A Options History — October 2012

In October 2012, A traded between $25.40 and $28.04. ATM implied volatility averaged 25.9%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 6.3% (HV 20d: 19.6%). Max pain ranged from $26.47 to $27.90. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2012-10-16: Highest Volume — 34,247 contracts
  • 2012-10-11: Largest IV spike — 16.2% change
  • 2012-10-22: Highest IV Rank — 18.0%
  • 2012-10-22: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.73$25.40$28.04$27.80$25.74
Max Pain$27.39$26.47$27.90$27.18$26.47
ATM IV25.9%20.5%29.6%23.7%25.9%
Expected Move7.7%6.3%8.5%6.8%7.4%
HV 20d19.6%13.5%22.1%22.1%21.3%
HV 60d28.1%26.5%29.0%29.0%26.5%
IV Rank9.9%0.0%18.0%2.1%10.6%
IV Percentile17.2%0.0%32.9%2.0%19.4%
Term Structure1.4%-0.8%5.1%4.0%3.2%
VWIV27.0%22.4%30.0%25.0%24.8%
Skew 25d4.7%2.7%5.6%3.5%3.8%
Skew 10d9.9%5.3%12.0%6.3%7.0%
Call IV 25d24.9%20.6%27.4%22.5%24.0%
Put IV 25d29.6%23.3%32.9%26.1%27.8%
Bid-Ask Spread %11.308.4517.619.4317.61
Gamma HHI0.170.120.220.130.22
Net GEX-444.0K-2.4M1.4M924.3K-1.7M
Net DEX26.6M-3.1M53.7M2.8M43.5M
Net VEX-395.3K-494.0K-310.6K-350.5K-458.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.049.030.820.88
Total Volume7,103.04878334,2474,4924,243
Total OI131,865.8199,965169,66099,965169,660

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$27.80$27.1823.7%6.8%22.1%2.1%25.0%3.5%4.0%924.3K2.8M-350.5K0.829.43N/AN/A2,4652,02753,43446,531
2012-10-02$27.80$27.1823.3%6.7%22.1%1.3%23.6%3.1%4.3%960.7K2.9M-352.6K0.229.04N/AN/A1,51433455,04547,238
2012-10-03$27.88$27.1822.4%6.4%21.7%0.0%22.4%3.1%4.9%1.2M184.6K-352.4K0.678.45N/AN/A3,8502,56555,73147,037
2012-10-04$28.04$27.1821.9%6.3%20.8%0.0%23.1%2.7%5.1%1.4M-3.1M-356.7K1.0914.32N/AN/A76383056,54648,273
2012-10-05$27.80$27.9020.5%7.6%19.3%0.0%25.8%5.4%0.8%1.1M3.1M-347.5K0.199.51N/AN/A1,53529956,92848,676
2012-10-08$27.65$27.9021.5%7.7%19.3%1.9%26.4%5.3%0.5%845.3K6.1M-336.3K0.558.87N/AN/A68638056,59748,680
2012-10-09$27.29$27.9022.9%8.1%19.5%4.7%29.3%5.6%-0.0%301.4K14.4M-326.1K0.929.78N/AN/A1,6101,48356,65148,766
2012-10-10$26.76$27.9023.7%8.2%20.5%6.3%28.6%5.2%0.2%-226.0K26.3M-310.6K8.259.36N/AN/A1,78114,69957,44049,612
2012-10-11$26.92$27.9027.5%7.9%18.7%13.9%28.0%5.3%0.6%-1.8M37.3M-362.4K0.5310.06N/AN/A89647158,18963,490
2012-10-12$26.62$27.9028.2%8.1%13.5%15.3%28.3%5.1%0.1%-2.1M46.8M-346.5K3.6912.10N/AN/A6112,25458,64563,507
2012-10-15$26.60$27.9028.5%8.2%13.5%15.9%29.4%5.1%-0.3%-2.4M48.8M-335.6K1.0711.78N/AN/A60564758,71564,389
2012-10-16$27.12$27.9027.1%7.8%15.7%13.1%27.7%5.2%0.1%-2.2M33.6M-344.6K0.0411.62N/AN/A32,8181,42958,76664,323
2012-10-17$27.22$27.9026.9%7.7%15.4%12.6%26.8%5.1%0.4%-614.7K4.4M-494.0K0.709.58N/AN/A46032388,40164,934
2012-10-18$26.21$27.9029.1%8.3%19.4%17.0%30.0%5.4%-0.6%-1.0M39.2M-441.3K0.3613.40N/AN/A10,0223,57788,25364,589
2012-10-19$25.57$27.1829.4%8.4%20.8%17.6%28.8%5.5%-0.7%-657.5K53.7M-447.1K2.7512.40N/AN/A1,6044,40297,04466,197
2012-10-22$25.75$27.1829.6%8.5%21.2%18.0%28.6%5.3%-0.8%-492.8K38.5M-449.5K0.3812.42N/AN/A5,4472,09392,89661,618
2012-10-23$25.40$27.1828.7%8.2%21.4%16.2%29.7%5.2%1.2%-678.4K47.2M-445.1K1.1111.49N/AN/A5,5616,17294,10963,029
2012-10-24$25.64$26.4728.5%8.2%21.9%15.8%27.8%5.2%1.3%-610.1K39.7M-476.5K0.3712.39N/AN/A1,79466197,09566,455
2012-10-25$25.83$26.4727.0%7.7%21.8%12.9%27.2%4.3%2.1%-751.9K35.0M-488.2K0.8812.75N/AN/A4,4443,89998,06666,690
2012-10-26$25.71$26.4727.2%7.8%21.8%13.3%26.2%4.2%2.4%-790.1K38.6M-479.5K9.0311.01N/AN/A1,78516,12598,90668,031
2012-10-31$25.74$26.4725.9%7.4%21.3%10.6%24.8%3.8%3.2%-1.7M43.5M-458.0K0.8817.61N/AN/A2,2621,98199,53970,121