A Options History — October 2011

In October 2011, A traded between $21.03 and $29.25. ATM implied volatility averaged 56.6%, placing in the 55.5% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 11.3% (HV 20d: 67.9%). Max pain ranged from $22.17 to $30.04. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2011-10-27: Highest Volume — 21,557 contracts
  • 2011-10-31: Largest IV spike — 25.4% change
  • 2011-10-03: Highest IV Rank — 83.8%
  • 2011-10-03: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.53$21.03$29.25$21.03$26.52
Max Pain$27.93$22.17$30.04$22.89$28.61
ATM IV56.6%47.8%74.7%74.7%59.9%
Expected Move16.4%13.7%21.4%21.4%17.2%
HV 20d67.9%61.7%77.4%62.6%77.4%
HV 60d69.5%64.4%75.9%64.4%75.9%
IV Rank55.5%41.8%83.8%83.8%60.8%
IV Percentile88.3%77.4%99.2%99.2%93.3%
Term Structure-2.2%-5.9%4.8%-1.7%-5.9%
VWIV57.5%49.8%70.0%70.0%59.5%
Skew 25d10.5%5.3%14.5%13.8%8.9%
Skew 10d21.2%10.7%28.2%24.8%17.5%
Call IV 25d52.8%46.3%67.2%67.2%56.1%
Put IV 25d63.4%51.6%81.0%81.0%65.0%
Bid-Ask Spread %6.614.937.635.666.22
Gamma HHI0.070.060.120.060.07
Net GEX350.1K-15.4K667.5K-15.4K280.6K
Net DEX41.7M-25.3M74.8M74.8M27.4M
Net VEX-536.5K-665.4K-448.5K-448.5K-604.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.191.350.371.08
Total Volume6,722.5241,44321,5577,91015,114
Total OI160,660.619146,358172,137158,430160,980

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$21.03$22.8974.7%21.4%62.6%83.8%70.0%13.8%-1.7%-15.4K74.8M-448.5K0.375.66N/AN/A5,7602,15082,56375,867
2011-10-04$22.18$22.1766.0%18.9%66.2%70.3%66.9%11.8%1.7%71.6K64.8M-489.3K0.377.54N/AN/A2,42189881,39775,748
2011-10-05$22.98$22.1759.1%16.9%64.7%59.5%60.3%9.8%2.6%159.4K57.2M-513.6K0.197.19N/AN/A3,06757581,39775,990
2011-10-06$23.99$22.1754.9%15.8%65.1%53.0%56.6%8.7%4.8%326.0K42.7M-551.8K0.247.44N/AN/A5,9751,45181,80876,099
2011-10-07$22.44$30.0463.4%18.8%68.8%66.2%61.1%14.5%-5.1%47.7K65.7M-478.4K0.586.79N/AN/A11,4516,66881,09575,574
2011-10-10$23.83$29.3357.5%17.2%72.4%57.0%58.1%13.0%-4.2%348.2K48.0M-537.4K0.835.83N/AN/A2,4171,99683,90178,185
2011-10-11$24.27$29.3353.9%16.8%71.2%51.4%61.1%11.8%-3.5%481.7K41.1M-554.5K0.755.32N/AN/A1,3311,00184,63678,624
2011-10-12$24.16$29.3350.9%16.0%68.5%46.8%56.5%11.8%-2.7%505.5K44.4M-539.3K0.724.93N/AN/A4,2283,06485,12178,554
2011-10-13$23.23$29.3358.5%16.8%69.3%58.6%58.8%11.4%-3.6%342.8K60.0M-498.9K1.247.63N/AN/A3,1273,88986,11779,241
2011-10-14$23.85$29.3354.5%15.6%70.2%52.3%54.3%10.7%-2.6%429.9K52.0M-513.9K1.055.98N/AN/A1,0931,14486,36880,852
2011-10-17$23.66$29.3356.4%16.2%69.0%55.2%53.5%11.0%-3.5%361.6K56.0M-498.2K0.516.42N/AN/A3,0921,56685,88881,259
2011-10-18$23.95$29.3356.0%16.1%69.1%54.6%55.1%11.3%-3.8%469.8K51.9M-500.3K0.606.91N/AN/A1,23474486,82682,123
2011-10-19$23.60$29.3357.3%16.4%62.5%56.8%56.6%11.5%-4.2%431.3K57.1M-490.3K1.356.66N/AN/A61482986,84082,407
2011-10-20$24.13$29.3355.9%16.0%61.7%54.5%60.9%10.7%-2.8%645.2K46.8M-510.9K0.567.01N/AN/A3,3521,87886,93082,443
2011-10-21$25.23$29.3352.9%15.2%63.4%49.8%54.2%10.0%-2.5%611.0K24.4M-543.8K0.547.19N/AN/A3,5751,92189,11883,019
2011-10-24$26.85$29.3349.8%14.3%66.3%45.0%52.2%8.9%-1.0%319.1K21.0M-587.2K0.626.99N/AN/A5,3013,28774,54171,817
2011-10-25$25.70$29.3354.6%15.7%67.8%52.5%56.0%9.8%-2.2%215.1K37.3M-563.5K0.926.53N/AN/A2,4812,27576,01572,976
2011-10-26$25.60$29.3354.1%15.5%63.8%51.7%56.0%9.9%-2.1%156.0K39.7M-552.2K1.016.48N/AN/A1,9001,91176,24874,305
2011-10-27$28.61$28.6149.3%14.1%73.7%44.2%51.1%6.0%-2.7%498.2K-10.8M-625.2K0.617.59N/AN/A13,3808,17776,57374,711
2011-10-28$29.25$28.6147.8%13.7%71.3%41.8%49.8%5.3%-2.3%667.5K-25.3M-665.4K0.786.44N/AN/A2,7112,12581,04278,675
2011-10-31$26.52$28.6159.9%17.2%77.4%60.8%59.5%8.9%-5.9%280.6K27.4M-604.5K1.086.22N/AN/A7,2687,84681,59379,387