9M-165.9M-52.2M-127.3M-60.7M
Net VEX-304.2K-341.9K-279.4K-331.7K-293.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.112.542.541.57
Total Volume3,207.357176,9196,9193,237
Total OI107,581.976,009122,047115,86280,863

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$29.96$24.3224.1%6.9%17.2%26.5%28.3%4.4%4.9%1.9M-127.3M-331.7K2.549.49N/AN/A1,9534,96663,79152,071
2011-01-04$29.68$24.3224.8%7.1%17.2%28.9%25.5%3.5%4.7%1.9M-127.1M-333.2K0.487.41N/AN/A70534164,36556,198
2011-01-05$29.61$24.3224.4%7.0%17.2%27.4%24.5%3.4%5.3%2.1M-123.6M-341.9K0.268.24N/AN/A1,33434364,65354,424
2011-01-06$29.67$24.3224.6%7.1%17.2%28.1%24.5%3.4%4.9%2.1M-125.2M-341.9K0.338.35N/AN/A1,90363364,95254,445
2011-01-07$29.77$23.6123.1%8.2%17.1%22.8%29.2%5.0%1.6%2.2M-129.3M-329.7K1.159.20N/AN/A1,0781,24365,89954,820
2011-01-10$30.20$23.6123.9%8.4%17.2%25.7%30.0%4.6%1.0%2.0M-139.5M-310.0K0.267.99N/AN/A2,69171265,85855,022
2011-01-11$30.72$23.6122.1%8.1%17.7%19.6%28.5%4.3%1.5%1.8M-146.6M-302.6K0.296.88N/AN/A3,9271,13065,28155,175
2011-01-12$30.85$23.6121.0%8.1%17.7%15.8%29.2%4.2%1.4%1.8M-151.0M-295.4K0.606.02N/AN/A1,09065465,97255,245
2011-01-13$30.74$23.6128.6%8.2%17.0%41.8%29.3%4.4%1.3%1.8M-150.0M-295.6K1.296.11N/AN/A67987866,22955,449
2011-01-14$30.94$23.6128.7%8.2%13.9%42.0%28.9%4.6%0.8%1.7M-153.8M-288.6K0.208.51N/AN/A1,53630266,42755,393
2011-01-18$31.72$23.6130.0%8.6%14.7%46.6%30.4%4.7%-0.1%1.5M-165.9M-279.4K1.106.92N/AN/A2,1862,39966,31855,502
2011-01-19$30.35$24.3231.1%8.9%22.7%50.4%31.9%4.5%-0.8%1.7M-130.1M-293.3K0.436.97N/AN/A4,2971,85563,04156,669
2011-01-20$30.25$25.0431.7%9.1%22.8%52.3%31.9%4.0%-1.2%1.9M-128.6M-300.0K1.079.23N/AN/A1,9122,05264,19657,132
2011-01-21$30.12$25.0431.6%9.1%22.8%52.0%31.3%4.3%-1.1%2.9M-126.6M-303.4K0.117.44N/AN/A5,90766464,37757,670
2011-01-24$30.59$25.0430.5%8.7%23.4%48.3%30.8%4.1%-1.9%1.1M-71.2M-286.8K0.778.20N/AN/A70253841,35734,652
2011-01-25$30.54$25.0430.9%8.9%22.3%49.5%31.8%4.4%-2.1%1.2M-69.9M-292.4K1.349.39N/AN/A1,0551,40941,69034,964
2011-01-26$30.45$25.0430.3%8.7%22.0%47.7%31.7%4.2%-2.1%1.2M-69.9M-286.2K1.147.52N/AN/A74785442,19734,918
2011-01-27$30.36$25.0431.0%8.9%22.1%50.0%30.9%4.2%-2.1%1.2M-68.6M-286.7K0.459.24N/AN/A49622142,33834,676
2011-01-28$29.31$25.0433.5%9.6%25.5%58.4%32.9%5.0%-2.8%1.3M-52.2M-292.0K1.0310.23N/AN/A2,7232,79542,65234,757
2011-01-31$29.92$25.7533.3%9.5%26.6%57.6%34.3%4.4%-3.5%1.1M-60.7M-293.3K1.578.83N/AN/A1,2601,97743,96336,900