A Options History — March 2012

In March 2012, A traded between $30.24 and $32.80. ATM implied volatility averaged 26.8%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.3% (HV 20d: 23.5%). Max pain ranged from $31.47 to $32.19. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2012-03-22: Highest Volume — 11,430 contracts
  • 2012-03-05: Largest IV spike — 16.8% change
  • 2012-03-06: Highest IV Rank — 17.8%
  • 2012-03-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.79$30.24$32.80$31.59$31.84
Max Pain$31.57$31.47$32.19$31.47$32.19
ATM IV26.8%24.3%34.2%27.2%24.6%
Expected Move7.8%7.0%9.6%7.8%7.0%
HV 20d23.5%17.0%28.0%20.4%27.4%
HV 60d30.1%27.7%33.7%33.2%27.7%
IV Rank5.8%1.9%17.8%6.5%2.2%
IV Percentile9.8%1.2%34.1%9.1%2.8%
Term Structure4.2%2.6%5.7%3.2%4.7%
VWIV27.7%25.4%33.0%29.9%25.7%
Skew 25d4.8%4.0%5.9%5.0%4.0%
Skew 10d10.1%7.9%12.3%9.9%8.1%
Call IV 25d25.3%22.8%30.9%24.8%23.4%
Put IV 25d30.1%26.8%36.7%29.8%27.4%
Bid-Ask Spread %8.075.7211.978.208.58
Gamma HHI0.150.110.270.140.12
Net GEX1.5M-336.6K4.3M1.4M1.4M
Net DEX-34.2M-79.1M3.5M-31.8M-30.9M
Net VEX-561.0K-579.0K-533.9K-554.4K-570.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.122.142.140.90
Total Volume5,048.8641,27111,4304,0321,271
Total OI105,983.86492,398120,322102,001103,768

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$31.59$31.4727.2%7.8%20.4%6.5%29.9%5.0%3.2%1.4M-31.8M-554.4K2.148.20N/AN/A1,2852,74752,02949,972
2012-03-02$31.27$31.4726.6%7.6%20.4%5.5%26.9%4.5%3.8%1.1M-22.5M-557.1K1.417.95N/AN/A64490952,63550,956
2012-03-05$30.60$31.4731.1%9.1%17.1%12.7%32.3%5.7%2.8%246.7K-5.7M-535.5K1.207.76N/AN/A3,2573,92352,69851,121
2012-03-06$30.24$31.4734.2%9.6%17.0%17.8%33.0%5.7%2.6%-336.6K3.5M-533.9K0.677.61N/AN/A1,8131,20853,49452,617
2012-03-07$31.09$31.4732.4%9.3%20.1%14.9%32.0%5.7%2.6%622.9K-18.1M-543.4K0.618.06N/AN/A5,4773,35953,64852,851
2012-03-08$31.67$31.4730.0%8.7%21.1%11.1%30.1%5.5%3.2%1.5M-35.7M-574.6K1.295.83N/AN/A3,9275,05756,29554,747
2012-03-09$31.87$31.4725.7%8.2%21.2%4.0%29.3%5.5%3.5%2.1M-41.8M-579.0K0.506.16N/AN/A1,56478458,02756,458
2012-03-12$31.20$31.4729.1%8.4%21.1%9.5%29.4%5.9%3.3%853.5K-17.5M-553.2K0.346.25N/AN/A2,24575258,48756,320
2012-03-13$32.27$31.4725.9%7.8%24.2%4.3%27.6%5.0%4.0%3.2M-54.0M-549.4K0.837.79N/AN/A4,8854,04358,42456,304
2012-03-14$32.17$31.4724.5%7.9%24.2%2.1%27.6%4.7%4.1%3.3M-54.3M-565.1K0.306.50N/AN/A1,26538460,70158,301
2012-03-15$32.80$31.4726.3%7.5%25.0%5.1%26.0%4.7%4.3%4.3M-79.1M-556.7K0.128.43N/AN/A5,87467860,90458,431
2012-03-16$32.63$31.4725.0%7.2%25.2%2.9%25.7%4.3%5.0%2.8M-73.2M-551.8K0.707.26N/AN/A2,7611,93361,58558,737
2012-03-19$32.45$31.4725.2%7.2%24.4%3.3%25.5%4.0%5.1%1.2M-39.6M-556.3K0.865.72N/AN/A1,9991,71547,40644,992
2012-03-20$32.07$31.4725.5%7.3%24.4%3.7%25.8%4.5%5.2%1.1M-32.9M-561.9K0.877.20N/AN/A3,1722,76848,23746,096
2012-03-21$31.99$31.4724.5%7.0%24.5%2.2%25.4%4.5%5.7%1.2M-31.8M-570.6K0.518.09N/AN/A1,58881649,78346,974
2012-03-22$31.27$31.4725.7%7.4%25.4%4.1%26.5%4.6%5.2%747.7K-17.2M-554.6K0.8211.97N/AN/A6,2765,15450,37747,420
2012-03-23$31.69$31.4725.4%7.3%25.6%3.7%26.2%4.7%4.9%967.2K-23.2M-573.9K0.7611.28N/AN/A3,0222,30052,48948,274
2012-03-26$32.22$31.4724.3%7.0%26.1%1.9%25.7%4.0%4.5%1.4M-37.6M-576.4K1.548.66N/AN/A2,1363,29952,82849,140
2012-03-27$32.67$31.4724.9%7.1%26.4%2.7%26.0%4.3%4.6%1.7M-49.1M-574.1K0.598.48N/AN/A3,6122,14752,87448,585
2012-03-28$31.90$32.1925.3%7.2%28.0%3.3%26.3%4.4%4.6%1.2M-30.0M-572.8K0.829.31N/AN/A3,7563,06753,81749,179
2012-03-29$31.80$32.1926.3%7.5%27.7%5.0%25.8%4.2%4.6%1.3M-30.2M-576.7K0.2510.53N/AN/A1,76443954,58649,078
2012-03-30$31.84$32.1924.6%7.0%27.4%2.2%25.7%4.0%4.7%1.4M-30.9M-570.5K0.908.58N/AN/A67060154,51449,254