A Options History — September 2012

In September 2012, A traded between $26.28 and $28.53. ATM implied volatility averaged 24.6%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 2.8% (HV 20d: 27.4%). Max pain ranged from $26.47 to $27.90. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.89.

Notable Days

  • 2012-09-05: Highest Volume — 10,176 contracts
  • 2012-09-27: Largest IV drop — 8.7% change
  • 2012-09-04: Highest IV Rank — 7.2%
  • 2012-09-12: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.52$26.28$28.53$26.50$27.50
Max Pain$27.29$26.47$27.90$27.18$27.18
ATM IV24.6%22.6%26.7%26.7%23.6%
Expected Move7.2%6.5%7.9%7.7%6.8%
HV 20d27.4%21.3%36.4%34.4%21.9%
HV 60d31.5%29.8%32.9%31.9%29.8%
IV Rank3.2%0.0%7.2%7.2%2.0%
IV Percentile4.6%0.0%12.3%12.3%1.6%
Term Structure3.7%2.7%4.8%2.9%4.4%
VWIV25.4%23.5%29.0%27.1%23.5%
Skew 25d3.7%2.9%4.8%3.2%3.2%
Skew 10d8.0%6.5%10.3%7.0%7.0%
Call IV 25d23.6%21.6%25.4%25.4%21.8%
Put IV 25d27.3%25.0%29.9%28.6%25.0%
Bid-Ask Spread %10.627.6917.2617.2610.13
Gamma HHI0.190.110.460.130.13
Net GEX2.1M-149.3K5.6M261.1K725.9K
Net DEX-144.1K-37.4M31.3M24.8M8.5M
Net VEX-369.1K-412.8K-337.2K-367.4K-341.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.202.430.911.23
Total Volume2,983.26392110,1761,1764,408
Total OI118,921.47493,653131,549117,35598,229

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$26.50$27.1826.7%7.7%34.4%7.2%27.1%3.2%2.9%261.1K24.8M-367.4K0.9117.26N/AN/A61755961,19756,158
2012-09-05$26.28$27.1826.2%7.5%32.8%6.1%29.0%3.3%2.7%-149.3K31.3M-355.3K1.0510.64N/AN/A4,9745,20261,15856,464
2012-09-06$26.81$27.1824.4%7.0%33.5%2.7%24.5%2.9%3.2%644.0K20.1M-390.3K1.2212.66N/AN/A1,1041,34365,34060,364
2012-09-07$27.48$26.4723.1%7.6%35.0%0.1%25.7%4.5%3.3%2.1M-999.8K-412.8K1.2211.22N/AN/A1,7702,15965,69560,717
2012-09-10$27.37$26.4724.8%7.7%35.0%3.5%26.1%4.2%3.0%2.0M1.6M-396.1K0.5410.01N/AN/A2,1921,18166,10960,491
2012-09-11$27.06$27.1824.8%7.7%35.1%3.5%26.8%4.8%3.2%1.4M11.5M-387.1K0.777.69N/AN/A66751066,98060,813
2012-09-12$26.82$27.1825.9%7.9%35.1%5.5%26.9%4.4%3.2%1.0M18.2M-369.5K1.078.35N/AN/A48551966,96160,890
2012-09-13$27.45$27.1825.5%7.3%36.4%4.8%26.2%4.0%3.4%2.4M1.5M-376.5K1.099.60N/AN/A1,2781,38867,05660,971
2012-09-14$28.42$27.1824.5%7.0%22.2%2.8%24.6%3.8%3.4%4.3M-34.9M-393.3K0.5910.57N/AN/A2,7301,60667,18961,334
2012-09-17$28.35$27.1824.9%7.1%22.3%3.6%26.4%3.6%3.4%4.3M-31.9M-380.5K2.438.38N/AN/A1,4963,63667,51662,015
2012-09-18$28.29$27.1824.4%7.0%21.4%2.8%24.6%3.5%3.7%4.3M-26.1M-385.5K0.539.03N/AN/A1,07157067,66563,501
2012-09-19$28.53$27.1824.1%6.9%21.3%2.2%24.8%3.3%4.0%5.1M-37.4M-380.0K0.667.81N/AN/A68845367,93963,610
2012-09-20$28.06$27.9024.9%7.1%22.3%3.6%25.0%3.2%4.2%3.4M-19.7M-367.6K0.9711.71N/AN/A46745468,19763,287
2012-09-21$27.90$27.9023.7%6.8%22.5%1.4%24.2%3.6%4.6%5.6M-13.5M-352.7K0.2012.35N/AN/A3,45768267,97863,064
2012-09-24$27.68$27.9023.8%6.8%22.5%1.4%23.8%3.8%4.3%550.5K8.4M-341.3K0.508.16N/AN/A1,30765749,19044,463
2012-09-25$27.41$27.9024.9%7.1%22.5%3.6%24.4%3.8%4.2%419.4K12.8M-337.2K0.3211.51N/AN/A1,53248850,07444,791
2012-09-26$27.37$27.9024.8%7.1%21.8%3.4%26.0%4.0%4.8%418.0K13.0M-338.8K1.4310.47N/AN/A69599350,92844,867
2012-09-27$27.60$27.1822.6%6.5%21.9%0.0%23.6%3.9%4.8%565.1K10.2M-339.7K0.2114.25N/AN/A2,76557950,92845,379
2012-09-28$27.50$27.1823.6%6.8%21.9%2.0%23.5%3.2%4.4%725.9K8.5M-341.6K1.2310.13N/AN/A1,9802,42852,74845,481