COPX Options History — May 2011

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

In May 2011, COPX traded between $54.99 and $60.66. ATM implied volatility averaged 31.5%. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.7% (HV 20d: 28.7%). Max pain ranged from $51.00 to $57.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2011-05-12: Highest Volume — 9 contracts
2011-05-12: Largest IV spike — 14.6% change
2011-05-12: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.72	$54.99	$60.66	$60.66	$58.02
Max Pain	$56.71	$51.00	$57.00	$57.00	$51.00
ATM IV	31.5%	27.2%	36.5%	29.0%	28.4%
Expected Move	9.1%	7.8%	10.5%	8.3%	8.2%
HV 20d	28.7%	26.5%	30.8%	27.9%	29.3%
HV 60d	30.7%	29.7%	31.9%	29.7%	29.9%
Term Structure	1.9%	-1.7%	4.4%	1.0%	1.5%
VWIV	28.9%	22.7%	37.8%	37.8%	24.1%
Skew 25d	7.2%	-3.8%	16.0%	13.4%	2.2%
Skew 10d	4.8%	-0.4%	19.0%	8.9%	-0.4%
Call IV 25d	24.5%	19.4%	30.7%	20.2%	23.4%
Put IV 25d	31.7%	20.9%	38.1%	33.6%	25.6%
Bid-Ask Spread %	89.11	60.32	103.82	98.67	103.02
Gamma HHI	0.30	0.25	0.37	0.30	0.37
Net GEX	-103	-4.5K	8.8K	5.7K	8.8K
Net DEX	-25.5K	-185.0K	42.0K	-185.0K	-139.1K
Net VEX	-1.1K	-1.3K	-814	-1.2K	-814
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.00	4.00	4.00	0.00
Total Volume	2.381	0	9	1	6
Total OI	148.333	112	159	147	112

Daily Data (21 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
2011-05-02	$60.66	$57.00	29.0%	8.3%	27.9%	0.0%	0.0%	13.4%	1.0%	5.7K	-185.0K	-1.2K	4.00	98.67	N/A	N/A	0	1	79	68
2011-05-03	$59.01	$57.00	31.2%	8.9%	26.7%	0.0%	0.0%	5.4%	-1.6%	4.7K	-113.5K	-1.3K	0.00	60.32	N/A	N/A	0	0	79	68
2011-05-04	$57.84	$57.00	31.7%	9.1%	26.5%	0.0%	0.0%	-2.4%	1.8%	3.5K	-72.4K	-1.2K	0.00	70.23	N/A	N/A	0	0	79	68
2011-05-05	$56.01	$57.00	33.0%	9.5%	28.1%	0.0%	0.0%	7.8%	1.2%	1.1K	-9.6K	-1.2K	0.00	72.24	N/A	N/A	0	0	79	68
2011-05-06	$56.52	$57.00	31.5%	9.5%	28.6%	0.0%	37.8%	-1.4%	3.5%	1.5K	-24.1K	-1.2K	0.00	87.49	N/A	N/A	1	0	79	68
2011-05-09	$57.78	$57.00	30.7%	9.2%	30.0%	0.0%	32.3%	11.7%	3.2%	3.2K	-71.6K	-1.2K	3.00	92.82	N/A	N/A	2	5	79	68
2011-05-10	$57.72	$57.00	28.9%	8.8%	29.8%	0.0%	0.0%	14.1%	4.4%	3.3K	-68.1K	-1.2K	0.00	91.19	N/A	N/A	1	0	79	70
2011-05-11	$55.50	$57.00	31.8%	8.9%	30.8%	0.0%	29.9%	4.1%	4.1%	-1.3K	20.3K	-1.1K	1.50	97.53	N/A	N/A	1	1	80	70
2011-05-12	$55.32	$57.00	36.5%	10.5%	30.6%	0.0%	33.0%	5.9%	0.2%	-1.4K	30.7K	-1.1K	0.59	87.84	N/A	N/A	6	3	80	71
2011-05-13	$55.02	$57.00	34.7%	9.9%	30.7%	0.0%	0.0%	11.3%	1.8%	-2.0K	39.2K	-1.1K	2.00	88.61	N/A	N/A	0	1	84	74
2011-05-16	$54.99	$57.00	34.4%	9.9%	30.6%	0.0%	0.0%	10.5%	2.3%	-2.8K	40.5K	-1.1K	0.00	80.95	N/A	N/A	0	0	84	75
2011-05-17	$55.29	$57.00	34.7%	10.0%	28.7%	0.0%	0.0%	13.4%	3.2%	-3.5K	42.0K	-1.1K	0.00	87.34	N/A	N/A	0	0	84	75
2011-05-18	$57.00	$57.00	33.3%	9.6%	29.8%	0.0%	0.0%	6.2%	1.9%	-842	-24.6K	-1.1K	0.00	85.99	N/A	N/A	0	0	84	75
2011-05-19	$56.64	$57.00	33.4%	9.6%	27.7%	0.0%	0.0%	4.1%	2.1%	-830	-14.2K	-1.1K	0.00	93.93	N/A	N/A	0	0	84	75
2011-05-20	$56.64	$57.00	31.0%	8.9%	26.8%	0.0%	0.0%	5.7%	2.0%	-2.2K	-10.1K	-1.1K	0.00	92.72	N/A	N/A	0	1	84	75
2011-05-23	$55.29	$57.00	32.8%	9.4%	27.4%	0.0%	22.7%	5.0%	-1.7%	-4.0K	35.1K	-993	0.00	103.82	N/A	N/A	4	0	71	72
2011-05-24	$55.59	$57.00	28.8%	8.3%	27.6%	0.0%	28.6%	6.5%	2.6%	-4.1K	28.8K	-986	0.00	96.68	N/A	N/A	2	0	71	72
2011-05-25	$56.55	$57.00	27.2%	7.8%	28.6%	0.0%	27.4%	14.3%	3.6%	-4.5K	3.7K	-955	0.00	90.39	N/A	N/A	1	0	70	72
2011-05-26	$56.52	$57.00	29.3%	8.4%	28.6%	0.0%	0.0%	16.0%	1.3%	-3.7K	1.1K	-972	0.00	92.40	N/A	N/A	9	0	70	72
2011-05-27	$57.18	$57.00	28.8%	8.3%	28.7%	0.0%	24.6%	-3.8%	1.4%	-2.6K	-44.7K	-1.0K	0.63	97.23	N/A	N/A	3	2	76	72
2011-05-31	$58.02	$51.00	28.4%	8.2%	29.3%	0.0%	24.1%	2.2%	1.5%	8.8K	-139.1K	-814	0.00	103.02	N/A	N/A	6	0	73	39