A Options History — August 2012

In August 2012, A traded between $26.24 and $29.18. ATM implied volatility averaged 33.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 1.0% (HV 20d: 34.1%). Max pain ranged from $26.47 to $28.61. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.27.

Notable Days

  • 2012-08-16: Highest Volume — 39,969 contracts
  • 2012-08-16: Largest IV drop — 56.0% change
  • 2012-08-15: Highest IV Rank — 75.0%
  • 2012-08-01: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.51$26.24$29.18$27.31$26.58
Max Pain$27.24$26.47$28.61$28.61$27.18
ATM IV33.1%24.9%61.8%36.2%25.5%
Expected Move8.2%7.1%10.4%10.4%7.3%
HV 20d34.1%27.8%41.9%29.7%34.5%
HV 60d33.6%31.3%36.0%32.5%32.0%
IV Rank18.3%3.7%75.0%21.2%4.8%
IV Percentile29.6%3.6%94.0%44.0%6.7%
Term Structure1.9%-3.0%4.7%-3.0%3.4%
VWIV29.0%25.1%37.0%37.0%25.9%
Skew 25d4.7%3.1%6.5%5.6%3.6%
Skew 10d9.9%6.2%13.6%11.5%6.9%
Call IV 25d26.6%23.3%34.0%33.9%23.8%
Put IV 25d31.3%27.0%40.1%39.5%27.3%
Bid-Ask Spread %9.627.1517.719.6517.71
Gamma HHI0.130.090.200.100.13
Net GEX815.5K-1.2M1.7M828.9K387.6K
Net DEX9.6M-23.2M55.7M14.9M22.6M
Net VEX-378.6K-412.3K-304.1K-373.1K-380.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.462.871.550.78
Total Volume6,1231,39739,9693,3121,397
Total OI114,489.13100,425146,807107,018116,574

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$27.31$28.6136.2%10.4%29.7%21.2%37.0%5.6%-3.0%828.9K14.9M-373.1K1.559.65N/AN/A1,2992,01359,17647,842
2012-08-02$27.00$28.6135.7%10.2%29.8%20.5%36.6%6.2%-2.2%517.3K22.4M-369.1K1.7610.02N/AN/A2,1383,76259,44049,147
2012-08-03$27.98$28.6134.0%9.7%29.8%17.7%34.2%5.8%-2.4%1.1M4.1M-400.0K0.4610.25N/AN/A4,4482,05960,48051,771
2012-08-06$28.06$26.4735.9%9.1%29.5%20.8%31.6%6.5%1.5%1.2M1.3M-393.2K0.717.59N/AN/A1,41299861,93751,885
2012-08-07$28.79$26.4735.3%8.8%30.6%19.8%31.7%6.1%1.4%1.6M-15.2M-407.8K1.179.45N/AN/A1,4621,70462,14752,310
2012-08-08$29.08$26.4736.8%8.6%30.4%22.2%30.9%6.2%1.8%1.7M-22.3M-412.3K1.6710.28N/AN/A2,5644,27662,32452,664
2012-08-09$29.18$26.4736.8%8.5%29.2%22.2%29.9%5.8%2.1%1.6M-23.2M-412.2K0.957.15N/AN/A1,3781,30962,75254,681
2012-08-10$28.99$26.4738.5%8.3%29.3%30.1%31.7%5.5%2.6%1.5M-17.6M-406.2K1.667.77N/AN/A1,9853,28962,85354,413
2012-08-13$28.88$27.1848.8%8.9%29.2%49.9%31.0%6.0%2.0%1.4M-14.3M-398.8K1.137.91N/AN/A1,7742,00863,73256,276
2012-08-14$28.96$27.1851.6%8.8%29.0%55.3%30.3%6.2%1.9%1.5M-17.2M-392.8K0.868.61N/AN/A3,5843,08564,51856,858
2012-08-15$28.96$27.1861.8%8.9%27.8%75.0%30.7%5.4%1.4%1.5M-15.9M-403.0K0.9713.38N/AN/A7,3427,11966,01557,435
2012-08-16$26.57$27.9027.2%7.8%41.9%8.1%27.0%3.8%3.6%-1.2M55.7M-304.1K0.959.13N/AN/A20,48219,48767,60358,989
2012-08-17$26.62$27.1826.2%7.5%41.1%6.2%26.5%3.9%4.7%-809.0K48.6M-352.3K1.389.03N/AN/A2,9084,01279,64867,159
2012-08-20$26.24$27.1825.1%7.2%40.6%4.1%25.9%3.6%2.4%370.3K26.9M-337.7K1.659.44N/AN/A1,7002,80354,35146,074
2012-08-21$26.56$27.1825.2%7.2%39.2%4.2%25.1%3.6%2.9%581.4K21.9M-349.8K0.738.21N/AN/A2,7652,01355,19047,949
2012-08-22$26.80$27.1825.9%7.4%39.0%5.7%26.7%4.0%2.5%832.8K16.7M-375.0K0.9210.05N/AN/A1,1651,07456,74249,358
2012-08-23$26.80$27.1826.4%7.6%38.8%6.6%25.3%3.8%2.8%869.4K14.7M-376.4K1.009.96N/AN/A1,5011,50157,25249,576
2012-08-24$27.07$27.1824.9%7.1%36.8%3.7%25.1%3.6%2.8%1.2M9.5M-388.9K0.658.44N/AN/A1,8201,17657,65150,276
2012-08-27$26.78$27.1826.3%7.5%36.9%6.3%27.8%3.3%2.7%923.3K16.0M-372.5K2.877.94N/AN/A9422,70458,50850,539
2012-08-28$26.43$27.1825.7%7.4%37.1%5.2%25.6%3.1%2.7%296.4K25.1M-361.3K1.5610.85N/AN/A6861,06858,94852,844
2012-08-29$26.58$27.1825.8%7.4%37.2%5.3%25.6%3.3%2.7%466.2K22.3M-367.9K1.057.44N/AN/A1,5881,66659,15453,720
2012-08-30$26.49$27.1825.7%7.4%37.0%5.1%26.0%3.6%3.2%383.0K23.3M-372.2K2.8411.01N/AN/A1,3953,96860,06154,428
2012-08-31$26.58$27.1825.5%7.3%34.5%4.8%25.9%3.6%3.4%387.6K22.6M-380.5K0.7817.71N/AN/A78661160,72455,850