A Options History — July 2012

In July 2012, A traded between $25.47 and $28.28. ATM implied volatility averaged 32.9%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 1.1% (HV 20d: 31.8%). Max pain ranged from $27.90 to $29.33. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-07-25: Highest Volume — 5,908 contracts
  • 2012-07-12: Largest IV spike — 14.0% change
  • 2012-07-31: Highest IV Rank — 23.0%
  • 2012-07-31: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.90$25.47$28.28$27.83$27.39
Max Pain$28.71$27.90$29.33$27.90$28.61
ATM IV32.9%27.0%37.3%28.6%37.3%
Expected Move9.7%7.7%10.7%8.2%10.7%
HV 20d31.8%30.2%33.6%32.8%30.3%
HV 60d32.7%31.9%33.5%33.5%32.5%
IV Rank16.0%6.5%23.0%9.0%23.0%
IV Percentile27.6%9.9%48.4%12.3%48.4%
Term Structure0.2%-3.4%5.4%5.2%-3.4%
VWIV33.7%28.5%37.9%28.5%37.9%
Skew 25d5.5%4.4%6.7%4.9%5.5%
Skew 10d11.8%9.2%15.2%10.3%11.3%
Call IV 25d31.6%25.5%35.0%26.6%35.0%
Put IV 25d37.1%30.2%40.5%31.4%40.5%
Bid-Ask Spread %9.718.0412.0512.059.92
Gamma HHI0.080.070.100.070.10
Net GEX24.9K-676.7K796.6K449.0K789.9K
Net DEX32.1M8.6M50.1M17.6M14.4M
Net VEX-353.8K-441.8K-281.5K-429.4K-369.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.195.331.480.66
Total Volume2,933.816635,9081,4604,952
Total OI108,230.42992,007117,588111,012102,757

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$27.83$27.9028.6%8.2%32.8%9.0%28.5%4.9%5.2%449.0K17.6M-429.4K1.4812.05N/AN/A58987159,40851,604
2012-07-03$28.28$27.9027.0%7.7%33.0%6.5%29.2%4.7%5.4%796.6K8.6M-441.8K1.7111.99N/AN/A24541859,50951,958
2012-07-05$28.16$27.9028.6%8.2%30.2%9.0%30.7%4.8%4.9%712.4K11.4M-429.3K2.1011.36N/AN/A36576859,59151,785
2012-07-06$27.16$29.3328.9%9.8%32.6%9.4%34.6%6.1%0.7%-135.4K32.7M-384.8K0.9611.78N/AN/A1,1481,09959,68652,007
2012-07-09$26.91$29.3330.7%10.0%32.6%12.4%34.2%6.0%-0.3%-302.7K37.0M-368.8K0.349.58N/AN/A1,23441959,66252,400
2012-07-10$26.82$29.3332.6%10.4%32.3%15.4%34.4%5.9%-0.6%-334.5K38.4M-366.7K0.389.84N/AN/A2,06878160,47252,478
2012-07-11$26.60$29.3331.5%10.2%31.9%13.7%36.5%5.7%-0.1%-485.1K42.8M-355.7K0.5810.12N/AN/A63036660,36452,474
2012-07-12$26.12$29.3335.9%10.3%32.2%20.8%35.0%5.1%-0.6%-676.7K50.1M-330.8K0.258.14N/AN/A1,82946360,67052,404
2012-07-13$26.49$29.3334.7%9.9%32.5%18.9%32.7%5.2%0.3%-516.9K44.4M-338.3K0.1910.53N/AN/A1,79934461,48752,391
2012-07-16$26.34$28.6135.0%10.0%31.6%19.3%33.8%4.9%-0.3%-590.7K47.3M-323.9K0.388.85N/AN/A1,49956562,26052,322
2012-07-17$26.71$28.6133.8%9.7%32.2%17.5%33.1%5.0%0.3%-330.9K41.6M-328.5K0.888.41N/AN/A2,6252,31562,96352,531
2012-07-18$27.44$28.6133.1%9.5%32.5%16.2%32.4%4.6%0.4%288.5K25.9M-357.4K0.3010.36N/AN/A3,7441,11463,91553,408
2012-07-19$27.51$28.6132.2%9.2%32.3%14.8%33.3%4.4%0.7%35.3K26.3M-350.0K5.338.20N/AN/A4222,25162,88153,304
2012-07-20$26.87$28.6132.0%9.2%30.6%14.5%32.1%4.9%1.2%-105.9K42.4M-330.8K0.678.42N/AN/A99066563,05554,533
2012-07-23$26.24$28.6134.0%9.8%31.5%17.8%33.9%5.4%-0.9%-119.4K36.9M-306.8K0.398.61N/AN/A1,87672648,93343,074
2012-07-24$25.47$28.6135.4%10.1%30.8%20.0%36.0%6.1%-1.3%-274.3K44.4M-281.5K0.548.04N/AN/A2,9851,62249,74943,208
2012-07-25$25.85$28.6136.1%10.4%31.2%21.1%36.4%6.0%-1.5%-54.2K39.1M-307.4K0.749.37N/AN/A3,3892,51951,84843,861
2012-07-26$26.19$28.6134.5%9.9%31.4%18.6%33.9%6.2%-1.1%67.1K35.2M-317.9K0.198.68N/AN/A3,20859452,66844,533
2012-07-27$27.14$28.6133.1%9.5%33.6%16.3%33.8%6.7%-1.4%581.2K20.7M-351.5K0.6510.74N/AN/A2,0841,36454,57244,960
2012-07-30$27.31$28.6136.3%10.4%30.4%21.3%35.8%6.4%-3.4%728.5K16.4M-359.9K0.618.95N/AN/A2,9051,76055,85745,297
2012-07-31$27.39$28.6137.3%10.7%30.3%23.0%37.9%5.5%-3.4%789.9K14.4M-369.4K0.669.92N/AN/A2,9821,97056,62746,130