A Options History — July 2011

In July 2011, A traded between $30.16 and $37.47. ATM implied volatility averaged 35.3%, placing in the 67.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 4.0% (HV 20d: 31.3%). Max pain ranged from $32.90 to $34.33. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2011-07-08: Highest Volume — 22,643 contracts
  • 2011-07-08: Largest IV spike — 21.5% change
  • 2011-07-27: Highest IV Rank — 100.0%
  • 2011-07-29: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.94$30.16$37.47$37.20$30.16
Max Pain$33.51$32.90$34.33$34.33$33.62
ATM IV35.3%23.7%44.8%23.7%44.8%
Expected Move10.4%6.8%12.8%6.8%12.8%
HV 20d31.3%28.3%33.8%28.5%33.0%
HV 60d29.2%28.1%31.1%28.2%30.8%
IV Rank67.8%13.0%100.0%13.0%100.0%
IV Percentile76.8%6.0%100.0%6.0%100.0%
Term Structure-1.7%-5.5%5.7%5.7%-5.1%
VWIV36.5%25.4%44.9%25.4%44.9%
Skew 25d4.6%2.5%5.9%3.2%4.3%
Skew 10d9.9%5.9%12.6%8.9%8.3%
Call IV 25d34.5%23.2%43.4%23.2%43.4%
Put IV 25d39.1%26.4%47.7%26.4%47.7%
Bid-Ask Spread %7.174.9210.799.116.26
Gamma HHI0.160.110.220.210.11
Net GEX373.4K-643.0K1.6M1.4M-643.0K
Net DEX-37.1M-133.2M64.2M-124.3M64.2M
Net VEX-1.1M-1.2M-992.2K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.063.810.780.75
Total Volume7,322.251,18322,6432,05216,760
Total OI154,475.35140,234177,568140,234177,568

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$37.20$34.3323.7%6.8%28.5%13.0%25.4%3.2%5.7%1.4M-124.3M-1.1M0.789.11N/AN/A1,15689674,13966,095
2011-07-05$36.95$32.9025.3%8.6%28.5%20.5%31.6%5.4%1.8%1.4M-118.8M-1.1M0.947.33N/AN/A61057374,42066,348
2011-07-06$37.07$32.9024.8%8.6%28.3%18.3%30.8%4.8%2.0%1.5M-121.6M-1.1M0.0610.32N/AN/A1,88012074,53366,464
2011-07-07$37.47$32.9025.4%8.9%28.3%21.3%31.1%4.2%1.2%1.6M-133.2M-1.1M0.618.56N/AN/A3,5102,14275,20366,415
2011-07-08$35.93$32.9030.9%9.7%32.1%47.7%35.0%5.3%-0.9%1.4M-94.3M-1.1M1.3310.79N/AN/A9,69812,94576,85667,435
2011-07-11$35.11$33.6236.0%10.2%33.0%72.6%37.3%5.6%-1.7%489.0K-66.3M-1.1M0.897.48N/AN/A1,4761,32079,06573,649
2011-07-12$34.38$33.6238.1%10.4%33.6%82.9%36.2%5.9%-1.7%292.1K-45.7M-1.1M0.678.43N/AN/A2,4441,62679,16973,356
2011-07-13$34.43$33.6236.6%10.2%31.7%75.5%35.4%5.2%-1.4%273.5K-46.1M-1.1M0.327.13N/AN/A5,3681,72579,78074,248
2011-07-14$33.86$33.6237.0%10.6%30.0%77.4%37.5%5.8%-1.8%273.9K-29.5M-1.1M0.857.70N/AN/A1,9601,67381,09574,744
2011-07-15$33.68$33.6235.5%10.2%30.0%70.2%36.7%5.5%-0.7%683.7K-24.8M-1.1M1.186.47N/AN/A3,0393,57581,51274,676
2011-07-18$32.52$33.6237.5%10.7%32.3%79.6%37.6%5.2%-1.6%52.8K-5.4M-1.1M2.926.19N/AN/A3,0678,96474,38368,720
2011-07-19$33.58$33.6235.5%10.2%33.6%70.1%35.8%4.7%-1.3%-259.7K-24.9M-1.1M0.707.09N/AN/A3,2032,24074,99474,399
2011-07-20$33.56$33.6236.4%10.4%31.6%74.3%36.0%3.7%-2.4%-113.0K-26.0M-1.1M0.386.58N/AN/A9,1743,51976,08874,474
2011-07-21$33.56$33.6237.0%10.6%31.2%77.5%37.2%3.7%-3.2%369.1K-30.9M-1.2M3.816.73N/AN/A1,1944,54881,70576,053
2011-07-22$33.54$33.6236.5%10.5%30.9%75.1%38.2%3.6%-3.0%12.1K-25.9M-1.2M3.375.13N/AN/A3131,05481,85779,014
2011-07-25$33.19$33.6239.4%11.3%30.5%88.9%38.9%2.5%-4.3%-59.4K-17.7M-1.1M0.364.92N/AN/A4,9621,80681,83178,756
2011-07-26$32.07$33.6240.4%11.6%32.3%93.8%39.4%4.2%-4.5%-335.0K14.0M-1.1M0.256.12N/AN/A11,6762,95084,24579,501
2011-07-27$30.37$33.6243.3%12.4%33.8%100.0%42.9%4.6%-5.5%-366.5K54.2M-1.0M1.035.35N/AN/A2,0062,07591,72881,015
2011-07-28$30.17$33.6242.7%12.2%33.6%97.2%41.6%4.7%-5.1%-444.4K60.2M-992.2K3.705.74N/AN/A1,9567,24292,47281,502
2011-07-29$30.16$33.6244.8%12.8%33.0%100.0%44.9%4.3%-5.1%-643.0K64.2M-1.0M0.756.26N/AN/A9,5587,20292,50785,061