COPX Options History — November 2011

In November 2011, COPX traded between $36.75 and $45.84. ATM implied volatility averaged 57.8%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 6.7% (HV 20d: 64.5%). Max pain ranged from $45.00 to $54.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 3.00.

Notable Days

2011-11-01: Highest Volume — 5 contracts
2011-11-28: Largest IV spike — 94.7% change
2011-11-29: Highest IV Rank — 75.7%
2011-11-29: Largest Expected Move — 33.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.64	$36.75	$45.84	$42.06	$42.42
Max Pain	$52.57	$45.00	$54.00	$48.00	$54.00
ATM IV	57.8%	41.9%	115.1%	67.5%	57.2%
Expected Move	16.0%	12.0%	33.0%	19.3%	16.4%
HV 20d	64.5%	51.8%	71.0%	70.6%	56.1%
HV 60d	64.0%	63.0%	66.1%	66.1%	65.9%
IV Rank	33.6%	21.8%	75.7%	40.6%	33.1%
IV Percentile	85.6%	72.7%	97.3%	92.1%	88.3%
Term Structure	-3.7%	-58.1%	11.1%	-25.2%	-4.8%
Skew 25d	5.4%	-8.7%	28.4%	3.3%	8.4%
Skew 10d	8.6%	-7.0%	28.0%	13.4%	28.0%
Call IV 25d	63.9%	47.5%	101.4%	65.1%	73.1%
Put IV 25d	69.3%	50.7%	117.7%	68.4%	81.5%
Bid-Ask Spread %	137.28	128.87	200.00	129.18	128.87
Gamma HHI	0.30	0.22	0.97	0.25	0.32
Net GEX	1.1K	747	1.4K	747	1.2K
Net DEX	-9.0K	-28.8K	10.6K	9.2K	-6.7K
Net VEX	-211	-269	-87	-220	-179
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.00	0.00	6.00	6.00	0.00
Total Volume	0.381	0	5	5	0
Total OI	55.619	19	59	59	57

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
2011-11-01	$42.06	$48.00	67.5%	19.3%	70.6%	40.6%	0.0%	3.3%	-25.2%	747	9.2K	-220	6.00	129.18	N/A	N/A	1	4	43	16
2011-11-02	$43.71	$45.00	50.7%	14.5%	69.4%	28.3%	0.0%	2.7%	-4.7%	1.2K	-15.3K	-239	0.00	133.08	N/A	N/A	0	0	44	12
2011-11-03	$45.15	$45.00	46.3%	13.3%	67.2%	25.1%	0.0%	8.5%	4.7%	1.3K	-20.3K	-239	0.00	135.17	N/A	N/A	0	0	44	12
2011-11-04	$44.94	$54.00	46.2%	12.4%	67.1%	25.0%	0.0%	4.5%	8.6%	1.3K	-19.4K	-242	0.00	134.80	N/A	N/A	2	0	44	12
2011-11-07	$44.94	$54.00	50.5%	12.1%	65.9%	28.2%	0.0%	5.7%	8.0%	1.4K	-21.9K	-251	0.00	135.07	N/A	N/A	0	0	46	12
2011-11-08	$45.84	$54.00	51.0%	12.5%	66.0%	28.5%	0.0%	-1.4%	10.1%	1.4K	-28.8K	-269	0.00	131.33	N/A	N/A	0	0	46	12
2011-11-09	$42.57	$54.00	63.0%	12.1%	71.0%	37.4%	0.0%	0.1%	9.3%	1.2K	-10.4K	-227	0.00	133.15	N/A	N/A	0	0	46	12
2011-11-10	$42.60	$54.00	43.3%	12.4%	70.7%	22.9%	0.0%	7.0%	10.1%	1.2K	-11.8K	-236	0.00	134.62	N/A	N/A	0	0	46	12
2011-11-11	$43.74	$54.00	45.8%	13.1%	70.3%	24.7%	0.0%	8.9%	8.1%	1.3K	-17.6K	-248	0.00	133.08	N/A	N/A	0	0	46	12
2011-11-14	$43.02	$54.00	46.3%	13.3%	67.7%	25.1%	0.0%	6.7%	6.1%	1.2K	-13.3K	-231	0.00	132.61	N/A	N/A	0	0	46	12
2011-11-15	$43.11	$54.00	46.2%	13.2%	66.9%	25.0%	0.0%	8.6%	9.4%	1.2K	-12.2K	-226	0.00	130.62	N/A	N/A	0	0	46	12
2011-11-16	$41.76	$54.00	43.2%	12.4%	65.8%	22.8%	0.0%	1.3%	11.1%	1.1K	-6.0K	-206	0.00	133.04	N/A	N/A	0	0	46	12
2011-11-17	$40.17	$54.00	52.9%	15.2%	67.3%	30.0%	0.0%	-2.7%	4.0%	1.0K	52	-196	0.00	135.11	N/A	N/A	0	0	46	12
2011-11-18	$39.93	$54.00	54.9%	15.7%	65.6%	31.4%	0.0%	1.4%	-0.5%	1.0K	124	-197	0.00	130.11	N/A	N/A	0	0	46	12
2011-11-21	$38.04	$54.00	41.9%	12.0%	62.6%	21.8%	0.0%	-8.7%	0.5%	935	10.6K	-160	0.00	139.04	N/A	N/A	0	1	45	12
2011-11-22	$38.34	$54.00	61.5%	17.6%	61.9%	36.2%	0.0%	-3.5%	0.0%	945	3.2K	-177	0.00	132.21	N/A	N/A	0	0	45	12
2011-11-23	$36.75	$54.00	64.6%	18.5%	61.7%	38.5%	0.0%	13.0%	-18.2%	890	7.0K	-165	0.00	140.82	N/A	N/A	0	0	45	12
2011-11-25	$36.87	$48.00	56.5%	16.2%	51.8%	32.6%	0.0%	0.0%	0.0%	946	-9.0K	-87	0.00	200.00	N/A	N/A	0	0	15	4
2011-11-28	$38.79	$54.00	109.9%	31.5%	56.0%	71.9%	0.0%	16.3%	-52.9%	1.1K	-9.4K	-204	0.00	137.57	N/A	N/A	0	0	45	12
2011-11-29	$39.66	$54.00	115.1%	33.0%	53.4%	75.7%	0.0%	28.4%	-58.1%	1.2K	-16.8K	-224	0.00	143.42	N/A	N/A	0	0	45	12
2011-11-30	$42.42	$54.00	57.2%	16.4%	56.1%	33.1%	0.0%	8.4%	-4.8%	1.2K	-6.7K	-179	0.00	128.87	N/A	N/A	0	0	45	12