COPX Options History — October 2011

In October 2011, COPX traded between $32.52 and $47.25. ATM implied volatility averaged 52.3%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 18.1% (HV 20d: 70.5%). Max pain ranged from $36.00 to $51.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.02.

Notable Days

2011-10-31: Highest Volume — 9 contracts
2011-10-07: Largest IV spike — 69.3% change
2011-10-03: Highest IV Rank — 92.1%
2011-10-03: Largest Expected Move — 39.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.17	$32.52	$47.25	$32.52	$44.37
Max Pain	$43.91	$36.00	$51.00	$51.00	$45.00
ATM IV	52.3%	31.0%	137.5%	137.5%	41.4%
Expected Move	15.5%	8.9%	39.4%	39.4%	11.9%
HV 20d	70.5%	62.2%	76.9%	62.2%	66.8%
HV 60d	64.4%	59.2%	70.1%	59.2%	68.5%
IV Rank	29.5%	13.8%	92.1%	92.1%	21.5%
IV Percentile	81.0%	39.1%	98.9%	98.9%	76.6%
Term Structure	-12.1%	-99.9%	14.4%	-99.9%	2.7%
VWIV	34.2%	21.6%	46.7%	21.6%	46.7%
Skew 25d	3.6%	-5.4%	23.8%	-2.6%	-5.0%
Skew 10d	4.1%	-9.4%	20.4%	0.3%	0.9%
Call IV 25d	55.3%	38.8%	62.5%	62.5%	60.4%
Put IV 25d	59.0%	52.9%	66.5%	60.0%	55.3%
Bid-Ask Spread %	144.45	120.35	200.00	200.00	144.68
Gamma HHI	0.34	0.16	0.99	0.99	0.23
Net GEX	935	-50	1.4K	-50	1.2K
Net DEX	-3.7K	-39.2K	13.1K	1.9K	-19.9K
Net VEX	-189	-311	-1	-1	-245
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.02	0.00	0.20	0.00	0.00
Total Volume	1.333	0	9	0	9
Total OI	52.381	11	65	11	55

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
2011-10-03	$32.52	$51.00	137.5%	39.4%	62.2%	92.1%	0.0%	0.0%	0.0%	-50	1.9K	-1	0.00	200.00	N/A	N/A	0	0	10	1
2011-10-04	$33.72	$51.00	50.3%	14.4%	65.3%	28.0%	0.0%	0.0%	-99.9%	222	-4.4K	-29	0.00	200.00	N/A	N/A	7	0	28	0
2011-10-05	$35.64	$51.00	44.8%	12.8%	67.5%	23.9%	0.0%	0.0%	-1.7%	943	-4.2K	-95	0.00	200.00	N/A	N/A	0	0	20	4
2011-10-06	$37.92	$51.00	31.0%	8.9%	73.0%	13.8%	0.0%	0.0%	14.4%	779	-24.0K	-96	0.00	200.00	N/A	N/A	0	0	20	0
2011-10-07	$37.59	$36.00	52.5%	14.1%	72.3%	29.7%	0.0%	-2.6%	-10.2%	541	13.1K	-176	0.00	133.28	N/A	N/A	0	0	48	13
2011-10-10	$39.27	$36.00	58.1%	19.5%	74.5%	33.8%	0.0%	5.7%	-10.2%	818	8.4K	-206	0.20	120.35	N/A	N/A	2	0	49	13
2011-10-11	$39.45	$39.00	55.1%	20.0%	74.3%	31.6%	0.0%	1.3%	-25.6%	1.0K	7.0K	-199	0.00	122.39	N/A	N/A	0	0	50	13
2011-10-12	$40.98	$39.00	45.9%	17.8%	76.0%	24.8%	0.0%	17.8%	-19.0%	1.2K	-2.3K	-233	0.00	125.11	N/A	N/A	0	0	50	13
2011-10-13	$40.35	$39.00	59.5%	17.1%	75.4%	34.8%	0.0%	1.5%	-2.9%	1.0K	3.1K	-212	0.00	129.55	N/A	N/A	2	0	51	13
2011-10-14	$41.73	$0.00	48.2%	13.8%	76.7%	26.4%	0.0%	5.2%	-5.5%	1.0K	505	-230	0.00	129.16	N/A	N/A	0	0	49	13
2011-10-17	$39.60	$0.00	55.2%	15.8%	76.3%	31.6%	0.0%	-2.8%	-17.1%	839	8.3K	-194	0.00	125.15	N/A	N/A	0	0	49	13
2011-10-18	$40.86	$0.00	46.7%	13.4%	76.9%	25.3%	0.0%	9.0%	-5.1%	977	1.7K	-221	0.00	129.08	N/A	N/A	0	0	49	13
2011-10-19	$39.03	$0.00	56.3%	16.1%	74.7%	32.4%	0.0%	-4.6%	-8.8%	875	9.4K	-194	0.00	122.47	N/A	N/A	0	0	49	13
2011-10-20	$38.55	$0.00	55.6%	15.9%	63.9%	31.9%	0.0%	-5.4%	-7.1%	762	10.9K	-181	0.00	124.85	N/A	N/A	2	0	49	13
2011-10-21	$40.23	$0.00	50.3%	14.4%	65.4%	28.1%	0.0%	23.8%	-4.7%	976	4.7K	-210	0.00	128.35	N/A	N/A	0	0	52	13
2011-10-24	$43.02	$0.00	53.8%	15.4%	69.0%	30.6%	0.0%	9.6%	-12.6%	1.3K	-7.3K	-221	0.00	135.20	N/A	N/A	0	0	44	12
2011-10-25	$41.64	$0.00	36.9%	10.6%	68.2%	18.2%	0.0%	-1.9%	-7.2%	1.2K	-3.3K	-216	0.00	138.39	N/A	N/A	4	0	44	12
2011-10-26	$43.05	$0.00	51.2%	14.7%	64.9%	28.7%	0.0%	2.9%	-8.7%	1.2K	-10.0K	-219	0.00	135.96	N/A	N/A	1	0	41	12
2011-10-27	$46.77	$0.00	34.4%	9.9%	69.7%	16.3%	21.6%	0.7%	-6.4%	1.3K	-33.1K	-280	0.00	140.57	N/A	N/A	1	0	42	12
2011-10-28	$47.25	$45.00	34.4%	9.9%	67.1%	16.3%	0.0%	6.7%	-6.8%	1.4K	-39.2K	-311	0.00	149.01	N/A	N/A	0	0	43	12
2011-10-31	$44.37	$45.00	41.4%	11.9%	66.8%	21.5%	46.7%	-5.0%	2.7%	1.2K	-19.9K	-245	0.00	144.68	N/A	N/A	0	9	43	12