A Options History — February 2013

In February 2013, A traded between $29.31 and $32.40. ATM implied volatility averaged 25.1%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.6% (HV 20d: 21.4%). Max pain ranged from $30.04 to $32.19. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.36.

Notable Days

  • 2013-02-15: Highest Volume — 28,043 contracts
  • 2013-02-04: Largest IV spike — 24.8% change
  • 2013-02-04: Highest IV Rank — 30.9%
  • 2013-02-25: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.05$29.31$32.40$32.40$29.67
Max Pain$31.55$30.04$32.19$32.19$30.04
ATM IV25.1%19.6%32.8%26.3%23.4%
Expected Move6.8%5.6%7.6%6.7%6.7%
HV 20d21.4%16.6%26.4%17.5%26.4%
HV 60d24.2%23.8%25.1%24.5%24.1%
IV Rank12.7%0.0%30.9%15.3%8.9%
IV Percentile28.6%0.0%71.4%40.9%15.5%
Term Structure0.6%-1.2%3.5%1.6%0.3%
VWIV24.2%20.0%30.1%21.9%23.4%
Skew 25d4.3%3.1%4.9%4.1%3.7%
Skew 10d8.6%6.8%10.0%8.6%7.5%
Call IV 25d22.0%18.3%24.4%21.5%21.4%
Put IV 25d26.3%21.6%29.0%25.6%25.1%
Bid-Ask Spread %9.975.1915.579.829.72
Gamma HHI0.210.140.280.280.17
Net GEX1.8M-1.9M5.4M5.2M-1.9M
Net DEX-64.5M-156.2M41.3M-156.2M32.8M
Net VEX-474.4K-507.8K-428.8K-492.8K-480.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.186.490.241.28
Total Volume6,721.47450628,0437,3162,860
Total OI119,982.52682,787157,600129,574102,928

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$32.40$32.1926.3%6.7%17.5%15.3%21.9%4.1%1.6%5.2M-156.2M-492.8K0.249.82N/AN/A5,8941,42280,09649,478
2013-02-04$31.66$32.1932.8%7.4%18.9%30.9%25.5%4.9%0.5%5.4M-132.5M-496.8K0.187.98N/AN/A10,4891,83783,59950,522
2013-02-05$32.19$32.1931.4%7.1%19.3%27.4%26.8%4.7%0.7%5.2M-153.9M-493.8K1.268.32N/AN/A1,1061,39885,26851,525
2013-02-06$32.25$32.1931.6%7.1%18.8%28.1%23.8%4.5%1.2%5.1M-156.0M-492.1K0.558.20N/AN/A32618085,42952,478
2013-02-07$32.20$32.1924.8%7.1%16.8%11.8%24.8%4.8%1.0%4.6M-151.5M-477.7K2.199.05N/AN/A2,4655,39182,30352,554
2013-02-08$32.25$32.1925.0%7.2%16.6%12.2%24.2%4.9%0.8%4.5M-150.4M-507.8K0.467.66N/AN/A61528484,32757,192
2013-02-11$31.90$32.1925.6%7.3%17.0%13.7%30.1%4.9%0.2%5.3M-132.7M-506.8K6.497.16N/AN/A7514,87384,43457,315
2013-02-12$31.92$32.1924.6%7.1%17.0%11.4%26.7%4.6%0.8%4.4M-135.0M-498.6K1.866.75N/AN/A1,0952,04084,61360,979
2013-02-13$32.01$32.1924.3%7.0%16.8%10.6%24.4%4.4%1.0%4.3M-139.2M-494.3K1.087.10N/AN/A9301,00884,84962,430
2013-02-14$31.89$32.1926.1%7.5%16.7%14.8%26.5%4.8%-0.4%4.1M-132.0M-491.2K2.1315.57N/AN/A5,71112,15085,15862,772
2013-02-15$30.22$32.1920.5%5.9%24.8%1.6%20.2%3.1%3.5%-1.6M-27.7M-428.8K1.135.19N/AN/A13,14514,89887,40970,191
2013-02-19$30.77$30.7619.6%5.6%25.6%0.0%20.0%3.3%0.9%-1.2M13.8M-448.6K0.7414.36N/AN/A2,1011,54635,41747,370
2013-02-20$30.21$30.7621.9%6.3%25.8%5.4%21.5%3.6%0.0%-1.4M24.0M-445.6K1.0011.81N/AN/A1,5661,57036,94848,179
2013-02-21$29.78$30.7622.5%6.5%26.1%6.9%22.8%4.1%0.2%-1.6M32.5M-445.7K1.6212.38N/AN/A1,4202,29638,02448,683
2013-02-22$29.90$30.7622.0%6.3%25.9%5.6%21.8%4.2%0.6%-1.6M30.5M-449.8K0.6710.10N/AN/A1,6621,11339,02250,074
2013-02-25$29.54$30.7626.7%7.6%25.3%16.8%26.2%4.6%-1.2%-1.6M36.3M-446.4K1.5112.27N/AN/A1,5002,26340,22250,596
2013-02-26$29.31$30.7625.2%7.2%25.3%13.3%25.2%4.2%-0.4%-1.8M41.3M-449.5K0.5613.43N/AN/A5,9793,36141,43351,743
2013-02-27$29.85$30.7622.2%6.4%26.4%6.2%23.4%3.6%0.7%-1.8M30.6M-467.8K0.8512.47N/AN/A5,6594,80440,85853,250
2013-02-28$29.67$30.0423.4%6.7%26.4%8.9%23.4%3.7%0.3%-1.9M32.8M-480.3K1.289.72N/AN/A1,2541,60645,55457,374