COPX Options History — August 2011 In August 2011, COPX traded between $44.07 and $57.90. ATM implied volatility averaged 47.1%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 14.0% (HV 20d: 61.1%). Max pain ranged from $51.00 to $60.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2011-08-18 : Highest Volume — 7 contracts2011-08-11 : Largest IV spike — 338.8% change2011-08-08 : Highest IV Rank — 100.0%2011-08-11 : Largest Expected Move — 42.3%Monthly Statistics Metric Avg Min Max Open Close Price $48.93 $44.07 $57.90 $57.90 $51.09 Max Pain $55.04 $51.00 $60.00 $60.00 $51.00 ATM IV 47.1% 25.3% 147.5% 34.0% 26.4% Expected Move 13.5% 0.8% 42.3% 9.8% 7.6% HV 20d 61.1% 27.1% 75.0% 27.1% 74.8% HV 60d 44.2% 29.6% 50.0% 29.6% 50.0% IV Rank 32.3% 9.7% 100.0% 36.9% 10.5% IV Percentile 72.3% 12.7% 100.0% 64.2% 17.6% Term Structure -10.4% -107.7% 13.1% -6.9% -3.3% VWIV 60.8% 60.8% 60.8% 60.8% 60.8% Skew 25d -40.1% -75.1% -5.0% -5.0% -75.1% Skew 10d 31.1% -10.0% 72.2% 72.2% -10.0% Call IV 25d 126.4% 101.5% 151.3% 151.3% 101.5% Put IV 25d 86.3% 26.4% 146.3% 146.3% 26.4% Bid-Ask Spread % 192.22 152.10 200.00 200.00 160.00 Gamma HHI 0.35 0.20 0.82 0.82 0.27 Net GEX 888 -3.1K 8.9K 8.9K 1.8K Net DEX 5.4K -72.0K 41.3K -72.0K 6.1K Net VEX -226 -775 -96 -463 -259 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.522 0 7 1 3 Total OI 61.174 42 126 55 58
Daily Data (23 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 2011-08-01 $57.90 $60.00 34.0% 9.8% 27.1% 36.9% 0.0% 0.0% -6.9% 8.9K -72.0K -463 0.00 200.00 N/A N/A 1 0 42 13 2011-08-02 $55.71 $60.00 44.2% 12.7% 30.2% 54.0% 0.0% 0.0% -10.7% 6.3K -45.9K -322 0.00 200.00 N/A N/A 0 0 43 11 2011-08-03 $54.66 $60.00 49.9% 14.3% 30.8% 63.6% 0.0% 0.0% -13.1% 3.3K -9.4K -207 0.00 200.00 N/A N/A 0 0 35 9 2011-08-04 $49.68 $57.00 37.9% 10.9% 43.9% 43.3% 0.0% 0.0% 13.1% -398 19.9K -96 0.00 200.00 N/A N/A 0 0 34 8 2011-08-05 $48.87 $60.00 42.1% 15.4% 43.9% 50.4% 0.0% 0.0% -35.1% -24 1.3K -143 0.00 200.00 N/A N/A 0 0 43 8 2011-08-08 $44.07 $54.00 135.8% 38.9% 54.3% 100.0% 0.0% -5.0% -56.1% 2.1K -40.4K -775 0.00 152.10 N/A N/A 0 0 92 34 2011-08-09 $47.37 $51.00 26.0% 0.8% 62.0% 11.2% 0.0% 0.0% 6.7% -1.0K 41.3K -217 0.00 200.00 N/A N/A 0 0 53 18 2011-08-10 $45.54 $51.00 33.6% 13.0% 60.8% 17.3% 0.0% 0.0% 2.9% -117 25.1K -131 0.00 200.00 N/A N/A 0 1 43 11 2011-08-11 $48.36 $57.00 147.5% 42.3% 66.0% 100.0% 0.0% 0.0% -107.7% 174 2.0K -142 0.00 200.00 N/A N/A 0 0 46 8 2011-08-12 $48.45 $60.00 60.1% 17.2% 65.6% 35.4% 0.0% 0.0% -20.4% -109 2.8K -134 0.00 200.00 N/A N/A 0 0 39 8 2011-08-15 $50.16 $51.00 38.0% 10.9% 67.4% 19.1% 0.0% 0.0% -3.3% -298 1.5K -163 0.00 200.00 N/A N/A 0 0 41 10 2011-08-16 $48.54 $51.00 37.6% 10.8% 66.9% 18.8% 0.0% 0.0% 2.4% -212 9.6K -156 0.00 200.00 N/A N/A 0 0 54 10 2011-08-17 $49.44 $54.00 34.5% 9.9% 67.0% 16.5% 0.0% 0.0% 2.9% 651 7.8K -195 0.00 200.00 N/A N/A 0 0 61 12 2011-08-18 $46.74 $51.00 46.2% 13.2% 68.9% 25.1% 60.8% 0.0% -0.1% -162 18.6K -134 0.00 200.00 N/A N/A 7 0 48 10 2011-08-19 $45.45 $57.00 42.5% 12.2% 68.9% 22.4% 0.0% 0.0% 7.8% -520 39.8K -152 0.00 200.00 N/A N/A 0 0 52 15 2011-08-22 $44.97 $57.00 40.5% 11.6% 68.8% 20.9% 0.0% 0.0% 12.0% 151 30.3K -124 0.00 200.00 N/A N/A 0 0 46 12 2011-08-23 $47.25 $54.00 40.6% 11.6% 72.2% 21.0% 0.0% 0.0% -8.9% 84 32.7K -225 0.00 200.00 N/A N/A 0 0 50 16 2011-08-24 $47.10 $57.00 40.1% 11.5% 72.1% 20.6% 0.0% 0.0% -5.1% -63 23.7K -218 0.00 188.32 N/A N/A 0 0 40 15 2011-08-25 $46.65 $57.00 45.0% 12.9% 71.9% 24.2% 0.0% 0.0% -6.4% 14 34.4K -146 0.00 196.80 N/A N/A 0 0 53 15 2011-08-26 $47.85 $51.00 28.0% 8.0% 73.1% 11.6% 0.0% 0.0% 3.2% -3.1K 32.0K -179 0.00 166.00 N/A N/A 0 0 39 24 2011-08-29 $49.71 $54.00 27.2% 7.8% 75.0% 11.1% 0.0% 0.0% -6.6% 2.2K -46.5K -311 0.00 176.50 N/A N/A 0 0 49 13 2011-08-30 $49.77 $51.00 25.3% 7.3% 74.2% 9.7% 0.0% -75.1% -7.1% 770 8.7K -314 0.00 181.46 N/A N/A 0 0 42 24 2011-08-31 $51.09 $51.00 26.4% 7.6% 74.8% 10.5% 0.0% 0.0% -3.3% 1.8K 6.1K -259 0.00 160.00 N/A N/A 3 0 42 16
« Jul 2011 | All History | Sep 2011 » Home COPX History August 2011