A Options History — April 2011

In April 2011, A traded between $32.07 and $35.99. ATM implied volatility averaged 28.6%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.0% (HV 20d: 22.6%). Max pain ranged from $29.33 to $30.04. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2011-04-13: Highest Volume — 4,794 contracts
  • 2011-04-14: Largest IV spike — 31.9% change
  • 2011-04-29: Highest IV Rank — 47.6%
  • 2011-04-29: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.62$32.07$35.99$32.29$35.70
Max Pain$29.61$29.33$30.04$29.33$30.04
ATM IV28.6%23.2%32.8%26.0%32.8%
Expected Move8.9%7.4%9.4%7.4%9.4%
HV 20d22.6%18.5%25.9%24.4%25.8%
HV 60d37.0%36.2%37.7%37.1%36.9%
IV Rank35.0%8.8%47.6%31.3%47.6%
IV Percentile37.7%3.6%68.7%20.6%68.7%
Term Structure0.3%-2.0%4.9%4.9%-2.0%
VWIV32.1%26.6%35.2%26.6%34.9%
Skew 25d4.0%2.8%5.4%3.2%2.8%
Skew 10d9.6%7.5%12.3%7.5%11.7%
Call IV 25d29.7%25.0%32.5%25.0%32.5%
Put IV 25d33.8%28.2%35.3%28.2%35.3%
Bid-Ask Spread %8.156.1510.239.098.59
Gamma HHI0.120.100.180.100.18
Net GEX1.1M601.1K1.5M984.1K1.2M
Net DEX-66.2M-94.4M-45.6M-50.6M-91.8M
Net VEX-512.9K-544.4K-483.2K-539.8K-483.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.251.780.441.34
Total Volume2,672.71,0864,7942,1772,823
Total OI100,714.991,615106,569101,664100,152

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$32.29$29.3326.0%7.4%24.4%31.3%26.6%3.2%4.9%984.1K-50.6M-539.8K0.449.09N/AN/A1,50767046,63955,025
2011-04-04$32.07$29.3326.9%8.9%23.7%34.6%31.5%5.0%1.3%1.0M-46.2M-541.9K1.057.99N/AN/A1,0681,12147,30355,098
2011-04-05$32.43$29.3326.6%9.0%24.1%33.1%31.6%5.1%1.0%1.2M-54.4M-531.2K0.758.00N/AN/A1,8131,36947,38455,329
2011-04-06$32.40$29.3325.4%9.0%24.1%29.0%32.8%5.0%1.2%1.2M-53.4M-539.5K1.008.06N/AN/A68568648,27755,863
2011-04-07$32.10$29.3325.2%9.0%22.5%28.3%32.7%5.1%1.1%1.1M-45.6M-544.4K1.608.69N/AN/A7241,15848,45656,014
2011-04-08$32.11$29.3324.4%9.0%22.1%24.4%32.0%4.9%0.9%1.1M-48.0M-533.7K1.2910.23N/AN/A8011,03548,56456,285
2011-04-11$32.18$29.3324.9%9.1%21.8%26.4%31.5%5.4%0.9%1.3M-48.1M-530.8K0.926.84N/AN/A56652048,61856,033
2011-04-12$32.15$29.3324.3%9.0%20.0%24.0%33.1%4.6%1.1%1.5M-50.4M-517.5K0.257.82N/AN/A1,71142948,76856,254
2011-04-13$33.33$29.3323.2%8.8%18.9%8.8%32.6%4.3%1.7%1.5M-72.9M-509.5K0.467.38N/AN/A3,2911,50348,52355,808
2011-04-14$33.35$29.3330.6%8.8%18.9%38.8%32.2%4.1%1.9%1.4M-74.5M-511.8K1.286.91N/AN/A1,0821,38849,25756,289
2011-04-15$33.98$29.3330.6%8.8%19.4%39.1%30.9%3.7%1.7%1.1M-87.1M-496.8K0.437.86N/AN/A3,3311,43249,56757,002
2011-04-18$33.32$29.3331.3%9.0%20.0%41.7%32.6%4.5%-0.4%622.5K-52.5M-502.4K1.199.74N/AN/A1,8982,26242,08849,527
2011-04-19$33.43$30.0430.3%8.7%18.5%37.6%31.2%4.1%-0.4%601.1K-52.7M-515.7K0.677.19N/AN/A84256242,87850,666
2011-04-20$34.79$30.0430.1%8.6%22.4%36.8%31.0%3.2%-0.6%760.9K-74.3M-492.6K0.568.56N/AN/A2,9291,63043,32450,882
2011-04-21$35.29$30.0430.0%8.6%22.6%36.5%30.9%3.3%-0.6%873.3K-81.2M-503.0K0.488.88N/AN/A1,38366144,20651,990
2011-04-25$34.46$30.0432.0%9.2%25.0%44.4%31.9%3.6%-1.3%792.6K-69.2M-505.2K0.278.80N/AN/A2,59670744,33152,070
2011-04-26$35.34$30.0432.6%9.3%25.9%46.8%32.8%2.8%-1.9%1.0M-85.1M-486.2K0.279.47N/AN/A3,08083645,13052,377
2011-04-27$35.79$30.0431.9%9.1%25.8%43.9%33.2%2.8%-1.8%1.1M-92.0M-483.2K0.406.15N/AN/A95838646,37952,470
2011-04-28$35.99$30.0432.3%9.3%25.7%45.9%35.2%2.8%-1.9%1.1M-94.4M-488.4K1.786.80N/AN/A7231,28846,71652,756
2011-04-29$35.70$30.0432.8%9.4%25.8%47.6%34.9%2.8%-2.0%1.2M-91.8M-483.4K1.348.59N/AN/A1,2041,61946,90653,246