COPX Options History — December 2011

In December 2011, COPX traded between $37.59 and $44.70. ATM implied volatility averaged 52.9%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 0.9% (HV 20d: 52.0%). Max pain ranged from $54.00 to $55.98. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.50.

Notable Days

2011-12-27: Highest Volume — 8 contracts
2011-12-22: Largest IV spike — 141.9% change
2011-12-14: Highest IV Rank — 64.4%
2011-12-02: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.25	$37.59	$44.70	$42.42	$38.52
Max Pain	$54.99	$54.00	$55.98	$54.00	$55.98
ATM IV	52.9%	19.3%	99.8%	63.0%	39.0%
Expected Move	13.1%	5.5%	18.6%	18.1%	11.2%
HV 20d	52.0%	45.2%	57.4%	54.3%	52.1%
HV 60d	62.7%	58.2%	66.3%	65.4%	59.0%
IV Rank	29.9%	5.2%	64.4%	37.4%	19.7%
IV Percentile	74.3%	4.2%	94.8%	91.0%	58.4%
Term Structure	2.6%	-15.7%	18.9%	-6.3%	-8.2%
Skew 25d	2.6%	-4.5%	8.1%	5.2%	-0.4%
Skew 10d	13.4%	-0.2%	37.7%	31.6%	13.3%
Call IV 25d	49.9%	32.0%	76.8%	73.5%	48.1%
Put IV 25d	52.4%	31.6%	78.7%	78.7%	47.7%
Bid-Ask Spread %	127.67	116.86	142.19	127.89	131.63
Gamma HHI	0.39	0.28	0.48	0.29	0.41
Net GEX	1.1K	789	1.6K	1.2K	989
Net DEX	-16.7K	-44.3K	8.9K	-7.6K	-11.3K
Net VEX	-145	-179	-122	-179	-122
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	0.00	10.00	0.00	0.00
Total Volume	0.762	0	8	0	0
Total OI	41.381	19	57	57	27

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
2011-12-01	$42.42	$54.00	63.0%	18.1%	54.3%	37.4%	0.0%	5.2%	-6.3%	1.2K	-7.6K	-179	0.00	127.89	N/A	N/A	0	0	45	12
2011-12-02	$42.03	$54.00	64.8%	18.6%	52.9%	38.7%	0.0%	0.7%	-3.4%	1.2K	-8.4K	-176	0.00	127.69	N/A	N/A	0	0	45	12
2011-12-05	$42.96	$0.00	75.6%	10.5%	53.6%	46.6%	0.0%	-2.7%	-3.5%	1.2K	-11.6K	-178	0.00	142.19	N/A	N/A	0	0	45	12
2011-12-06	$44.46	$0.00	55.6%	16.3%	55.2%	31.9%	0.0%	-2.9%	0.4%	1.2K	-10.6K	-142	0.00	136.74	N/A	N/A	0	0	43	12
2011-12-07	$44.70	$0.00	43.0%	14.0%	54.7%	22.6%	0.0%	-3.8%	6.8%	1.6K	-15.3K	-169	0.00	121.61	N/A	N/A	0	3	45	12
2011-12-08	$42.84	$0.00	56.1%	9.7%	50.1%	32.3%	0.0%	2.5%	1.9%	1.4K	-6.2K	-159	0.00	127.44	N/A	N/A	0	0	45	12
2011-12-09	$43.98	$0.00	52.5%	13.4%	50.9%	29.6%	0.0%	-1.8%	8.5%	1.3K	-13.1K	-163	0.00	124.26	N/A	N/A	1	0	45	12
2011-12-12	$42.12	$0.00	55.3%	14.0%	52.4%	31.7%	0.0%	6.3%	7.7%	1.6K	1.0K	-143	0.00	121.72	N/A	N/A	0	0	45	12
2011-12-13	$40.86	$0.00	85.6%	13.8%	53.1%	54.0%	0.0%	5.9%	9.5%	1.3K	2.7K	-141	0.00	123.83	N/A	N/A	0	0	45	12
2011-12-14	$39.63	$0.00	99.8%	14.4%	54.0%	64.4%	0.0%	7.0%	8.3%	1.1K	6.8K	-136	0.00	124.18	N/A	N/A	0	0	45	12
2011-12-15	$39.54	$0.00	48.8%	14.0%	53.0%	26.9%	0.0%	6.3%	7.9%	1.1K	8.3K	-130	0.00	124.69	N/A	N/A	0	0	45	12
2011-12-16	$40.02	$0.00	48.7%	14.0%	51.5%	26.9%	0.0%	6.0%	7.8%	789	8.9K	-130	0.00	126.47	N/A	N/A	2	0	45	12
2011-12-19	$39.21	$0.00	47.3%	13.5%	52.0%	25.8%	0.0%	5.6%	4.2%	860	-36.4K	-136	0.00	125.25	N/A	N/A	0	0	19	0
2011-12-20	$40.83	$0.00	41.9%	12.0%	50.7%	21.8%	0.0%	4.9%	9.2%	886	-40.9K	-139	0.00	116.86	N/A	N/A	0	0	19	0
2011-12-21	$41.10	$0.00	19.3%	5.5%	50.7%	5.2%	0.0%	-0.4%	18.9%	905	-41.4K	-140	0.00	130.20	N/A	N/A	0	0	19	0
2011-12-22	$41.61	$0.00	46.7%	13.4%	47.8%	25.4%	0.0%	6.2%	3.5%	913	-43.1K	-137	0.00	125.22	N/A	N/A	0	0	19	0
2011-12-23	$42.00	$0.00	46.0%	13.2%	47.8%	24.9%	0.0%	5.5%	4.6%	926	-44.3K	-137	0.00	123.74	N/A	N/A	0	0	19	0
2011-12-27	$41.52	$0.00	36.9%	10.6%	45.2%	18.2%	0.0%	-4.5%	-15.7%	929	-43.4K	-132	10.00	136.61	N/A	N/A	1	7	19	0
2011-12-28	$37.59	$0.00	38.8%	11.1%	57.4%	19.5%	0.0%	0.1%	4.3%	849	-34.5K	-123	0.00	131.62	N/A	N/A	0	0	19	0
2011-12-29	$38.37	$55.98	45.3%	13.0%	52.0%	24.4%	0.0%	8.1%	-12.1%	919	-10.6K	-127	0.00	131.34	N/A	N/A	2	0	20	7
2011-12-30	$38.52	$55.98	39.0%	11.2%	52.1%	19.7%	0.0%	-0.4%	-8.2%	989	-11.3K	-122	0.00	131.63	N/A	N/A	0	0	20	7