A Options History — May 2012

In May 2012, A traded between $27.70 and $30.79. ATM implied volatility averaged 36.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 5.6% (HV 20d: 30.9%). Max pain ranged from $28.61 to $30.04. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-05-15: Highest Volume — 22,609 contracts
  • 2012-05-10: Largest IV drop — 17.8% change
  • 2012-05-09: Highest IV Rank — 33.8%
  • 2012-05-18: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.08$27.70$30.79$30.74$29.08
Max Pain$29.23$28.61$30.04$30.04$28.61
ATM IV36.5%32.1%44.0%32.7%35.1%
Expected Move10.1%9.2%11.2%9.4%10.1%
HV 20d30.9%27.4%34.1%33.6%30.2%
HV 60d28.0%26.2%29.8%26.3%29.8%
IV Rank21.7%14.6%33.8%15.6%19.5%
IV Percentile43.5%27.0%60.7%32.5%36.9%
Term Structure0.4%-3.4%3.1%-2.1%2.2%
VWIV35.4%31.4%38.6%31.4%35.4%
Skew 25d6.5%5.8%7.6%5.9%6.8%
Skew 10d13.6%11.3%16.0%11.3%14.3%
Call IV 25d32.7%29.5%36.7%30.2%32.8%
Put IV 25d39.2%35.3%43.4%36.1%39.5%
Bid-Ask Spread %9.324.9912.479.249.18
Gamma HHI0.150.080.350.110.08
Net GEX-532.8K-2.7M1.1M79.8K739.3K
Net DEX11.1M-28.1M53.9M-15.6M-6.7M
Net VEX-467.6K-530.9K-409.8K-486.0K-517.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.171.880.201.88
Total Volume6,712.2271,04322,6093,02410,562
Total OI110,27079,018139,836105,595103,711

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$30.74$30.0432.7%9.4%33.6%15.6%31.4%5.9%-2.1%79.8K-15.6M-486.0K0.209.24N/AN/A2,52250251,83453,761
2012-05-02$30.79$30.0433.2%9.5%33.6%16.4%32.6%6.9%-2.5%224.7K-16.0M-491.3K0.488.30N/AN/A78837653,25053,862
2012-05-03$30.19$30.0435.0%10.0%33.2%19.4%34.8%6.6%-3.4%-285.3K-3.9M-475.2K1.589.36N/AN/A57390753,58354,029
2012-05-04$29.33$29.3338.0%9.7%33.1%24.2%35.3%7.2%-0.4%-854.8K15.6M-456.5K1.014.99N/AN/A1,9221,93653,84554,365
2012-05-07$29.23$29.3340.9%10.1%32.0%28.9%33.5%7.1%-1.3%-971.0K17.4M-453.8K1.327.04N/AN/A3,4354,55054,92655,453
2012-05-08$28.81$29.3343.6%10.4%30.8%33.2%36.2%6.3%-0.9%-1.1M24.8M-453.0K0.736.19N/AN/A3,3732,47956,48855,903
2012-05-09$28.56$29.3344.0%10.5%30.8%33.8%36.6%6.1%-1.0%-1.2M30.1M-442.8K1.799.46N/AN/A37367057,90056,688
2012-05-10$28.43$29.3336.1%10.4%29.0%21.2%36.4%6.0%-0.8%-1.3M32.9M-433.0K0.498.66N/AN/A1,88791857,99056,701
2012-05-11$28.22$29.3336.5%10.5%27.4%21.7%36.4%6.0%-0.9%-1.4M38.0M-423.2K0.999.28N/AN/A4,1394,09559,02657,213
2012-05-14$27.83$29.3338.2%10.9%27.6%24.5%37.3%6.2%-1.3%-1.7M52.9M-409.8K0.5911.36N/AN/A12,0657,14762,82361,621
2012-05-15$28.98$29.3335.6%10.2%31.2%20.3%35.9%5.8%1.4%-2.3M15.9M-450.2K0.8510.66N/AN/A12,25110,35868,25963,820
2012-05-16$28.44$29.3335.4%10.1%31.6%20.0%35.5%6.3%2.2%-2.7M33.2M-443.2K1.407.93N/AN/A2,7403,83971,83965,213
2012-05-17$28.35$29.3338.4%11.0%31.6%24.8%38.3%6.4%1.0%-2.7M35.1M-447.5K0.639.15N/AN/A3,8812,44273,11866,718
2012-05-18$27.70$29.3339.0%11.2%32.2%25.7%38.6%6.7%1.9%-898.2K53.9M-411.7K0.7810.81N/AN/A4,0053,11672,23365,945
2012-05-21$28.61$29.3335.2%10.1%34.1%19.7%34.9%6.5%1.0%30.2K9.3M-432.2K0.519.98N/AN/A3,9271,99242,15136,867
2012-05-22$28.96$29.3336.9%10.6%31.8%22.4%37.5%7.6%1.6%342.5K534.3K-458.8K0.8412.47N/AN/A7,3976,21145,15737,747
2012-05-23$29.16$28.6134.1%9.8%29.4%17.9%34.8%7.3%2.1%675.3K-6.5M-497.4K1.199.42N/AN/A3,7204,43450,56741,611
2012-05-24$29.34$28.6133.7%9.6%28.6%17.2%35.9%6.3%3.1%784.2K-11.2M-525.3K1.189.03N/AN/A1,3361,58152,69244,620
2012-05-25$29.33$28.6132.7%9.4%28.1%15.6%33.0%6.4%3.1%742.4K-11.1M-525.1K0.9911.12N/AN/A1,7531,72953,46145,771
2012-05-29$30.17$28.6132.1%9.2%29.8%14.6%32.7%5.8%2.5%1.1M-28.1M-530.9K0.1712.10N/AN/A2,40640554,11046,756
2012-05-30$29.58$28.6136.5%10.5%29.8%21.8%36.3%6.9%0.5%959.9K-17.0M-522.7K0.749.40N/AN/A1,6831,24455,42546,888
2012-05-31$29.08$28.6135.1%10.1%30.2%19.5%35.4%6.8%2.2%739.3K-6.7M-517.2K1.889.18N/AN/A3,6686,89456,33847,373