COPX Options History — February 2011

Name: COPX Options Analytics - February 2011
Creator: Options Analysis Suite

In February 2011, COPX traded between $55.26 and $61.62. ATM implied volatility averaged 36.0%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 5.8% (HV 20d: 30.2%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.12.

Notable Days

2011-02-08: Highest Volume — 334 contracts
2011-02-03: Largest IV drop — 35.7% change
2011-02-23: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.30	$55.26	$61.62	$59.79	$58.50
Max Pain	$57.16	$54.00	$60.00	$60.00	$57.00
ATM IV	36.0%	24.0%	45.6%	34.3%	35.8%
Expected Move	10.5%	6.9%	13.1%	9.8%	10.3%
HV 20d	30.2%	27.2%	33.1%	31.3%	32.5%
Term Structure	4.5%	-0.9%	22.5%	7.8%	2.3%
VWIV	34.7%	24.1%	44.3%	24.1%	33.5%
Skew 25d	1.4%	-9.8%	8.4%	-7.8%	7.4%
Skew 10d	5.2%	-2.5%	23.2%	6.0%	6.8%
Call IV 25d	33.2%	27.0%	41.8%	32.2%	28.4%
Put IV 25d	34.7%	24.4%	46.8%	24.4%	35.9%
Bid-Ask Spread %	110.04	93.23	131.30	106.19	112.03
Gamma HHI	0.73	0.33	0.92	0.44	0.92
Net GEX	57.4K	3.4K	119.0K	3.4K	119.0K
Net DEX	-709.8K	-1.3M	-117.8K	-117.8K	-940.7K
Net VEX	-2.6K	-3.8K	-788	-788	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.00	10.00	2.33	0.07
Total Volume	24.474	0	334	17	5
Total OI	340.474	60	497	60	497

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$59.79	$60.00	34.3%	9.8%	0.0%	0.0%	24.1%	-7.8%	7.8%	3.4K	-117.8K	-788	2.33	106.19	N/A	N/A	5	12	48	12
2011-02-02	$60.51	$60.00	37.4%	10.7%	0.0%	0.0%	0.0%	4.0%	8.3%	3.8K	-138.4K	-985	0.20	116.69	N/A	N/A	2	0	53	22
2011-02-03	$61.08	$60.00	24.0%	6.9%	0.0%	0.0%	0.0%	4.2%	22.5%	4.4K	-156.3K	-975	2.20	129.53	N/A	N/A	2	4	55	23
2011-02-04	$61.23	$54.00	32.5%	10.6%	31.3%	0.0%	32.6%	2.8%	0.2%	3.9K	-154.0K	-1.0K	0.16	131.30	N/A	N/A	10	2	56	26
2011-02-07	$61.62	$54.00	35.1%	9.8%	30.3%	0.0%	39.7%	1.6%	3.1%	6.1K	-186.1K	-1.2K	1.00	93.23	N/A	N/A	4	4	66	28
2011-02-08	$61.50	$57.00	33.2%	10.6%	29.4%	0.0%	35.1%	6.3%	3.1%	6.1K	-188.2K	-1.2K	0.00	99.61	N/A	N/A	334	0	70	32
2011-02-09	$59.97	$57.00	37.3%	11.7%	30.1%	0.0%	0.0%	-8.6%	-0.9%	69.1K	-1.2M	-3.8K	1.67	101.93	N/A	N/A	2	3	403	32
2011-02-10	$59.40	$57.00	40.4%	11.6%	29.5%	0.0%	38.6%	1.9%	-0.9%	72.2K	-1.1M	-3.7K	0.12	113.18	N/A	N/A	6	1	404	35
2011-02-11	$59.85	$57.00	36.5%	10.5%	28.8%	0.0%	0.0%	8.4%	0.7%	81.6K	-1.2M	-3.7K	0.00	115.86	N/A	N/A	0	0	405	36
2011-02-14	$60.75	$57.00	36.5%	10.5%	29.3%	0.0%	34.1%	-3.1%	2.4%	82.3K	-1.3M	-3.6K	0.14	100.06	N/A	N/A	2	0	405	36
2011-02-15	$59.88	$57.00	32.1%	9.2%	29.2%	0.0%	35.4%	2.5%	11.6%	87.7K	-1.1M	-3.5K	10.00	103.97	N/A	N/A	0	3	406	36
2011-02-16	$60.48	$57.00	34.7%	9.9%	28.5%	0.0%	0.0%	-9.8%	7.2%	89.2K	-1.2M	-3.6K	0.00	103.35	N/A	N/A	0	0	405	39
2011-02-17	$59.61	$57.00	32.1%	9.2%	28.1%	0.0%	31.8%	-4.2%	8.6%	94.0K	-1.1M	-3.5K	0.63	104.91	N/A	N/A	5	3	405	39
2011-02-18	$58.68	$57.00	33.0%	9.5%	27.2%	0.0%	33.2%	3.0%	6.7%	88.6K	-932.4K	-3.5K	0.00	110.61	N/A	N/A	17	0	411	42
2011-02-22	$55.86	$57.00	41.7%	12.0%	32.4%	0.0%	32.0%	1.0%	0.1%	65.3K	-560.4K	-2.9K	0.17	106.23	N/A	N/A	24	4	426	41
2011-02-23	$55.26	$57.00	45.6%	13.1%	32.2%	0.0%	0.0%	5.8%	0.6%	62.0K	-564.1K	-2.9K	0.00	105.32	N/A	N/A	0	0	449	42
2011-02-24	$55.53	$57.00	41.4%	11.9%	31.2%	0.0%	44.3%	7.5%	1.5%	67.0K	-519.2K	-2.8K	0.00	114.05	N/A	N/A	5	0	448	42
2011-02-25	$57.15	$57.00	40.2%	11.5%	33.1%	0.0%	36.3%	4.0%	0.3%	85.2K	-787.2K	-3.1K	0.38	122.78	N/A	N/A	4	2	452	42
2011-02-28	$58.50	$57.00	35.8%	10.3%	32.5%	0.0%	33.5%	7.4%	2.3%	119.0K	-940.7K	-3.1K	0.07	112.03	N/A	N/A	5	0	455	42