COPX Options History — June 2011

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

In June 2011, COPX traded between $51.27 and $57.30. ATM implied volatility averaged 30.1%. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 0.3% (HV 20d: 30.4%). Max pain ranged from $54.00 to $60.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.49.

Notable Days

2011-06-23: Highest Volume — 13 contracts
2011-06-15: Largest IV spike — 91.9% change
2011-06-08: Largest Expected Move — 31.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.96	$51.27	$57.30	$56.40	$57.30
Max Pain	$55.77	$54.00	$60.00	$57.00	$54.00
ATM IV	30.1%	17.9%	36.1%	30.3%	25.0%
Expected Move	10.6%	5.1%	31.7%	8.7%	7.2%
HV 20d	30.4%	25.8%	35.9%	29.4%	35.9%
HV 60d	29.3%	28.1%	30.2%	30.0%	30.2%
Term Structure	2.9%	-75.1%	92.8%	2.5%	2.4%
VWIV	27.7%	20.7%	34.3%	28.9%	20.7%
Skew 25d	5.3%	0.7%	16.6%	6.8%	2.0%
Skew 10d	7.6%	1.2%	29.7%	5.9%	6.9%
Call IV 25d	37.2%	20.2%	148.4%	23.7%	20.2%
Put IV 25d	42.5%	22.2%	165.0%	30.5%	22.2%
Bid-Ask Spread %	110.82	30.00	200.00	102.89	55.26
Gamma HHI	0.31	0.22	0.38	0.37	0.33
Net GEX	-2.5K	-8.0K	4.7K	-4.5K	4.7K
Net DEX	39.5K	-106.1K	199.0K	-15.5K	-106.1K
Net VEX	-729	-986	-523	-977	-652
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	0.00	22.00	0.36	22.00
Total Volume	3.545	0	13	5	7
Total OI	124.909	74	153	150	80

Daily Data (22 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
2011-06-01	$56.40	$57.00	30.3%	8.7%	29.4%	0.0%	28.9%	6.8%	2.5%	-4.5K	-15.5K	-977	0.36	102.89	N/A	N/A	4	1	78	72
2011-06-02	$56.49	$57.00	31.3%	9.0%	28.7%	0.0%	0.0%	1.3%	92.8%	-4.7K	-25.0K	-986	0.29	108.12	N/A	N/A	2	1	78	73
2011-06-03	$56.04	$57.00	28.8%	8.8%	26.4%	0.0%	0.0%	2.9%	3.6%	-5.7K	3.2K	-953	0.00	92.19	N/A	N/A	0	0	79	72
2011-06-06	$54.45	$57.00	34.0%	30.6%	28.1%	0.0%	0.0%	15.8%	-68.7%	-6.9K	60.3K	-866	0.00	180.17	N/A	N/A	0	0	79	72
2011-06-07	$54.99	$57.00	31.4%	8.6%	27.0%	0.0%	0.0%	9.2%	5.9%	-7.4K	50.4K	-857	0.00	94.85	N/A	N/A	8	0	79	72
2011-06-08	$53.76	$57.00	32.5%	31.7%	27.9%	0.0%	0.0%	16.6%	-75.1%	-6.7K	84.8K	-839	0.00	179.82	N/A	N/A	0	0	81	72
2011-06-09	$54.90	$57.00	31.0%	8.9%	25.8%	0.0%	0.0%	10.4%	1.7%	-8.0K	58.5K	-816	0.50	95.13	N/A	N/A	1	0	81	72
2011-06-10	$53.25	$57.00	34.3%	9.8%	27.9%	0.0%	0.0%	2.6%	2.0%	-5.5K	110.6K	-746	0.18	94.95	N/A	N/A	4	1	80	72
2011-06-13	$53.22	$57.00	33.3%	9.6%	27.9%	0.0%	0.0%	3.4%	0.4%	-3.6K	142.5K	-547	0.00	85.77	N/A	N/A	0	2	70	70
2011-06-14	$54.51	$60.00	17.9%	5.1%	29.4%	0.0%	0.0%	4.6%	15.0%	-7.0K	120.4K	-559	0.30	200.00	N/A	N/A	3	1	69	71
2011-06-15	$52.44	$60.00	34.3%	9.8%	32.2%	0.0%	34.3%	2.1%	10.4%	-4.2K	164.3K	-571	0.00	120.00	N/A	N/A	0	4	72	72
2011-06-16	$51.27	$54.00	36.1%	10.4%	30.4%	0.0%	0.0%	3.9%	7.6%	-5.4K	199.0K	-554	0.00	113.72	N/A	N/A	0	3	72	74
2011-06-17	$51.93	$54.00	31.1%	8.9%	31.1%	0.0%	0.0%	5.4%	8.3%	-5.2K	177.9K	-523	3.33	112.19	N/A	N/A	1	3	72	73
2011-06-20	$51.90	$54.00	30.8%	8.8%	31.1%	0.0%	0.0%	3.0%	6.6%	2.5K	-21.7K	-604	0.00	30.00	N/A	N/A	0	0	58	27
2011-06-21	$53.64	$54.00	31.4%	9.0%	32.8%	0.0%	0.0%	6.3%	0.0%	3.0K	-42.5K	-629	6.00	46.15	N/A	N/A	2	10	55	27
2011-06-22	$53.25	$54.00	29.5%	8.5%	32.8%	0.0%	29.5%	4.0%	7.0%	2.3K	-20.7K	-780	0.00	37.04	N/A	N/A	0	1	60	37
2011-06-23	$52.74	$54.00	30.0%	8.6%	32.1%	0.0%	28.3%	2.1%	6.9%	1.9K	-8.1K	-749	1.24	148.39	N/A	N/A	6	7	61	37
2011-06-24	$52.26	$54.00	28.9%	8.3%	32.1%	0.0%	0.0%	3.3%	10.3%	388	18.0K	-748	0.00	145.10	N/A	N/A	2	0	60	44
2011-06-27	$52.41	$54.00	30.0%	8.6%	31.7%	0.0%	30.0%	0.7%	7.3%	673	11.0K	-731	0.00	118.75	N/A	N/A	0	1	61	44
2011-06-28	$53.91	$54.00	28.8%	8.3%	33.1%	0.0%	0.0%	6.4%	8.9%	2.0K	-18.7K	-710	0.00	136.84	N/A	N/A	0	0	61	35
2011-06-29	$55.98	$54.00	22.6%	6.5%	34.9%	0.0%	22.6%	4.4%	6.0%	3.1K	-72.8K	-644	0.60	140.74	N/A	N/A	2	1	47	27
2011-06-30	$57.30	$54.00	25.0%	7.2%	35.9%	0.0%	20.7%	2.0%	2.4%	4.7K	-106.1K	-652	22.00	55.26	N/A	N/A	0	7	49	31