A Options History — November 2011

In November 2011, A traded between $24.03 and $27.72. ATM implied volatility averaged 57.1%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 13.1% (HV 20d: 70.1%). Max pain ranged from $26.47 to $28.61. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2011-11-16: Highest Volume — 15,858 contracts
  • 2011-11-09: Largest IV spike — 27.3% change
  • 2011-11-09: Highest IV Rank — 77.9%
  • 2011-11-01: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.13$24.03$27.72$25.24$26.82
Max Pain$26.77$26.47$28.61$28.61$26.47
ATM IV57.1%49.4%70.9%69.3%49.5%
Expected Move15.9%14.2%19.9%19.9%14.2%
HV 20d70.1%49.1%78.6%78.6%52.0%
HV 60d66.9%63.6%72.7%72.7%65.8%
IV Rank56.3%44.3%77.9%75.5%44.5%
IV Percentile84.8%71.8%98.4%98.4%71.8%
Term Structure-2.1%-8.0%0.4%-8.0%0.1%
VWIV55.6%48.6%69.5%69.5%48.7%
Skew 25d9.9%7.8%12.1%9.3%8.7%
Skew 10d19.9%15.3%24.5%17.4%19.2%
Call IV 25d51.6%44.9%65.5%65.5%44.9%
Put IV 25d61.5%53.6%74.8%74.8%53.6%
Bid-Ask Spread %7.045.878.817.747.25
Gamma HHI0.090.060.250.060.08
Net GEX512.2K-924.8K2.5M73.5K424.0K
Net DEX25.5M-1.6M46.7M46.7M6.4M
Net VEX-570.0K-632.7K-472.2K-586.0K-529.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.131.451.060.45
Total Volume6,802.61976615,85812,1375,746
Total OI165,828130,920197,046166,822137,012

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$25.24$28.6169.3%19.9%78.6%75.5%69.5%9.3%-8.0%73.5K46.7M-586.0K1.067.74N/AN/A5,8876,25084,50482,318
2011-11-02$25.87$28.6163.8%18.3%78.2%66.9%65.0%7.8%-6.0%287.6K36.7M-602.1K0.596.83N/AN/A3,1371,86686,25982,320
2011-11-03$26.56$28.6161.7%17.7%77.4%63.6%60.4%7.9%-6.0%535.4K23.3M-628.9K0.536.32N/AN/A4,0572,15388,43383,363
2011-11-04$26.40$26.4761.0%15.8%72.7%62.4%57.9%11.1%-2.5%459.4K28.5M-621.4K0.345.96N/AN/A6,4872,22088,77484,450
2011-11-07$27.00$26.4760.3%15.1%70.3%61.4%51.3%10.5%-2.5%718.8K17.1M-627.4K0.376.31N/AN/A2,67999190,79585,183
2011-11-08$27.72$26.4755.7%14.2%70.6%54.2%48.6%9.0%-2.1%1.1M-16.3K-632.7K0.337.13N/AN/A2,83294691,66485,071
2011-11-09$25.80$26.4770.9%17.2%75.8%77.9%59.7%12.1%-4.0%402.4K38.8M-593.2K0.567.68N/AN/A6,7063,74191,82885,239
2011-11-10$26.37$26.4756.5%16.2%74.3%55.5%54.7%11.6%-2.8%748.2K27.7M-607.0K0.796.18N/AN/A5,2904,16295,06486,866
2011-11-11$26.80$26.4755.0%15.8%74.1%53.1%50.9%11.3%-2.4%984.5K19.0M-625.0K0.136.73N/AN/A5,13965798,04789,085
2011-11-14$26.86$26.4754.7%15.7%73.9%52.6%56.2%10.4%-2.7%1.2M16.6M-608.8K1.136.13N/AN/A2,0702,34498,66489,257
2011-11-15$27.36$26.4754.7%15.7%74.0%52.6%54.3%10.1%-2.9%1.5M5.0M-611.8K0.457.51N/AN/A9,1294,11098,87989,862
2011-11-16$27.60$26.4749.4%14.2%73.6%44.3%51.4%9.4%-0.6%2.5M-1.6M-600.3K0.575.87N/AN/A10,0885,770101,47990,488
2011-11-17$26.62$26.4753.7%15.4%74.9%51.1%53.8%9.8%-1.4%1.0M23.0M-580.3K1.458.81N/AN/A3,4435,002103,66291,284
2011-11-18$26.33$26.4751.1%14.7%73.6%47.1%50.6%10.0%-0.2%-924.8K36.7M-559.3K0.876.80N/AN/A2,0681,802104,70092,346
2011-11-21$25.60$26.4754.7%15.7%70.7%52.6%54.7%10.3%0.1%-11.7K26.5M-528.7K0.917.82N/AN/A6,6986,09266,27164,649
2011-11-22$25.45$26.4752.7%15.1%69.1%49.5%53.9%9.5%0.4%47.6K27.9M-519.2K1.236.73N/AN/A1,4191,74367,79264,864
2011-11-23$24.03$26.4757.2%16.4%71.9%56.5%58.8%10.1%-0.4%-133.5K45.5M-472.6K0.448.49N/AN/A2,5501,13268,60865,763
2011-11-25$24.20$26.4757.4%16.4%58.2%56.8%59.9%10.0%-0.4%-117.8K43.6M-472.2K0.487.24N/AN/A51924769,45566,030
2011-11-28$25.15$26.4755.2%15.8%59.6%53.4%54.1%9.6%-0.8%-16.9K33.5M-485.2K0.737.03N/AN/A1,3941,02169,59566,012
2011-11-29$25.05$26.4753.7%15.4%49.1%51.0%53.7%9.3%0.0%-30.8K34.4M-478.7K1.327.21N/AN/A1,4061,86270,17066,283
2011-11-30$26.82$26.4749.5%14.2%52.0%44.5%48.7%8.7%0.1%424.0K6.4M-529.3K0.457.25N/AN/A3,9551,79170,95166,061