A Options History — February 2011

In February 2011, A traded between $28.93 and $32.20. ATM implied volatility averaged 31.7%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 3.6% (HV 20d: 35.3%). Max pain ranged from $25.75 to $30.76. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-02-15: Highest Volume — 26,807 contracts
  • 2011-02-22: Largest IV spike — 28.5% change
  • 2011-02-09: Highest IV Rank — 74.5%
  • 2011-02-02: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.71$28.93$32.20$30.08$30.10
Max Pain$29.29$25.75$30.76$25.75$28.61
ATM IV31.7%25.5%38.2%33.3%30.1%
Expected Move8.7%7.3%9.7%9.5%8.6%
HV 20d35.3%26.4%43.2%26.4%41.3%
HV 60d27.5%24.7%30.3%24.7%29.8%
IV Rank52.2%31.2%74.5%57.7%46.9%
IV Percentile64.7%28.6%93.3%78.2%52.8%
Term Structure-0.2%-4.2%3.3%-3.7%0.4%
VWIV30.9%25.5%34.5%33.5%32.6%
Skew 25d3.3%1.8%4.3%3.3%3.5%
Skew 10d7.3%4.3%9.0%6.8%7.9%
Call IV 25d29.3%25.3%32.4%32.3%29.4%
Put IV 25d32.6%27.1%36.7%35.6%32.9%
Bid-Ask Spread %10.076.2715.709.5210.16
Gamma HHI0.190.100.820.130.14
Net GEX1.6M159.0K10.0M1.1M1.2M
Net DEX-67.8M-99.9M-18.5M-64.1M-35.2M
Net VEX-308.8K-370.5K-267.8K-293.8K-370.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.121.120.550.90
Total Volume8,132.05375126,8077514,649
Total OI88,305.26360,168112,30382,59280,404

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$30.08$25.7533.3%9.5%26.4%57.7%33.5%3.3%-3.7%1.1M-64.1M-293.8K0.559.52N/AN/A48426744,35938,233
2011-02-02$29.49$25.7533.9%9.7%27.1%59.9%34.0%4.1%-4.2%1.2M-53.3M-299.0K0.748.67N/AN/A1,18187244,66638,350
2011-02-03$29.32$25.7533.8%9.7%27.2%59.4%34.5%4.3%-4.1%1.2M-50.0M-300.0K0.568.65N/AN/A90351045,18339,035
2011-02-04$30.75$29.3333.4%8.3%32.1%58.1%30.4%3.6%0.4%1.2M-78.0M-290.0K0.426.27N/AN/A4,0461,68045,62939,137
2011-02-07$31.79$29.3335.4%8.4%34.0%64.9%29.8%3.3%0.1%1.0M-94.8M-267.8K0.358.98N/AN/A6,2772,21045,31239,960
2011-02-08$31.60$29.3336.6%8.5%33.9%68.9%29.6%3.7%-0.0%919.2K-88.1M-283.2K0.808.01N/AN/A1,9811,59145,30640,898
2011-02-09$31.07$30.7638.2%8.8%34.1%74.5%30.8%3.7%-0.1%838.2K-78.2M-297.1K0.318.75N/AN/A2,38873045,96541,961
2011-02-10$31.47$30.7630.0%8.6%34.3%46.4%30.5%3.7%0.1%907.8K-87.4M-287.7K0.968.94N/AN/A1,4621,41146,74442,509
2011-02-11$32.20$30.7629.9%8.6%35.1%46.2%29.9%3.3%-0.1%922.8K-99.9M-284.3K0.289.23N/AN/A6,5801,84447,16743,145
2011-02-14$32.04$30.7633.0%9.5%35.2%56.8%33.2%2.8%-1.4%1.2M-99.0M-298.1K0.378.22N/AN/A18,1336,69550,22243,546
2011-02-15$30.51$30.7626.4%7.6%38.4%34.2%27.0%2.5%2.6%159.0K-68.9M-297.0K0.4011.85N/AN/A19,2027,60559,33447,094
2011-02-16$31.17$30.7626.4%7.6%35.7%34.1%26.9%2.5%2.6%1.6M-97.5M-303.9K0.5413.02N/AN/A5,1782,81465,45246,837
2011-02-17$31.42$30.7625.8%7.4%35.8%32.1%25.5%2.0%3.0%2.6M-98.3M-308.6K0.1214.05N/AN/A6,00673064,45847,845
2011-02-18$31.42$30.7625.5%7.3%35.7%31.2%26.3%1.8%3.3%10.0M-94.7M-304.1K0.2715.70N/AN/A5,1741,37464,25547,715
2011-02-22$30.39$30.7632.8%9.4%37.4%56.0%34.0%3.8%-1.7%493.3K-23.1M-313.1K0.2413.99N/AN/A13,9733,36532,18327,985
2011-02-23$28.93$28.6133.8%9.7%41.3%59.4%33.6%3.5%-0.6%1.2M-18.5M-336.6K1.1210.77N/AN/A6,4137,17041,58229,583
2011-02-24$29.43$28.6132.9%9.4%41.8%56.3%33.9%3.9%0.1%914.7K-21.9M-363.2K0.568.91N/AN/A3,1161,74542,17134,803
2011-02-25$30.30$28.6130.4%8.7%43.2%47.9%31.4%3.5%0.3%1.2M-38.0M-369.5K0.877.65N/AN/A2,5362,21443,54935,223
2011-02-28$30.10$28.6130.1%8.6%41.3%46.9%32.6%3.5%0.4%1.2M-35.2M-370.5K0.9010.16N/AN/A2,4512,19844,53635,868