A Options History — January 2012

In January 2012, A traded between $25.89 and $31.51. ATM implied volatility averaged 36.3%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 2.2% (HV 20d: 34.1%). Max pain ranged from $25.04 to $28.61. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-01-13: Highest Volume — 12,487 contracts
  • 2012-01-12: Largest IV spike — 17.6% change
  • 2012-01-13: Highest IV Rank — 28.3%
  • 2012-01-06: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.78$25.89$31.51$26.09$30.38
Max Pain$26.61$25.04$28.61$28.61$27.18
ATM IV36.3%33.1%40.7%37.8%38.3%
Expected Move10.7%9.9%11.7%10.8%11.0%
HV 20d34.1%29.4%42.9%42.1%33.0%
HV 60d52.3%42.4%58.1%58.1%42.4%
IV Rank22.3%18.4%28.3%26.2%24.4%
IV Percentile47.9%38.9%59.5%55.2%54.4%
Term Structure1.1%-1.4%6.1%5.4%-1.3%
VWIV38.1%35.6%42.2%38.0%38.0%
Skew 25d6.4%4.0%7.8%4.7%6.5%
Skew 10d13.1%7.9%15.9%9.0%14.4%
Call IV 25d34.7%32.2%37.4%35.7%35.0%
Put IV 25d41.1%37.8%44.6%40.4%41.4%
Bid-Ask Spread %6.715.977.987.387.98
Gamma HHI0.180.080.700.080.15
Net GEX1.5M110.9K8.4M110.9K1.8M
Net DEX-31.2M-87.5M30.1M27.7M-51.7M
Net VEX-352.9K-413.5K-327.5K-347.4K-411.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.203.700.270.62
Total Volume5,612.41,96912,4875,0435,474
Total OI119,292.3570,593149,329133,59187,029

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$26.09$28.6137.8%10.8%42.1%26.2%38.0%4.7%5.4%110.9K27.7M-347.4K0.277.38N/AN/A3,9611,08267,30366,288
2012-01-04$25.89$28.6136.3%10.4%42.1%23.9%36.6%4.6%6.1%204.7K30.1M-332.7K1.327.74N/AN/A1,9672,59969,36966,275
2012-01-05$26.47$28.6135.0%10.0%42.9%21.9%35.9%4.0%5.9%231.1K19.7M-343.0K0.896.59N/AN/A1,6471,46268,71467,739
2012-01-06$26.75$25.0434.6%11.7%42.9%21.2%41.7%7.8%1.6%311.0K14.0M-342.5K0.966.42N/AN/A1,4331,37868,67468,020
2012-01-09$27.45$25.0434.6%11.4%36.4%21.2%38.0%7.5%1.6%564.3K-2.0M-342.2K0.416.84N/AN/A2,6071,06068,98367,990
2012-01-10$27.97$25.0433.5%11.1%35.9%19.5%38.7%6.7%1.6%810.8K-15.6M-342.3K0.506.43N/AN/A3,3131,67269,76968,053
2012-01-11$27.84$25.7533.1%11.1%30.7%18.8%40.6%7.2%1.3%784.7K-12.1M-336.1K0.846.36N/AN/A1,17698470,03368,276
2012-01-12$28.27$25.7538.9%11.1%29.4%27.9%39.4%7.3%1.0%802.1K-22.2M-339.0K3.705.97N/AN/A8183,02570,18968,027
2012-01-13$27.94$26.4740.7%11.7%29.8%28.3%39.9%7.2%0.2%646.6K-11.9M-335.4K0.566.72N/AN/A7,9914,49670,12570,213
2012-01-17$28.61$26.4740.2%11.5%30.2%27.5%42.2%7.1%0.3%1.2M-40.4M-343.0K1.396.55N/AN/A1,7142,38875,78772,236
2012-01-18$29.52$26.4738.4%11.0%31.0%24.7%37.5%6.8%0.6%2.0M-68.5M-333.6K0.276.25N/AN/A7,7882,08075,59570,798
2012-01-19$29.94$26.4737.1%10.6%30.3%22.5%39.1%6.4%0.9%2.9M-87.5M-330.9K0.407.01N/AN/A5,0852,05877,71270,208
2012-01-20$29.33$26.4735.9%10.3%30.4%20.5%35.6%6.6%1.8%8.4M-79.5M-327.5K0.276.09N/AN/A6,8701,82379,72569,604
2012-01-23$29.33$26.4735.0%10.0%30.1%19.2%35.7%6.3%0.0%1.6M-36.9M-331.5K0.556.30N/AN/A3,0991,70040,90829,685
2012-01-24$30.47$26.4735.3%10.1%31.8%19.5%36.9%6.6%-0.7%1.6M-53.5M-348.4K0.946.80N/AN/A4,6574,38742,67430,749
2012-01-25$31.51$26.4734.6%9.9%32.9%18.4%36.1%5.9%-1.3%1.5M-67.1M-375.4K0.416.31N/AN/A3,0671,25345,03833,686
2012-01-26$30.52$26.4734.8%10.0%36.0%18.8%36.8%5.9%-0.5%1.7M-54.2M-387.4K0.206.16N/AN/A8,1771,60246,64733,927
2012-01-27$30.53$27.1835.1%10.1%32.6%19.3%35.8%6.3%-0.7%1.8M-53.3M-394.2K0.797.60N/AN/A2,4511,93548,33634,964
2012-01-30$30.87$27.1836.8%10.5%32.0%22.0%38.8%6.0%-1.4%1.8M-59.5M-413.5K1.286.75N/AN/A8631,10649,95236,547
2012-01-31$30.38$27.1838.3%11.0%33.0%24.4%38.0%6.5%-1.3%1.8M-51.7M-411.4K0.627.98N/AN/A3,3692,10550,16236,867