A Options History — April 2012

In April 2012, A traded between $28.47 and $32.10. ATM implied volatility averaged 30.2%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.6% (HV 20d: 28.6%). Max pain ranged from $30.04 to $32.19. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.99.

Notable Days

  • 2012-04-24: Highest Volume — 13,284 contracts
  • 2012-04-09: Largest IV spike — 15.6% change
  • 2012-04-24: Highest IV Rank — 18.8%
  • 2012-04-24: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.48$28.47$32.10$32.10$30.17
Max Pain$30.44$30.04$32.19$31.47$30.04
ATM IV30.2%23.0%34.7%24.1%34.0%
Expected Move8.9%6.6%9.9%6.9%9.8%
HV 20d28.6%25.7%32.9%26.2%32.9%
HV 60d27.9%26.2%28.9%27.4%27.0%
IV Rank11.6%0.0%18.8%1.4%17.8%
IV Percentile24.7%0.0%38.5%0.8%35.7%
Term Structure0.9%-1.8%6.1%5.0%-1.8%
VWIV31.0%23.2%35.9%25.6%34.5%
Skew 25d5.6%3.3%6.9%4.3%5.8%
Skew 10d11.9%8.2%15.0%9.9%13.2%
Call IV 25d28.4%21.9%32.8%22.6%31.4%
Put IV 25d34.1%25.5%38.3%26.9%37.3%
Bid-Ask Spread %7.945.6612.208.607.38
Gamma HHI0.140.100.510.130.10
Net GEX-128.4K-3.3M1.7M1.7M-275.5K
Net DEX-1.8M-36.7M28.5M-36.7M-3.7M
Net VEX-491.8K-559.5K-410.2K-559.5K-483.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.303.600.571.63
Total Volume4,009.551,16513,2841,2754,216
Total OI103,346.990,992108,854103,691105,072

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$32.10$31.4724.1%6.9%26.2%1.4%25.6%4.3%5.0%1.7M-36.7M-559.5K0.578.60N/AN/A81246354,51649,175
2012-04-03$32.07$32.1923.0%6.6%25.7%0.0%23.2%3.6%5.9%1.6M-34.6M-558.0K0.548.18N/AN/A3,3551,81054,42649,224
2012-04-04$31.29$32.1924.1%6.9%25.7%1.8%23.9%3.6%5.7%730.8K-14.7M-540.3K0.308.99N/AN/A1,94057954,34749,512
2012-04-05$32.02$32.1923.2%6.7%26.2%0.3%24.6%3.3%6.1%1.5M-33.6M-550.6K0.489.47N/AN/A1,50872854,29649,646
2012-04-09$31.15$30.0426.8%9.1%27.9%6.1%31.4%5.7%0.1%583.8K-13.3M-525.1K0.386.96N/AN/A1,73165154,54449,682
2012-04-10$30.26$30.0430.9%9.9%28.8%12.7%33.1%6.7%-0.2%-151.2K6.6M-505.5K0.927.43N/AN/A3,3653,08455,39049,752
2012-04-11$30.38$30.0429.0%9.7%25.8%9.6%31.0%6.6%-0.1%-156.5K4.9M-503.2K0.676.97N/AN/A85457055,78950,097
2012-04-12$31.14$30.0431.5%9.0%27.6%13.8%33.1%6.3%0.8%635.5K-12.6M-518.7K0.747.68N/AN/A1,3921,03656,08150,514
2012-04-13$30.21$30.0433.7%9.6%28.1%17.2%33.1%6.7%0.5%-513.3K10.0M-489.9K0.807.99N/AN/A2,0611,65055,76250,487
2012-04-16$30.04$30.0434.6%9.9%28.2%18.8%33.8%6.9%-0.5%-621.3K12.6M-481.0K1.018.60N/AN/A1,0141,02556,47950,216
2012-04-17$30.51$30.0431.6%9.0%29.0%13.8%32.0%6.9%0.8%-594.0K3.1M-479.9K0.587.01N/AN/A1,57391156,90750,170
2012-04-18$30.27$30.0432.7%9.4%28.9%15.6%32.1%6.5%0.2%-824.2K8.5M-474.3K0.615.66N/AN/A72344257,43850,278
2012-04-19$29.99$30.0431.5%9.0%29.0%13.7%32.0%6.6%0.9%-1.2M15.6M-455.0K1.108.00N/AN/A1,7661,93857,87450,367
2012-04-20$30.11$30.0430.3%8.7%28.1%11.7%31.6%6.2%1.1%-3.3M11.4M-453.1K3.607.57N/AN/A1,7156,18158,46450,390
2012-04-23$29.52$30.0433.4%9.6%28.2%16.7%32.4%6.0%-1.5%-292.9K10.8M-444.4K1.537.38N/AN/A1,1181,70746,67444,318
2012-04-24$28.47$30.0434.7%9.9%29.4%18.8%35.9%5.0%-1.7%-597.7K28.5M-410.2K1.5112.20N/AN/A5,3017,98347,10445,322
2012-04-25$29.46$30.0432.9%9.4%32.0%15.9%32.4%5.2%-1.5%-528.4K10.9M-456.3K0.396.74N/AN/A1,66964448,52949,059
2012-04-26$30.04$30.0431.7%9.1%32.3%14.0%32.9%5.1%-1.0%-205.5K420.1K-462.8K1.267.57N/AN/A2,5003,14048,95748,926
2012-04-27$30.44$30.0431.0%8.9%32.9%12.9%31.4%6.0%-1.0%-69.4K-9.3M-484.7K1.208.43N/AN/A3,1933,84350,51750,637
2012-04-30$30.17$30.0434.0%9.8%32.9%17.8%34.5%5.8%-1.8%-275.5K-3.7M-483.8K1.637.38N/AN/A1,6022,61452,26452,808