COPX Options History — March 2011

In March 2011, COPX traded between $51.87 and $59.28. ATM implied volatility averaged 34.4%. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 1.2% (HV 20d: 33.3%). Max pain ranged from $45.00 to $57.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.43.

Notable Days

  • 2011-03-04: Highest Volume — 333 contracts
  • 2011-03-24: Largest IV spike — 21.6% change
  • 2011-03-16: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.07$51.87$59.28$57.90$58.20
Max Pain$50.48$45.00$57.00$57.00$51.00
ATM IV34.4%25.9%41.9%39.2%25.9%
Expected Move10.0%7.4%12.0%11.2%7.4%
HV 20d33.3%28.4%38.0%32.6%33.5%
HV 60d32.0%31.2%32.7%32.2%31.2%
Term Structure2.4%-2.3%8.1%0.8%4.5%
VWIV33.8%27.4%40.2%39.8%27.4%
Skew 25d9.3%-0.9%26.8%6.4%-0.9%
Skew 10d7.1%-2.1%25.1%3.1%2.7%
Call IV 25d29.9%20.6%41.7%29.5%25.1%
Put IV 25d39.2%24.3%52.0%36.0%24.3%
Bid-Ask Spread %103.8179.71122.95111.2579.71
Gamma HHI0.420.190.920.910.41
Net GEX25.7K667132.0K106.6K9.8K
Net DEX-202.2K-1.1M42.6K-807.3K-127.8K
Net VEX-1.5K-3.0K-1.0K-2.9K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.003.000.000.00
Total Volume22.7830333135
Total OI209.565108496496157

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$57.90$57.0039.2%11.2%32.6%0.0%39.8%6.4%0.8%106.6K-807.3K-2.9K0.00111.25N/AN/A13045442
2011-03-02$58.20$57.0035.9%10.3%28.4%0.0%34.8%7.1%4.2%116.5K-854.5K-2.9K0.00107.83N/AN/A7045042
2011-03-03$59.28$57.0033.0%9.5%28.9%0.0%35.0%8.9%-0.5%132.0K-1.1M-3.0K0.00107.95N/AN/A20045042
2011-03-04$58.77$45.0032.6%10.4%28.7%0.0%0.0%10.0%1.7%131.5K-926.2K-2.7K0.0083.75N/AN/A333044442
2011-03-07$57.21$45.0037.1%11.5%30.0%0.0%0.0%5.3%0.8%17.1K-141.3K-1.2K0.00102.45N/AN/A6011742
2011-03-08$56.79$45.0034.0%10.3%29.8%0.0%0.0%12.0%2.4%14.5K-102.7K-1.1K0.5090.19N/AN/A1011442
2011-03-09$55.44$45.0038.4%11.5%30.6%0.0%0.0%6.0%0.1%10.4K-56.2K-1.1K3.0085.19N/AN/A31011542
2011-03-10$53.04$45.0040.0%11.5%32.9%0.0%40.2%9.1%-0.4%3.2K31.3K-1.0K0.3686.73N/AN/A20711552
2011-03-11$54.06$51.0037.7%10.8%34.1%0.0%0.0%9.5%2.8%3.4K2.5K-1.1K0.0093.39N/AN/A2010954
2011-03-14$53.64$51.0039.4%11.3%33.8%0.0%0.0%9.3%1.0%1.4K25.1K-1.1K0.0091.45N/AN/A0010954
2011-03-15$52.92$51.0040.4%11.6%33.0%0.0%0.0%4.6%1.4%1.6K34.4K-1.1K0.04121.85N/AN/A9010954
2011-03-16$51.87$51.0041.9%12.0%33.2%0.0%0.0%3.1%4.6%66742.6K-1.1K0.00121.17N/AN/A0411154
2011-03-17$54.15$51.0035.7%10.2%37.3%0.0%0.0%18.3%1.8%1.8K6.0K-1.2K0.00122.95N/AN/A4011158
2011-03-18$54.96$51.0038.1%10.9%37.8%0.0%0.0%3.7%-0.2%1.7K-19.9K-1.2K0.00112.14N/AN/A0711158
2011-03-21$55.68$51.0030.9%8.9%38.0%0.0%33.4%7.1%4.9%1.7K-48.6K-1.1K0.48110.80N/AN/A846048
2011-03-22$55.08$51.0034.7%9.9%34.0%0.0%0.0%11.2%1.0%2.5K-44.2K-1.2K0.1596.79N/AN/A416852
2011-03-23$56.97$51.0028.8%8.3%35.9%0.0%31.9%3.5%5.2%4.5K-100.0K-1.3K1.10111.70N/AN/A347251
2011-03-24$57.54$51.0035.1%10.1%36.0%0.0%36.7%26.8%-2.3%5.0K-124.0K-1.3K0.00100.52N/AN/A807651
2011-03-25$56.85$51.0030.2%8.7%34.8%0.0%31.0%9.4%2.6%5.4K-113.1K-1.3K1.32114.58N/AN/A13177651
2011-03-28$56.61$51.0028.1%8.1%33.7%0.0%0.0%15.6%5.5%5.7K-60.9K-1.5K0.50118.77N/AN/A108668
2011-03-29$56.76$51.0027.3%7.8%33.6%0.0%0.0%9.9%8.1%6.2K-68.3K-1.5K0.0095.05N/AN/A108668
2011-03-30$57.63$51.0027.7%7.9%34.0%0.0%27.7%17.0%4.4%8.0K-86.9K-1.5K1.23121.34N/AN/A458568
2011-03-31$58.20$51.0025.9%7.4%33.5%0.0%27.4%-0.9%4.5%9.8K-127.8K-1.5K0.0079.71N/AN/A508968