A Options History — February 2012

In February 2012, A traded between $30.48 and $32.39. ATM implied volatility averaged 34.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.6% (HV 20d: 31.4%). Max pain ranged from $27.18 to $31.47. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2012-02-16: Highest Volume — 21,405 contracts
  • 2012-02-16: Largest IV drop — 15.1% change
  • 2012-02-08: Highest IV Rank — 26.3%
  • 2012-02-10: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.37$30.48$32.39$31.61$31.20
Max Pain$30.83$27.18$31.47$27.18$31.47
ATM IV34.0%26.9%39.4%36.4%26.9%
Expected Move9.6%7.7%11.1%10.4%7.7%
HV 20d31.4%24.5%35.2%32.5%24.5%
HV 60d39.1%33.7%43.2%42.8%33.7%
IV Rank17.6%6.0%26.3%21.3%6.0%
IV Percentile36.1%7.1%57.9%47.2%7.1%
Term Structure1.1%-2.2%3.8%-1.2%3.2%
VWIV34.3%26.8%41.6%39.6%26.8%
Skew 25d6.3%4.5%8.3%5.8%4.7%
Skew 10d13.2%8.9%16.6%12.6%8.9%
Call IV 25d30.7%25.5%36.4%33.9%25.5%
Put IV 25d37.0%30.2%43.0%39.7%30.2%
Bid-Ask Spread %6.844.929.267.469.03
Gamma HHI0.140.110.350.120.13
Net GEX1.5M238.8K2.7M1.8M1.0M
Net DEX-52.7M-88.7M-5.1M-73.6M-22.3M
Net VEX-488.8K-552.3K-422.5K-424.5K-552.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.262.010.310.98
Total Volume6,780.651,35821,4057,6191,887
Total OI101,651.890,367123,95590,465101,194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$31.61$27.1836.4%10.4%32.5%21.3%39.6%5.8%-1.2%1.8M-73.6M-424.5K0.317.46N/AN/A5,8031,81652,06938,396
2012-02-02$31.27$27.1838.6%11.1%32.7%25.0%41.6%6.2%-2.2%1.9M-67.9M-423.5K0.677.13N/AN/A2,7231,82452,78438,641
2012-02-03$32.39$30.7637.4%10.0%33.7%22.9%36.7%7.4%0.5%1.7M-83.0M-422.5K0.264.92N/AN/A4,8401,25352,15939,534
2012-02-06$31.95$30.7638.9%10.1%34.7%25.4%37.0%7.8%0.6%1.9M-82.0M-456.7K1.165.80N/AN/A2,1612,51855,71240,176
2012-02-07$31.90$30.7638.9%10.2%34.3%25.5%36.4%7.4%0.2%1.9M-81.9M-460.0K0.885.10N/AN/A2,2541,97456,52841,247
2012-02-08$32.17$30.7639.4%10.2%34.1%26.3%35.5%7.0%0.1%1.9M-87.1M-470.7K1.255.12N/AN/A60475457,83843,039
2012-02-09$32.25$30.7635.3%10.1%33.8%19.6%35.3%6.9%0.9%1.9M-88.7M-468.8K1.085.61N/AN/A5,4385,87957,82343,374
2012-02-10$31.57$31.4738.7%11.1%35.2%25.1%40.3%7.3%-0.6%1.8M-72.8M-494.8K1.535.70N/AN/A4,4336,76860,59247,145
2012-02-13$31.36$31.4737.8%10.8%34.9%23.6%40.5%7.3%-0.4%1.7M-65.5M-485.7K0.725.59N/AN/A2,2961,66162,29849,904
2012-02-14$31.32$31.4737.5%10.8%34.3%23.1%36.4%7.2%-0.0%1.7M-67.2M-481.7K0.276.55N/AN/A4,7141,26963,02650,429
2012-02-15$31.22$31.4738.3%11.0%32.9%24.4%38.2%8.3%-0.6%1.7M-61.0M-483.2K0.619.26N/AN/A7,0644,30762,97450,837
2012-02-16$31.35$31.4732.5%9.3%32.6%15.0%35.5%6.6%3.4%1.7M-69.0M-476.5K0.786.52N/AN/A11,9999,40666,59853,018
2012-02-17$30.86$31.4731.2%9.0%32.2%13.0%31.1%6.3%3.8%2.7M-51.1M-496.4K1.006.79N/AN/A8,3708,35467,14256,813
2012-02-21$30.48$31.4729.7%8.5%32.7%10.6%30.7%5.5%1.8%270.5K-5.1M-516.7K1.437.16N/AN/A1,8732,67746,04944,318
2012-02-22$30.56$31.4729.6%8.5%29.7%10.3%29.6%5.2%2.0%238.8K-6.6M-522.6K1.417.73N/AN/A1,5702,21446,94945,540
2012-02-23$31.05$31.4728.6%8.2%27.7%8.8%28.2%4.9%2.0%549.3K-16.0M-538.1K2.017.05N/AN/A1,2432,49548,22747,518
2012-02-24$30.77$30.7628.4%8.1%25.4%8.4%27.6%4.5%2.6%629.0K-12.8M-527.5K1.607.75N/AN/A1,6152,58848,87146,723
2012-02-27$31.01$31.4729.3%8.4%25.5%9.9%29.8%5.1%1.9%854.1K-17.3M-525.8K0.719.20N/AN/A2,9042,06849,87147,621
2012-02-28$31.21$31.4727.5%7.9%25.3%7.0%28.8%4.8%3.0%1.0M-22.9M-547.1K0.867.42N/AN/A1,07692151,50548,554
2012-02-29$31.20$31.4726.9%7.7%24.5%6.0%26.8%4.7%3.2%1.0M-22.3M-552.3K0.989.03N/AN/A95293551,83649,358