A Options History — May 2011

In May 2011, A traded between $34.83 and $37.61. ATM implied volatility averaged 31.6%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.4% (HV 20d: 27.2%). Max pain ranged from $30.04 to $35.77. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2011-05-13: Highest Volume — 23,531 contracts
  • 2011-05-12: Largest IV drop — 18.7% change
  • 2011-05-11: Highest IV Rank — 74.0%
  • 2011-05-05: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.96$34.83$37.61$36.08$35.67
Max Pain$34.27$30.04$35.77$30.04$35.77
ATM IV31.6%25.1%39.3%34.8%25.9%
Expected Move8.7%7.2%10.8%10.0%7.4%
HV 20d27.2%25.5%29.4%25.9%26.0%
HV 60d33.6%25.5%36.9%36.9%25.5%
IV Rank44.4%19.8%74.0%55.8%23.7%
IV Percentile53.4%11.1%96.4%82.9%16.7%
Term Structure1.2%-4.5%4.8%-3.4%1.0%
VWIV31.2%26.4%38.5%37.3%26.4%
Skew 25d3.4%2.0%4.4%3.1%2.8%
Skew 10d8.3%5.2%10.5%9.2%7.0%
Call IV 25d29.5%24.7%37.4%34.1%25.4%
Put IV 25d32.9%27.1%40.6%37.2%28.2%
Bid-Ask Spread %8.605.819.788.169.65
Gamma HHI0.180.130.230.170.18
Net GEX729.1K-85.5K1.3M1.1M123.2K
Net DEX-95.3M-155.5M-39.7M-95.6M-58.1M
Net VEX-784.2K-946.9K-488.4K-492.3K-946.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.251.840.340.88
Total Volume6,133.0481,17123,5311,1712,319
Total OI123,509.143101,287151,300101,287118,575

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$36.08$30.0434.8%10.0%25.9%55.8%37.3%3.1%-3.4%1.1M-95.6M-492.3K0.348.16N/AN/A87229947,21954,068
2011-05-03$36.19$30.0434.6%9.9%25.5%54.9%34.8%3.3%-2.9%1.1M-96.8M-488.4K0.618.49N/AN/A1,8501,12047,22254,168
2011-05-04$35.41$30.0435.7%10.2%27.2%59.4%37.6%3.1%-3.2%1.2M-85.5M-505.1K1.268.86N/AN/A1,7142,16447,66654,785
2011-05-05$35.17$30.0437.7%10.8%27.5%67.5%38.5%3.3%-4.5%1.1M-80.4M-527.2K1.839.67N/AN/A3,7346,84248,32355,860
2011-05-06$35.57$34.3335.5%9.1%27.1%58.7%32.6%4.2%1.6%825.8K-83.3M-576.6K0.265.81N/AN/A6,1921,59850,27560,895
2011-05-09$35.68$34.3337.0%9.1%27.1%64.6%32.1%4.2%1.5%1.1M-95.1M-623.6K0.736.81N/AN/A88865154,07261,470
2011-05-10$36.24$34.3339.0%9.3%27.3%73.1%34.2%4.4%0.9%972.8K-102.9M-617.3K0.588.56N/AN/A14,1358,21354,21661,323
2011-05-11$35.79$34.3339.3%9.2%28.0%74.0%32.1%3.9%1.1%1.1M-111.9M-833.3K0.667.32N/AN/A1,6041,05565,36267,371
2011-05-12$36.00$34.3331.9%9.1%25.5%44.2%32.6%4.3%1.2%1.1M-117.0M-835.1K0.599.13N/AN/A4,9802,94766,04468,092
2011-05-13$37.61$34.3328.5%8.2%29.1%30.5%30.6%3.8%3.8%1.3M-155.5M-811.0K0.739.78N/AN/A13,6299,90268,32969,567
2011-05-16$37.42$35.7731.4%9.0%29.0%42.0%30.0%3.6%3.1%1.2M-148.7M-873.8K0.568.98N/AN/A5,9833,36572,70775,384
2011-05-17$36.60$35.7730.7%8.8%29.3%39.5%31.2%3.7%3.5%1.0M-132.1M-917.2K0.857.54N/AN/A2,3752,00973,32676,897
2011-05-18$37.00$35.7729.4%8.4%29.4%34.1%28.0%3.2%4.2%770.4K-142.8M-907.2K0.619.28N/AN/A2,9811,80873,61677,337
2011-05-19$36.60$35.7728.4%8.1%26.8%30.0%28.1%3.2%4.4%645.0K-132.4M-925.5K0.258.94N/AN/A1,38434073,45577,646
2011-05-20$36.27$35.7727.6%7.9%26.8%31.2%28.0%3.4%4.8%610.6K-127.5M-916.2K0.539.72N/AN/A2,6691,41373,45277,848
2011-05-23$35.12$35.7729.0%8.3%27.9%38.5%31.6%3.7%1.1%82.6K-44.5M-919.2K1.848.73N/AN/A2,6634,89254,64554,529
2011-05-24$34.83$35.7728.2%8.1%26.6%34.8%28.9%3.5%1.1%-72.3K-39.7M-922.5K1.018.11N/AN/A1,8361,85055,20056,219
2011-05-25$35.06$35.7727.1%7.8%26.3%29.5%27.4%3.0%1.5%-85.5K-44.9M-943.4K0.667.98N/AN/A1,6341,07456,38157,722
2011-05-26$35.33$35.7726.4%7.6%26.4%26.2%27.3%2.0%1.7%72.6K-51.2M-946.6K0.529.78N/AN/A83543857,37758,491
2011-05-27$35.48$35.7725.1%7.2%26.3%19.8%26.8%2.4%1.9%144.6K-55.0M-939.9K1.539.28N/AN/A1,0011,53657,85958,699
2011-05-31$35.67$35.7725.9%7.4%26.0%23.7%26.4%2.8%1.0%123.2K-58.1M-946.9K0.889.65N/AN/A1,2361,08358,61559,960