A Options History — November 2012

In November 2012, A traded between $25.57 and $27.42. ATM implied volatility averaged 25.7%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.8% (HV 20d: 27.4%). Max pain ranged from $25.75 to $26.47. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-11-02: Highest Volume — 54,845 contracts
  • 2012-11-20: Largest IV drop — 19.8% change
  • 2012-11-16: Highest IV Rank — 30.8%
  • 2012-11-16: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.50$25.57$27.42$26.54$27.39
Max Pain$26.33$25.75$26.47$26.47$26.47
ATM IV25.7%21.7%33.2%24.1%21.9%
Expected Move7.7%6.2%9.5%6.9%6.3%
HV 20d27.4%24.4%30.9%24.5%29.2%
HV 60d25.0%21.2%27.6%27.3%25.2%
IV Rank11.6%2.8%30.8%7.1%3.3%
IV Percentile18.0%0.8%53.6%6.3%1.2%
Term Structure1.2%-0.9%4.0%4.0%2.4%
VWIV27.0%22.2%33.1%24.4%22.8%
Skew 25d4.4%3.3%5.4%3.6%3.8%
Skew 10d9.5%6.3%12.4%7.3%10.1%
Call IV 25d25.1%19.9%32.0%22.8%19.9%
Put IV 25d29.5%23.4%35.6%26.4%23.6%
Bid-Ask Spread %11.687.3416.8715.7810.73
Gamma HHI0.220.160.260.170.24
Net GEX3.8M2.0M5.9M2.0M5.5M
Net DEX-21.5M-73.5M19.3M-5.6M-48.1M
Net VEX-574.9K-731.8K-441.7K-470.7K-526.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.122.270.660.59
Total Volume10,162.811,38254,8457,6921,629
Total OI189,823.476158,118219,743158,118166,766

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$26.54$26.4724.1%6.9%24.5%7.1%24.4%3.6%4.0%2.0M-5.6M-470.7K0.6615.78N/AN/A4,6393,053100,96657,152
2012-11-02$26.47$26.4726.3%7.5%24.4%11.5%26.4%3.3%2.7%2.0M-5.1M-467.8K0.1216.87N/AN/A48,7826,063101,66457,902
2012-11-05$26.90$25.7527.2%8.4%25.2%13.2%29.8%5.1%0.3%5.1M-56.7M-696.5K2.2712.45N/AN/A1,9704,472145,70161,617
2012-11-06$27.38$25.7526.9%8.4%26.0%12.7%29.0%5.4%0.2%5.9M-73.5M-731.8K0.5614.79N/AN/A2,0901,176145,75164,351
2012-11-07$26.88$25.7526.0%8.4%26.7%10.9%28.4%4.9%0.4%4.7M-51.1M-699.1K0.4811.17N/AN/A2,2701,095145,76464,829
2012-11-08$26.38$25.7525.4%8.6%27.1%9.7%30.1%4.9%0.4%3.7M-27.3M-658.8K0.918.18N/AN/A3,2182,943146,52764,772
2012-11-09$26.40$26.4725.0%8.6%26.3%8.9%30.1%4.8%0.3%3.8M-26.7M-661.8K1.8711.75N/AN/A1,7523,274147,91066,226
2012-11-12$26.34$26.4725.8%8.6%26.1%10.4%30.0%4.7%0.4%3.7M-20.9M-639.9K1.237.34N/AN/A1,2931,595148,81468,201
2012-11-13$25.99$26.4728.1%9.1%26.3%18.4%31.5%4.9%-0.3%2.9M-1.8M-602.7K1.659.06N/AN/A2,1673,575149,44868,572
2012-11-14$25.85$26.4729.3%9.1%26.3%21.2%30.7%5.0%-0.1%2.6M4.0M-598.8K0.559.53N/AN/A1,706946149,92769,816
2012-11-15$25.57$26.4732.1%9.2%25.3%28.1%31.2%5.2%-0.3%2.2M14.6M-562.6K1.059.45N/AN/A4,0184,222149,28567,179
2012-11-16$25.62$26.4733.2%9.5%25.2%30.8%33.1%3.6%-0.9%2.4M14.8M-554.5K0.799.47N/AN/A7,4815,898149,52967,363
2012-11-19$26.83$26.4729.1%8.3%27.4%20.8%29.5%4.7%0.3%5.0M-48.1M-663.2K0.5915.86N/AN/A11,5296,828130,49449,643
2012-11-20$25.95$26.4723.3%6.7%28.7%6.8%22.7%4.2%2.3%3.9M-4.3M-545.3K0.1713.61N/AN/A39,6916,864135,20251,611
2012-11-21$25.64$26.4723.2%6.6%28.9%6.4%23.7%3.9%2.2%2.0M19.3M-441.7K0.6211.07N/AN/A3,1731,966110,34653,165
2012-11-23$26.38$26.4722.1%6.4%30.2%3.9%22.2%3.9%2.4%3.4M-6.3M-489.9K0.3712.35N/AN/A1,009373111,43653,374
2012-11-26$26.80$26.4722.4%6.4%30.5%4.5%23.3%4.5%1.8%4.2M-20.2M-502.6K1.0412.57N/AN/A2,5392,635111,26853,348
2012-11-27$26.71$26.4723.8%6.8%30.5%7.9%23.6%3.9%1.6%4.0M-19.7M-508.3K0.8010.08N/AN/A4,3113,461112,62454,582
2012-11-28$27.16$26.4722.1%6.3%30.8%3.8%22.2%3.9%2.3%5.1M-39.6M-521.8K0.2812.22N/AN/A3,474983113,50553,313
2012-11-29$27.42$26.4721.7%6.2%30.9%2.8%22.4%3.4%2.5%5.3M-48.4M-529.6K1.0411.02N/AN/A1,5971,659112,53553,815
2012-11-30$27.39$26.4721.9%6.3%29.2%3.3%22.8%3.8%2.4%5.5M-48.1M-526.6K0.5910.73N/AN/A1,026603113,07453,692