A Options History — December 2011

In December 2011, A traded between $23.56 and $27.05. ATM implied volatility averaged 44.0%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 4.6% (HV 20d: 48.6%). Max pain ranged from $26.47 to $28.61. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2011-12-05: Highest Volume — 6,537 contracts
  • 2011-12-09: Largest IV drop — 15.6% change
  • 2011-12-08: Highest IV Rank — 52.5%
  • 2011-12-08: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.98$23.56$27.05$27.05$24.99
Max Pain$28.41$26.47$28.61$26.47$28.61
ATM IV44.0%35.7%54.6%46.7%37.4%
Expected Move12.5%10.2%14.6%13.4%10.7%
HV 20d48.6%39.9%51.7%51.4%39.9%
HV 60d62.6%58.1%65.2%65.0%58.1%
IV Rank36.0%22.9%52.5%40.2%25.6%
IV Percentile62.8%50.0%79.4%66.7%54.4%
Term Structure3.9%0.1%6.6%1.1%6.5%
VWIV43.9%37.4%50.9%46.7%38.8%
Skew 25d7.1%4.3%9.6%8.5%5.1%
Skew 10d14.7%8.9%21.2%17.3%9.6%
Call IV 25d40.7%33.9%46.7%43.7%35.7%
Put IV 25d47.8%38.2%56.1%52.1%40.8%
Bid-Ask Spread %6.335.358.057.125.55
Gamma HHI0.100.070.130.090.08
Net GEX-300.6K-785.7K609.3K609.3K-203.6K
Net DEX46.3M851.2K73.2M851.2K46.6M
Net VEX-404.8K-531.7K-328.6K-531.7K-334.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.256.881.871.51
Total Volume3,741.4299496,5375,5531,605
Total OI140,730.238131,035153,272138,904132,904

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$27.05$26.4746.7%13.4%51.4%40.2%46.7%8.5%1.1%609.3K851.2K-531.7K1.877.12N/AN/A1,9383,61572,48166,423
2011-12-02$26.29$26.4748.1%13.8%51.7%42.4%48.4%8.8%0.1%294.6K17.9M-514.4K1.518.05N/AN/A2,1473,25273,32969,051
2011-12-05$26.51$28.6149.6%13.7%51.7%44.7%48.1%9.6%1.7%278.9K16.3M-504.3K1.456.40N/AN/A2,6693,86872,64669,358
2011-12-06$26.45$28.6146.8%13.5%51.1%40.3%47.3%9.2%1.9%123.7K19.2M-503.1K0.865.76N/AN/A2,9092,51172,96670,658
2011-12-07$26.22$28.6147.3%13.5%50.1%41.1%48.3%9.2%1.7%228.9K22.9M-492.0K1.335.89N/AN/A1,7342,30174,40370,606
2011-12-08$24.62$28.6154.6%14.6%48.6%52.5%50.9%9.4%2.2%-367.5K51.7M-433.7K1.916.60N/AN/A1,8543,54074,36471,334
2011-12-09$25.27$28.6146.1%13.4%48.9%39.2%47.5%8.4%2.9%-420.0K44.7M-454.5K0.796.78N/AN/A1,9101,51174,72073,866
2011-12-12$24.13$28.6152.3%13.9%50.8%48.9%48.7%9.0%2.3%-785.2K66.2M-387.7K0.456.87N/AN/A2,8911,28974,76174,051
2011-12-13$23.71$28.6150.0%13.8%50.9%45.3%45.7%8.6%2.9%-778.6K71.6M-374.8K0.276.52N/AN/A2,80475675,51774,477
2011-12-14$23.56$28.6148.5%13.9%50.0%42.9%48.1%8.0%3.0%-767.1K73.2M-371.2K0.905.95N/AN/A2,1991,98576,34274,555
2011-12-15$23.93$28.6146.3%13.3%50.4%39.5%46.0%7.1%3.9%-785.7K68.3M-381.8K3.855.83N/AN/A6462,48877,10174,607
2011-12-16$23.93$28.6144.6%12.8%49.3%36.8%43.3%6.7%4.2%-683.2K71.6M-371.3K0.645.78N/AN/A2,3911,53877,27375,999
2011-12-19$23.77$28.6143.2%12.4%49.2%34.7%43.2%5.7%4.7%-486.0K62.4M-353.4K0.615.69N/AN/A2,9091,78764,37866,657
2011-12-20$24.74$28.6139.0%11.2%50.9%28.1%39.1%5.3%5.0%-383.9K49.4M-373.7K0.256.06N/AN/A3,25980864,89566,286
2011-12-21$24.58$28.6138.5%11.0%50.9%27.3%40.6%5.0%6.0%-368.6K52.5M-358.2K2.925.71N/AN/A6992,04465,72665,994
2011-12-22$24.92$28.6137.1%10.6%46.7%25.2%37.7%5.1%5.8%-413.2K48.4M-366.4K0.926.76N/AN/A52748265,92067,732
2011-12-23$25.29$28.6135.7%10.2%46.9%22.9%37.4%4.3%6.6%-328.1K42.7M-367.6K1.256.55N/AN/A42252766,14967,591
2011-12-27$25.21$28.6136.7%10.5%44.9%24.5%37.8%4.7%6.0%-335.8K43.8M-356.3K1.176.69N/AN/A47555666,39067,459
2011-12-28$24.40$28.6139.0%11.2%46.4%28.1%39.4%5.5%6.1%-539.1K57.3M-328.6K6.886.99N/AN/A7194,94666,38767,537
2011-12-29$25.08$28.6137.4%10.7%40.1%25.6%38.1%4.9%6.4%-202.1K45.0M-342.6K0.445.35N/AN/A1,43362666,50065,942
2011-12-30$24.99$28.6137.4%10.7%39.9%25.6%38.8%5.1%6.5%-203.6K46.6M-334.5K1.515.55N/AN/A64096567,02265,882