A Options History — June 2012

In June 2012, A traded between $26.94 and $29.43. ATM implied volatility averaged 33.9%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.6% (HV 20d: 36.5%). Max pain ranged from $27.90 to $28.61. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-06-06: Highest Volume — 9,775 contracts
  • 2012-06-11: Largest IV spike — 21.3% change
  • 2012-06-04: Highest IV Rank — 31.6%
  • 2012-06-04: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.98$26.94$29.43$27.34$28.07
Max Pain$28.48$27.90$28.61$28.61$27.90
ATM IV33.9%28.3%42.6%42.3%28.3%
Expected Move9.9%8.1%12.2%12.1%8.1%
HV 20d36.5%32.9%38.7%36.4%32.9%
HV 60d32.1%31.4%33.9%31.7%33.9%
IV Rank17.5%8.6%31.6%31.1%8.6%
IV Percentile30.1%11.5%58.7%58.7%11.5%
Term Structure3.0%0.3%5.6%0.3%5.6%
VWIV34.7%27.3%41.6%40.1%27.3%
Skew 25d6.7%4.6%9.4%7.9%4.6%
Skew 10d14.6%9.1%19.6%16.1%9.1%
Call IV 25d31.6%25.8%39.0%39.0%26.0%
Put IV 25d38.2%30.6%48.0%46.8%30.6%
Bid-Ask Spread %10.108.6912.8410.7011.10
Gamma HHI0.070.060.080.070.07
Net GEX260.0K-194.3K1.2M-58.8K594.5K
Net DEX18.4M-11.2M36.3M31.1M12.2M
Net VEX-484.8K-539.3K-413.9K-502.4K-446.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.252.551.160.25
Total Volume3,821.7141,2329,7757,1622,433
Total OI113,643.857100,559128,658110,733110,273

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$27.34$28.6142.3%12.1%36.4%31.1%40.1%7.9%0.3%-58.8K31.1M-502.4K1.1610.70N/AN/A3,3153,84758,82151,912
2012-06-04$27.07$28.6142.6%12.2%35.4%31.6%41.6%9.4%0.9%-152.5K36.3M-478.4K0.6511.45N/AN/A1,7751,15159,72353,474
2012-06-05$27.39$28.6140.4%11.8%35.8%28.0%38.4%9.3%1.7%-194.3K32.7M-488.3K0.7710.81N/AN/A1,06581859,70954,245
2012-06-06$28.45$28.6134.9%10.5%38.4%19.2%38.7%8.3%2.0%231.9K11.8M-518.3K0.5912.84N/AN/A6,1603,61559,67654,181
2012-06-07$28.58$28.6133.0%10.4%38.3%16.1%36.8%8.0%2.1%574.3K5.1M-539.3K0.619.42N/AN/A2,6451,60563,18356,043
2012-06-08$28.33$28.6131.1%10.2%38.4%13.0%35.5%7.6%2.5%429.9K12.8M-525.7K0.818.97N/AN/A1,9391,56964,80856,970
2012-06-11$27.88$28.6137.7%10.7%38.7%23.7%36.2%7.5%2.4%121.7K24.9M-501.5K1.439.27N/AN/A3,2004,58365,85857,628
2012-06-12$28.23$28.6134.6%10.5%38.7%18.8%36.4%7.1%2.2%184.5K18.9M-512.3K0.769.77N/AN/A1,7041,29666,98459,911
2012-06-13$27.90$28.6134.7%10.5%35.9%18.8%37.1%7.2%2.4%-147.9K28.2M-503.5K2.559.18N/AN/A7541,92267,13860,150
2012-06-14$28.15$28.6137.0%10.6%35.5%22.6%37.5%7.1%2.3%-150.0K23.7M-505.5K0.4010.07N/AN/A1,42257367,34260,936
2012-06-15$28.62$28.6133.5%9.6%36.0%16.9%34.5%6.7%2.9%587.3K3.8M-511.2K0.388.89N/AN/A4,5641,75667,86760,791
2012-06-18$28.72$28.6131.1%8.9%34.9%13.1%32.5%6.3%3.0%775.8K2.4M-493.5K1.398.69N/AN/A9721,34853,18847,371
2012-06-19$29.43$28.6128.7%8.2%34.2%9.2%29.3%5.9%3.9%1.2M-11.2M-504.7K0.739.49N/AN/A4,1913,04853,61348,171
2012-06-20$29.07$28.6128.4%8.1%34.2%8.7%29.8%5.9%4.2%965.6K-2.9M-507.6K1.2710.12N/AN/A8261,04955,37849,646
2012-06-21$27.98$28.6132.0%9.2%36.7%14.5%31.1%5.8%3.9%342.3K16.0M-477.9K1.7610.22N/AN/A7831,37755,63850,150
2012-06-22$27.92$28.6130.8%8.8%36.6%12.5%31.1%5.3%4.1%278.9K18.8M-459.8K1.0511.03N/AN/A91396254,98149,443
2012-06-25$26.94$28.6132.7%9.4%38.4%15.6%33.4%5.3%3.8%-179.4K34.8M-413.9K0.6310.43N/AN/A2,0371,28555,29649,626
2012-06-26$27.17$27.9033.3%9.6%36.8%16.6%33.8%5.3%4.0%12.6K29.5M-426.3K0.719.05N/AN/A3,0522,17056,47450,247
2012-06-27$27.43$27.9032.5%9.3%36.8%15.3%33.1%4.9%4.7%136.0K24.2M-445.4K0.349.80N/AN/A91631658,27051,427
2012-06-28$26.98$27.9031.7%9.1%36.8%14.0%33.7%4.9%4.5%-85.2K32.3M-418.9K0.5710.89N/AN/A82647458,61451,365
2012-06-29$28.07$27.9028.3%8.1%32.9%8.6%27.3%4.6%5.6%594.5K12.2M-446.5K0.2511.10N/AN/A1,94648758,81051,463