COPX Options History — July 2011

In July 2011, COPX traded between $56.34 and $59.94. ATM implied volatility averaged 22.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 9.4% (HV 20d: 32.0%). Max pain ranged from $48.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2011-07-21: Highest Volume — 17 contracts
2011-07-18: Largest IV spike — 114.8% change
2011-07-19: Highest IV Rank — 44.2%
2011-07-19: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.41	$56.34	$59.94	$57.66	$58.23
Max Pain	$55.00	$48.00	$60.00	$54.00	$60.00
ATM IV	22.6%	12.2%	39.6%	23.5%	30.3%
Expected Move	6.6%	3.5%	11.3%	6.7%	8.7%
HV 20d	32.0%	27.1%	35.8%	35.8%	27.1%
HV 60d	30.6%	29.8%	31.6%	30.2%	30.3%
IV Rank	15.9%	0.0%	44.2%	0.0%	30.6%
IV Percentile	18.8%	0.0%	88.3%	0.0%	41.2%
Term Structure	1.4%	-18.0%	11.2%	5.1%	-5.0%
VWIV	21.6%	12.2%	39.6%	16.2%	12.2%
Skew 25d	3.0%	-5.6%	11.5%	4.6%	5.7%
Skew 10d	4.6%	-0.4%	14.3%	2.9%	14.3%
Call IV 25d	22.7%	15.9%	27.5%	18.6%	26.1%
Put IV 25d	25.7%	17.8%	31.7%	23.2%	31.7%
Bid-Ask Spread %	127.52	-88.44	200.00	54.08	200.00
Gamma HHI	0.62	0.33	1.00	0.39	0.88
Net GEX	7.6K	0	14.9K	5.6K	9.4K
Net DEX	-110.2K	-210.5K	0	-118.8K	-85.5K
Net VEX	-492	-813	0	-660	-438
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	2.00	0.00	0.00
Total Volume	2.7	0	17	7	1
Total OI	62.1	0	114	78	52

Daily Data (20 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
2011-07-01	$57.66	$54.00	23.5%	6.7%	35.8%	0.0%	0.0%	4.6%	5.1%	5.6K	-118.8K	-660	0.00	54.08	N/A	N/A	7	0	49	29
2011-07-05	$58.14	$54.00	26.5%	8.3%	34.0%	0.0%	0.0%	11.5%	1.9%	6.8K	-132.9K	-655	1.00	77.54	N/A	N/A	1	1	52	29
2011-07-06	$57.69	$54.00	25.4%	8.5%	34.1%	0.0%	0.0%	4.0%	0.6%	6.6K	-128.1K	-639	0.00	73.66	N/A	N/A	4	0	53	28
2011-07-07	$58.92	$54.00	18.2%	7.4%	33.4%	0.0%	0.0%	3.3%	1.3%	9.1K	-168.5K	-640	0.00	77.86	N/A	N/A	3	0	55	28
2011-07-08	$58.65	$54.00	34.4%	7.5%	32.9%	0.0%	0.0%	-5.6%	4.1%	7.9K	-166.8K	-680	0.00	127.01	N/A	N/A	0	0	57	28
2011-07-11	$56.34	$0.00	14.8%	4.2%	34.4%	0.0%	0.0%	0.0%	0.0%	0	0	0	0.00	200.00	N/A	N/A	0	0	0	0
2011-07-12	$56.34	$57.00	16.2%	4.6%	34.4%	0.0%	16.2%	0.0%	0.0%	266	-6.0K	-128	0.00	200.00	N/A	N/A	1	0	5	3
2011-07-13	$58.29	$48.00	25.8%	8.5%	35.4%	0.0%	0.0%	0.9%	2.3%	10.1K	-157.9K	-812	0.00	25.57	N/A	N/A	0	0	72	42
2011-07-14	$57.51	$0.00	17.1%	4.9%	32.4%	0.0%	17.1%	0.0%	6.9%	5.6K	-40.5K	-215	0.00	200.00	N/A	N/A	4	0	28	1
2011-07-15	$58.26	$54.00	14.3%	4.1%	30.9%	0.0%	0.0%	0.0%	0.0%	7.1K	-69.1K	-376	2.00	200.00	N/A	N/A	0	1	39	4
2011-07-18	$57.39	$60.00	30.8%	8.8%	31.7%	28.8%	0.0%	0.0%	-5.7%	5.9K	-45.3K	-249	0.00	200.00	N/A	N/A	0	0	27	6
2011-07-19	$58.86	$60.00	39.6%	11.3%	32.4%	44.2%	39.6%	0.0%	-18.0%	6.5K	-89.6K	-460	0.07	140.00	N/A	N/A	5	0	37	9
2011-07-20	$59.82	$48.00	24.6%	7.0%	31.1%	17.9%	0.0%	-1.8%	6.3%	11.5K	-210.5K	-796	0.00	23.74	N/A	N/A	0	0	77	34
2011-07-21	$59.73	$48.00	22.8%	6.5%	30.8%	14.8%	0.0%	4.5%	7.6%	11.0K	-209.3K	-813	0.00	39.30	N/A	N/A	17	0	77	34
2011-07-22	$59.82	$60.00	20.7%	5.9%	30.4%	11.1%	0.0%	0.0%	-1.2%	7.5K	-92.7K	-308	0.00	200.00	N/A	N/A	0	0	31	6
2011-07-25	$59.58	$60.00	22.8%	6.5%	30.1%	14.8%	22.8%	0.0%	-2.1%	8.6K	-92.7K	-323	0.00	200.00	N/A	N/A	3	0	37	6
2011-07-26	$59.94	$60.00	12.2%	3.5%	30.0%	0.0%	12.2%	0.0%	7.7%	9.1K	-104.8K	-315	0.00	200.00	N/A	N/A	3	0	35	6
2011-07-27	$58.50	$57.00	12.3%	3.5%	30.8%	0.2%	0.0%	0.0%	11.2%	14.9K	-140.0K	-535	0.00	200.00	N/A	N/A	1	0	55	11
2011-07-28	$58.56	$48.00	19.8%	5.7%	28.2%	12.8%	0.0%	5.7%	0.3%	8.8K	-144.2K	-796	0.67	-88.44	N/A	N/A	1	1	69	31
2011-07-29	$58.23	$60.00	30.3%	8.7%	27.1%	30.6%	0.0%	0.0%	-5.0%	9.4K	-85.5K	-438	0.00	200.00	N/A	N/A	1	0	42	10