COPX Options History — September 2011 In September 2011, COPX traded between $34.71 and $50.34. ATM implied volatility averaged 76.2%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 22.7% (HV 20d: 53.4%). Max pain ranged from $48.00 to $51.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-09-29 : Highest Volume — 3 contracts2011-09-22 : Largest IV spike — 346.7% change2011-09-15 : Highest IV Rank — 100.0%2011-09-30 : Largest Expected Move — 33.1%Monthly Statistics Metric Avg Min Max Open Close Price $43.10 $34.71 $50.34 $50.34 $34.71 Max Pain $50.80 $48.00 $51.00 $51.00 $51.00 ATM IV 76.2% 13.6% 148.2% 27.3% 115.3% Expected Move 16.1% 3.9% 33.1% 7.8% 33.1% HV 20d 53.4% 41.2% 67.5% 66.7% 60.1% HV 60d 52.9% 49.9% 58.1% 49.9% 58.1% IV Rank 47.1% 1.0% 100.0% 11.1% 75.9% IV Percentile 78.0% 1.2% 100.0% 21.9% 97.8% Term Structure -20.8% -83.9% 14.1% -6.7% -83.9% VWIV 19.2% 19.2% 19.2% 19.2% 19.2% Skew 25d -29.3% -53.5% -6.8% -53.5% -6.8% Skew 10d -7.9% -27.2% 10.3% 10.3% -6.7% Call IV 25d 52.4% 14.9% 96.1% 96.1% 14.9% Put IV 25d 23.1% 8.2% 42.6% 42.6% 8.2% Bid-Ask Spread % 192.64 117.62 200.00 196.80 200.00 Gamma HHI 0.55 0.20 1.00 0.20 0.99 Net GEX -7 -636 2.2K 2.2K 1 Net DEX 21.8K -19.4K 37.1K -19.4K 11.6K Net VEX -67 -330 0 -330 0 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 0.19 0 3 0 0 Total OI 38.762 14 69 65 28
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 2011-09-01 $50.34 $51.00 27.3% 7.8% 66.7% 11.1% 0.0% -53.5% -6.7% 2.2K -19.4K -330 0.00 196.80 N/A N/A 0 0 49 16 2011-09-02 $48.75 $51.00 44.2% 12.7% 67.5% 23.6% 0.0% 0.0% -13.0% -636 27.4K -115 0.00 166.78 N/A N/A 0 0 43 11 2011-09-06 $47.67 $0.00 58.5% 10.1% 56.2% 34.2% 0.0% 0.0% -4.1% -464 33.6K -103 0.00 200.00 N/A N/A 0 0 43 11 2011-09-07 $49.53 $0.00 32.4% 11.3% 51.9% 15.0% 0.0% -27.7% 0.0% 27 18.6K -150 0.00 164.32 N/A N/A 0 0 57 10 2011-09-08 $48.72 $0.00 57.2% 9.9% 50.0% 33.3% 0.0% -6.8% 8.1% -627 29.1K -104 0.00 117.62 N/A N/A 0 0 43 11 2011-09-09 $46.83 $0.00 74.9% 10.6% 47.5% 46.3% 0.0% 0.0% 0.0% -244 34.3K -86 0.00 200.00 N/A N/A 0 0 57 12 2011-09-12 $45.57 $0.00 106.3% 12.4% 48.3% 69.5% 0.0% 0.0% 0.0% -285 37.1K -65 0.00 200.00 N/A N/A 0 0 43 10 2011-09-13 $46.20 $0.00 112.3% 12.1% 46.7% 74.0% 0.0% 0.0% -26.1% 476 19.2K -127 0.00 200.00 N/A N/A 0 0 49 10 2011-09-14 $45.87 $51.00 133.6% 0.0% 45.5% 89.7% 0.0% 0.0% 0.0% -291 36.6K -69 0.00 200.00 N/A N/A 1 0 43 10 2011-09-15 $46.92 $51.00 148.2% 4.6% 45.8% 100.0% 0.0% 0.0% 3.2% -302 34.4K -79 0.00 200.00 N/A N/A 0 0 42 10 2011-09-16 $46.89 $51.00 54.8% 0.0% 41.2% 31.3% 0.0% 0.0% 0.0% -304 34.6K -78 0.00 200.00 N/A N/A 0 0 42 10 2011-09-19 $44.25 $51.00 19.1% 5.5% 45.1% 5.1% 19.2% 0.0% 0.0% -35 24.2K -49 0.00 200.00 N/A N/A 0 0 11 7 2011-09-20 $43.05 $48.00 13.6% 3.9% 45.9% 1.0% 0.0% 0.0% 0.0% 243 12.9K -14 0.00 200.00 N/A N/A 0 0 11 3 2011-09-21 $40.20 $51.00 20.6% 5.9% 47.4% 6.2% 0.0% 0.0% 0.0% 40 13.2K -3 0.00 200.00 N/A N/A 0 0 11 3 2011-09-22 $36.15 $51.00 92.1% 26.4% 58.7% 58.7% 0.0% 0.0% 0.0% 4 12.0K 0 0.00 200.00 N/A N/A 0 0 11 3 2011-09-23 $36.21 $51.00 93.4% 26.8% 59.0% 59.7% 0.0% 0.0% 14.1% 193 24.0K -13 0.00 200.00 N/A N/A 0 0 17 7 2011-09-26 $36.39 $51.00 97.7% 28.0% 57.6% 62.9% 0.0% 0.0% 0.0% -207 36.6K -23 0.00 200.00 N/A N/A 0 0 17 11 2011-09-27 $38.43 $51.00 89.9% 25.8% 59.9% 57.1% 0.0% 0.0% -54.3% 13 12.7K -1 0.00 200.00 N/A N/A 0 0 11 3 2011-09-28 $36.30 $51.00 102.2% 29.3% 61.6% 66.2% 0.0% 0.0% 0.0% 4 12.1K 0 0.00 200.00 N/A N/A 0 0 11 3 2011-09-29 $36.03 $51.00 105.8% 30.3% 59.7% 68.8% 0.0% 0.0% -45.3% 3 12.0K 0 0.00 200.00 N/A N/A 3 0 11 3 2011-09-30 $34.71 $51.00 115.3% 33.1% 60.1% 75.9% 0.0% 0.0% -83.9% 1 11.6K 0 0.00 200.00 N/A N/A 0 0 25 3
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