A Options History — June 2011

In June 2011, A traded between $33.66 and $36.56. ATM implied volatility averaged 29.3%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 0.7% (HV 20d: 28.7%). Max pain ranged from $34.33 to $35.77. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2011-06-21: Highest Volume — 14,667 contracts
  • 2011-06-15: Largest IV spike — 11.5% change
  • 2011-06-16: Highest IV Rank — 60.6%
  • 2011-06-16: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.71$33.66$36.56$34.33$36.56
Max Pain$34.85$34.33$35.77$35.77$34.33
ATM IV29.3%26.7%33.6%28.4%26.7%
Expected Move8.4%7.7%9.6%8.1%7.7%
HV 20d28.7%23.8%32.3%29.2%29.0%
HV 60d26.6%24.9%28.1%26.5%28.0%
IV Rank40.2%27.6%60.6%35.5%27.6%
IV Percentile41.9%21.4%81.7%31.3%21.4%
Term Structure3.0%0.3%5.0%0.3%5.0%
VWIV29.8%25.3%33.8%31.3%25.3%
Skew 25d5.0%3.4%7.0%3.7%3.9%
Skew 10d11.0%6.6%14.5%7.5%9.1%
Call IV 25d27.6%24.4%31.5%27.2%24.4%
Put IV 25d32.6%28.2%38.5%31.0%28.2%
Bid-Ask Spread %7.415.4310.317.797.98
Gamma HHI0.170.140.250.160.21
Net GEX-55.6K-1.3M1.3M-293.6K1.3M
Net DEX-47.3M-108.3M-13.2M-30.9M-108.3M
Net VEX-1.0M-1.2M-935.2K-940.8K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.274.492.500.31
Total Volume3,740.5451,05314,6675,4461,809
Total OI129,368.727119,076140,011119,076140,011

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$34.33$35.7728.4%8.1%29.2%35.5%31.3%3.7%0.3%-293.6K-30.9M-940.8K2.507.79N/AN/A1,5573,88958,83360,243
2011-06-02$34.46$35.0528.3%8.1%28.4%35.2%28.3%3.4%0.5%-419.7K-32.2M-951.8K4.499.20N/AN/A6542,93459,16863,064
2011-06-03$33.93$35.0528.8%8.4%28.8%37.8%29.0%5.0%2.8%-660.1K-19.4M-947.1K1.225.43N/AN/A69384359,40163,450
2011-06-06$33.66$35.0530.8%8.7%28.4%47.4%30.1%5.4%2.6%-767.0K-13.2M-935.2K2.495.63N/AN/A5071,26259,61563,634
2011-06-07$34.12$35.0528.1%8.2%28.9%34.3%28.5%4.4%3.0%-646.8K-24.2M-937.1K0.276.45N/AN/A2,81775559,79863,629
2011-06-08$34.15$35.0528.3%8.3%28.2%35.5%29.1%4.3%3.2%-619.5K-28.3M-970.4K1.006.15N/AN/A71471462,08864,062
2011-06-09$34.84$35.0527.4%7.9%29.1%31.1%27.1%4.1%3.5%-211.9K-44.3M-976.7K0.765.90N/AN/A1,6661,26062,47164,179
2011-06-10$34.47$35.0528.3%8.1%29.1%35.3%27.6%4.3%3.6%-477.4K-35.8M-966.7K1.256.35N/AN/A1,1841,47662,82664,834
2011-06-13$34.00$35.0528.8%8.3%23.8%37.9%29.4%5.3%3.3%-938.1K-23.4M-958.6K1.016.10N/AN/A1,4081,42663,35765,763
2011-06-14$35.03$35.0528.2%8.1%26.8%34.8%28.2%4.6%3.8%-4.4K-49.0M-968.0K0.846.64N/AN/A1,8831,59063,49666,258
2011-06-15$33.88$35.0531.5%9.0%28.1%50.6%30.8%6.2%2.8%-1.0M-20.9M-961.6K1.726.89N/AN/A1,1632,00364,38666,655
2011-06-16$33.66$35.0533.6%9.6%27.5%60.6%33.8%7.0%2.3%-1.3M-15.5M-959.2K1.426.51N/AN/A2,6243,72664,40666,791
2011-06-17$33.93$35.0532.8%9.4%27.8%57.2%32.6%6.5%2.3%-1.3M-24.2M-969.4K0.955.94N/AN/A4,2093,99365,65468,097
2011-06-20$34.61$35.0530.2%8.7%28.9%44.4%30.4%5.5%2.8%264.5K-42.9M-967.1K0.777.01N/AN/A1,7701,36060,51960,236
2011-06-21$35.64$35.0528.3%8.1%28.8%35.2%31.7%5.7%3.6%536.1K-65.5M-970.7K0.427.74N/AN/A10,3584,30961,39960,826
2011-06-22$35.01$34.3328.9%8.3%29.3%38.3%30.1%5.2%3.6%794.7K-67.2M-1.1M1.619.11N/AN/A40464970,31563,638
2011-06-23$35.32$34.3329.6%8.5%29.4%41.6%30.3%5.7%3.4%846.5K-73.2M-1.1M1.578.14N/AN/A63799870,37463,808
2011-06-24$34.69$34.3331.5%9.0%30.0%50.8%31.5%5.6%2.9%689.4K-58.7M-1.1M0.829.06N/AN/A99881570,51864,505
2011-06-27$34.94$34.3330.2%8.7%30.1%44.4%32.4%5.3%3.2%737.4K-64.3M-1.1M0.398.63N/AN/A4,7491,85770,45864,718
2011-06-28$36.11$34.3329.1%8.3%32.3%38.9%31.1%4.9%3.7%1.1M-99.5M-1.2M1.539.98N/AN/A1,0431,59973,91164,827
2011-06-29$36.19$34.3327.1%7.8%28.9%29.6%27.3%4.2%4.6%1.2M-99.9M-1.1M2.2710.31N/AN/A6071,38073,96165,930
2011-06-30$36.56$34.3326.7%7.7%29.0%27.6%25.3%3.9%5.0%1.3M-108.3M-1.1M0.317.98N/AN/A1,37743274,09565,916