A Options History — September 2011

In September 2011, A traded between $22.35 and $26.49. ATM implied volatility averaged 57.0%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 8.0% (HV 20d: 64.9%). Max pain ranged from $22.17 to $25.04. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-09-22: Highest Volume — 11,160 contracts
  • 2011-09-22: Largest IV spike — 15.6% change
  • 2011-09-30: Highest IV Rank — 71.3%
  • 2011-09-30: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.26$22.35$26.49$25.64$22.35
Max Pain$23.95$22.17$25.04$25.04$22.89
ATM IV57.0%47.7%66.6%47.7%66.6%
Expected Move16.2%13.7%19.1%13.7%19.1%
HV 20d64.9%54.0%86.3%85.2%60.7%
HV 60d60.3%57.1%63.9%57.1%63.9%
IV Rank56.1%41.6%71.3%41.6%71.3%
IV Percentile94.8%90.9%98.8%92.9%98.8%
Term Structure0.5%-1.6%2.3%0.3%0.1%
VWIV57.3%48.7%69.0%50.4%66.6%
Skew 25d11.7%9.3%14.7%9.3%13.2%
Skew 10d23.8%18.2%28.3%18.2%24.4%
Call IV 25d51.5%44.7%60.1%44.8%60.1%
Put IV 25d63.2%54.1%73.2%54.1%73.2%
Bid-Ask Spread %5.834.517.887.885.75
Gamma HHI0.080.060.190.080.06
Net GEX515.8K-92.3K2.0M880.5K98.1K
Net DEX47.3M5.2M67.9M31.9M63.1M
Net VEX-587.8K-680.1K-506.6K-642.3K-514.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.221.470.650.52
Total Volume5,241.811,64711,1605,5541,647
Total OI166,437.333141,157187,028171,373158,175

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$25.64$25.0447.7%13.7%85.2%41.6%50.4%9.3%0.3%880.5K31.9M-642.3K0.657.88N/AN/A3,3722,18292,52478,849
2011-09-02$24.61$25.0452.0%14.9%86.3%48.4%52.3%10.0%-0.1%661.4K50.9M-607.5K1.346.89N/AN/A2,1152,83792,07880,104
2011-09-06$24.26$24.3258.9%15.8%75.4%59.2%54.9%12.0%-0.3%526.3K56.7M-581.7K0.457.84N/AN/A4,4792,03192,89481,708
2011-09-07$25.53$23.6150.9%14.5%75.5%46.7%52.6%10.9%0.4%915.4K32.9M-635.9K0.444.51N/AN/A6,5792,88894,29081,907
2011-09-08$24.42$24.3254.7%15.3%72.6%52.6%53.8%11.3%0.0%752.1K53.6M-610.2K0.255.95N/AN/A2,64665797,30183,782
2011-09-09$23.86$24.3262.6%16.8%67.2%65.0%59.2%11.8%-0.5%563.5K61.0M-590.4K1.474.65N/AN/A1,0761,58597,45584,042
2011-09-12$23.90$24.3263.5%16.9%64.6%66.4%57.5%12.1%-0.6%596.1K61.6M-577.5K0.914.71N/AN/A1,4861,35098,02184,769
2011-09-13$24.88$24.3254.0%15.8%65.0%51.5%54.6%10.6%0.4%979.8K43.5M-621.7K0.534.73N/AN/A1,9461,03998,34884,597
2011-09-14$26.17$24.3249.2%15.1%67.3%44.0%53.7%9.9%1.7%1.5M15.4M-673.0K0.654.87N/AN/A5,5913,60798,45184,793
2011-09-15$26.49$24.3250.5%14.5%66.9%46.1%51.1%10.0%0.8%2.0M5.2M-680.1K0.395.59N/AN/A2,8381,102100,26386,765
2011-09-16$26.01$24.3249.4%14.2%54.5%44.3%48.7%9.6%2.1%861.9K17.5M-642.6K0.395.35N/AN/A4,2001,63399,95686,677
2011-09-19$25.01$25.0451.9%14.9%54.8%48.2%56.5%11.1%2.0%122.3K44.7M-594.9K0.905.07N/AN/A2,6342,37771,69969,458
2011-09-20$25.07$24.3251.4%14.7%54.0%47.5%53.2%10.2%1.8%134.1K42.8M-605.4K0.904.66N/AN/A1,4901,34373,22070,853
2011-09-21$23.07$24.3257.2%16.4%60.9%56.6%56.8%11.4%-0.2%-72.4K64.8M-518.3K1.006.46N/AN/A5,4975,52273,11071,153
2011-09-22$22.38$24.3266.2%19.0%60.2%70.6%69.0%13.7%-1.5%-92.3K67.9M-506.6K0.967.24N/AN/A5,7015,45975,10272,843
2011-09-23$22.66$23.6164.1%18.4%60.5%67.3%65.2%13.5%1.1%-54.4K62.5M-541.8K1.106.99N/AN/A81990577,77175,492
2011-09-26$23.17$23.6164.3%18.4%57.5%67.6%66.8%13.6%-1.6%-17.6K58.4M-547.9K0.285.79N/AN/A4,3321,20977,93675,744
2011-09-27$24.01$22.1757.8%16.6%55.7%57.4%56.1%13.0%1.5%201.7K44.5M-587.2K0.276.44N/AN/A2,66572181,14376,061
2011-09-28$22.63$22.1762.7%18.0%58.9%65.1%61.6%14.7%2.3%77.5K61.7M-520.1K0.775.64N/AN/A3,5962,76281,39375,805
2011-09-29$23.26$22.1760.5%17.3%60.0%61.7%62.2%13.4%1.6%214.1K53.1M-545.3K0.225.41N/AN/A3,40675482,78175,871
2011-09-30$22.35$22.8966.6%19.1%60.7%71.3%66.6%13.2%0.1%98.1K63.1M-514.3K0.525.75N/AN/A1,08156682,28375,892