A Options History — August 2011

In August 2011, A traded between $21.82 and $29.18. ATM implied volatility averaged 57.5%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 9.4% (HV 20d: 66.9%). Max pain ranged from $23.61 to $33.62. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.69.

Notable Days

2011-08-15: Highest Volume — 28,327 contracts
2011-08-08: Largest IV spike — 42.9% change
2011-08-01: Highest IV Rank — 100.0%
2011-08-22: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.15	$21.82	$29.18	$29.18	$26.37
Max Pain	$28.33	$23.61	$33.62	$33.62	$23.61
ATM IV	57.5%	45.9%	85.0%	47.2%	47.6%
Expected Move	15.8%	13.2%	18.8%	13.5%	13.7%
HV 20d	66.9%	32.4%	88.6%	32.4%	87.3%
HV 60d	47.1%	31.4%	57.0%	31.4%	56.9%
IV Rank	68.2%	38.9%	100.0%	100.0%	41.6%
IV Percentile	97.6%	92.9%	100.0%	100.0%	92.9%
Term Structure	-5.2%	-9.9%	-0.1%	-5.8%	-0.1%
VWIV	55.3%	47.1%	66.1%	47.5%	49.4%
Skew 25d	9.1%	4.3%	13.2%	4.3%	8.8%
Skew 10d	18.1%	7.8%	28.4%	7.8%	17.8%
Call IV 25d	51.7%	43.0%	62.1%	46.0%	45.1%
Put IV 25d	60.8%	50.3%	72.7%	50.3%	53.9%
Bid-Ask Spread %	8.14	5.52	11.67	5.52	8.58
Gamma HHI	0.11	0.07	0.36	0.13	0.10
Net GEX	-211.7K	-1.3M	1.3M	-555.1K	1.3M
Net DEX	97.4M	6.5M	155.1M	79.0M	6.5M
Net VEX	-620.3K	-940.3K	-429.3K	-940.3K	-695.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.12	1.54	1.02	0.59
Total Volume	12,324.565	3,553	28,327	11,138	3,553
Total OI	185,835.826	145,345	222,233	182,499	175,812

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-08-01	$29.18	$33.62	47.2%	13.5%	32.4%	100.0%	47.5%	4.3%	-5.8%	-555.1K	79.0M	-940.3K	1.02	5.52	N/A	N/A	5,514	5,624	97,762	84,737
2011-08-02	$27.85	$32.90	48.7%	14.0%	34.5%	100.0%	48.2%	5.2%	-6.1%	-609.7K	100.4M	-852.9K	0.34	5.96	N/A	N/A	11,665	3,997	100,251	85,116
2011-08-03	$28.04	$32.90	47.6%	13.6%	34.8%	95.9%	47.5%	4.5%	-5.6%	-532.6K	98.7M	-865.3K	0.12	5.63	N/A	N/A	22,769	2,830	103,305	86,669
2011-08-04	$26.40	$32.90	57.1%	16.4%	37.1%	100.0%	56.8%	6.1%	-7.7%	-708.7K	121.1M	-704.8K	1.13	8.91	N/A	N/A	4,859	5,489	97,023	86,627
2011-08-05	$26.17	$30.76	59.1%	15.0%	36.1%	100.0%	51.5%	7.3%	-4.5%	-705.1K	122.3M	-699.8K	0.79	8.62	N/A	N/A	5,096	4,037	98,221	88,755
2011-08-08	$23.29	$30.04	84.4%	18.6%	50.8%	100.0%	66.1%	9.0%	-9.9%	-418.5K	135.2M	-553.8K	1.54	8.85	N/A	N/A	3,565	5,491	100,235	89,187
2011-08-09	$24.47	$29.33	71.3%	16.9%	56.6%	79.4%	58.9%	7.6%	-8.4%	-538.6K	134.2M	-601.8K	0.80	11.67	N/A	N/A	4,553	3,646	101,706	91,417
2011-08-10	$22.78	$29.33	85.0%	18.6%	59.3%	100.0%	66.0%	10.1%	-9.3%	-430.5K	142.8M	-509.9K	1.48	9.29	N/A	N/A	3,636	5,377	104,172	92,964
2011-08-11	$24.69	$29.33	58.8%	16.9%	69.3%	59.0%	61.5%	9.7%	-7.6%	-561.9K	131.5M	-638.8K	0.26	9.02	N/A	N/A	7,407	1,903	105,836	96,384
2011-08-12	$25.90	$28.61	56.7%	16.3%	72.8%	55.8%	58.9%	9.5%	-7.4%	-589.4K	122.9M	-588.8K	1.24	8.79	N/A	N/A	7,769	9,621	98,542	96,893
2011-08-15	$26.82	$28.61	52.3%	15.0%	74.3%	48.9%	50.7%	8.3%	-5.5%	-673.8K	111.8M	-623.9K	0.41	10.20	N/A	N/A	20,054	8,273	101,730	101,842
2011-08-16	$26.20	$27.90	46.7%	13.4%	72.8%	40.1%	47.1%	8.6%	-1.5%	-403.0K	124.9M	-583.3K	0.55	7.16	N/A	N/A	16,074	8,833	111,560	104,877
2011-08-17	$25.61	$27.90	45.9%	13.2%	72.7%	38.9%	49.2%	8.8%	-1.3%	-290.1K	134.3M	-539.0K	0.36	7.37	N/A	N/A	6,340	2,269	114,809	102,882
2011-08-18	$23.05	$27.18	60.2%	17.3%	79.4%	61.3%	60.0%	11.6%	-8.1%	-688.9K	154.9M	-450.8K	0.77	11.53	N/A	N/A	9,491	7,337	114,563	101,387
2011-08-19	$22.23	$27.18	64.8%	18.6%	79.3%	68.4%	66.1%	13.0%	-8.2%	-1.3M	155.1M	-433.9K	1.26	8.80	N/A	N/A	5,772	7,275	119,519	102,714
2011-08-22	$21.82	$27.18	65.5%	18.8%	79.2%	69.4%	63.1%	13.2%	-6.4%	-212.7K	83.1M	-429.3K	0.57	8.93	N/A	N/A	5,180	2,948	74,381	70,964
2011-08-23	$22.79	$27.18	58.5%	16.8%	82.2%	58.5%	55.8%	13.2%	-4.3%	-137.8K	76.9M	-478.9K	0.18	7.25	N/A	N/A	9,965	1,778	76,564	72,622
2011-08-24	$23.66	$25.04	56.1%	16.1%	83.2%	54.7%	54.4%	12.7%	-3.2%	344.3K	63.8M	-535.6K	0.61	6.55	N/A	N/A	4,201	2,581	83,898	73,547
2011-08-25	$23.63	$25.04	59.8%	17.2%	83.2%	60.7%	57.4%	12.7%	-4.5%	385.3K	61.3M	-560.2K	0.52	6.86	N/A	N/A	4,021	2,089	85,984	75,295
2011-08-26	$24.94	$25.04	52.9%	15.2%	86.5%	49.8%	53.8%	10.3%	-1.7%	624.5K	42.9M	-621.9K	0.39	6.63	N/A	N/A	7,783	3,069	87,348	76,507
2011-08-29	$26.27	$25.04	49.1%	14.1%	88.6%	43.9%	51.0%	8.1%	-1.3%	888.4K	17.7M	-675.1K	0.49	7.47	N/A	N/A	5,976	2,940	90,604	77,592
2011-08-30	$26.19	$25.04	48.1%	13.8%	87.3%	42.3%	52.2%	7.7%	-0.7%	936.2K	18.5M	-683.9K	0.35	7.58	N/A	N/A	8,025	2,790	92,676	78,745
2011-08-31	$26.37	$23.61	47.6%	13.7%	87.3%	41.6%	49.4%	8.8%	-0.1%	1.3M	6.5M	-695.3K	0.59	8.58	N/A	N/A	2,230	1,323	97,545	78,267