A Options History — December 2012

In December 2012, A traded between $27.05 and $29.61. ATM implied volatility averaged 24.0%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.1% (HV 20d: 27.0%). Max pain ranged from $26.47 to $28.61. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.24.

Notable Days

  • 2012-12-21: Highest Volume — 17,700 contracts
  • 2012-12-13: Largest IV spike — 15.0% change
  • 2012-12-28: Highest IV Rank — 17.6%
  • 2012-12-28: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.53$27.05$29.61$27.12$29.28
Max Pain$27.68$26.47$28.61$26.47$28.61
ATM IV24.0%20.8%27.8%23.0%26.7%
Expected Move7.0%6.1%8.0%6.6%7.6%
HV 20d27.0%23.0%30.6%29.5%25.9%
HV 60d25.2%24.5%26.4%25.2%26.4%
IV Rank8.3%0.7%17.6%6.1%14.8%
IV Percentile14.4%0.4%41.3%4.8%35.7%
Term Structure3.0%1.7%4.0%1.7%2.1%
VWIV25.4%21.8%28.4%21.8%26.9%
Skew 25d4.1%3.3%4.8%4.8%4.8%
Skew 10d9.1%6.9%11.6%10.9%9.3%
Call IV 25d23.1%20.5%26.3%21.5%24.6%
Put IV 25d27.2%24.6%30.8%26.3%29.4%
Bid-Ask Spread %11.114.9817.3510.559.23
Gamma HHI0.230.180.290.240.22
Net GEX7.1M5.0M13.1M5.0M7.1M
Net DEX-92.6M-156.7M-30.5M-35.1M-97.6M
Net VEX-511.0K-580.2K-480.6K-499.5K-580.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.134.180.630.51
Total Volume5,387.483317,7003,7012,539
Total OI169,566.75163,056182,894166,826174,715

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$27.12$26.4723.0%6.6%29.5%6.1%21.8%4.8%1.7%5.0M-35.1M-499.5K0.6310.55N/AN/A2,2721,429113,15053,676
2012-12-04$27.27$26.4722.7%6.5%29.0%5.2%23.5%4.3%2.0%5.4M-40.6M-499.8K0.8811.21N/AN/A607537112,76854,008
2012-12-05$27.65$26.4721.4%6.1%28.7%2.1%22.6%4.1%2.6%6.0M-58.1M-510.4K1.5913.77N/AN/A538854113,03454,023
2012-12-06$27.41$26.4723.0%6.6%28.0%6.0%23.4%3.9%2.0%5.7M-47.9M-501.8K0.8517.35N/AN/A1,039881113,14354,391
2012-12-07$27.05$27.9022.0%7.0%27.6%3.6%24.0%4.4%3.8%5.0M-30.5M-480.6K0.3112.64N/AN/A2,202679113,07354,399
2012-12-10$27.58$27.9021.6%6.9%28.4%2.6%23.6%4.0%4.0%6.0M-52.9M-483.1K0.3712.15N/AN/A2,7261,000112,74254,342
2012-12-11$28.40$27.9020.8%6.8%29.9%0.7%25.3%3.3%3.5%7.4M-95.2M-499.9K1.238.43N/AN/A1,7412,147112,67353,954
2012-12-12$28.98$27.9021.6%6.8%29.7%2.6%25.2%3.5%3.6%7.6M-121.1M-500.1K1.1912.12N/AN/A1,9522,319112,59854,075
2012-12-13$28.47$27.9024.9%7.1%30.6%10.5%25.1%3.6%3.7%7.4M-96.8M-496.2K1.6910.93N/AN/A313528113,21755,129
2012-12-14$28.51$27.9025.8%7.4%30.1%12.7%27.7%4.2%3.2%7.5M-99.3M-492.4K0.219.62N/AN/A5,3391,107113,27455,036
2012-12-17$29.14$27.9024.7%7.1%30.6%10.1%26.9%3.8%3.2%8.3M-138.9M-483.4K1.8310.59N/AN/A3,0525,595116,54855,249
2012-12-18$29.61$27.9024.6%7.1%27.0%10.0%26.6%3.8%3.4%7.8M-156.7M-510.8K0.2010.78N/AN/A8,1171,620117,06258,931
2012-12-19$29.03$27.9025.1%7.2%24.8%11.1%28.4%4.5%3.0%7.9M-122.9M-506.0K0.9011.11N/AN/A2,6632,407115,16659,574
2012-12-20$29.59$27.9024.5%7.0%24.3%9.7%25.1%4.1%3.2%7.7M-150.0M-494.0K0.1310.08N/AN/A9,6491,299115,93959,983
2012-12-21$29.36$27.9024.4%7.0%23.4%9.3%25.5%3.5%3.1%13.1M-144.2M-515.7K0.4911.65N/AN/A11,8905,810122,18260,712
2012-12-24$29.38$27.9024.3%7.0%23.1%9.2%25.7%4.0%3.4%7.3M-107.3M-536.7K4.184.98N/AN/A161672112,47250,612
2012-12-26$29.25$27.9025.0%7.2%23.2%10.9%26.6%4.0%3.2%7.2M-104.0M-524.6K2.5111.50N/AN/A2,2105,539112,06850,988
2012-12-27$29.07$28.6125.1%7.2%23.0%11.1%26.3%4.5%3.1%6.9M-89.5M-545.9K3.2613.68N/AN/A1,4644,774111,53855,214
2012-12-28$28.49$27.9027.8%8.0%24.3%17.6%28.1%4.6%2.5%6.1M-63.0M-558.3K1.819.75N/AN/A2,8785,199112,19857,479
2012-12-31$29.28$28.6126.7%7.6%25.9%14.8%26.9%4.8%2.1%7.1M-97.6M-580.2K0.519.23N/AN/A1,683856113,82260,893