COPX Options History — January 2012

In January 2012, COPX traded between $39.75 and $45.66. ATM implied volatility averaged 33.3%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 13.5% (HV 20d: 46.8%). Max pain ranged from $43.98 to $55.98. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2012-01-26: Highest Volume — 4 contracts
2012-01-31: Largest IV spike — 169.5% change
2012-01-12: Highest IV Rank — 22.3%
2012-01-12: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.78	$39.75	$45.66	$40.53	$44.88
Max Pain	$48.48	$43.98	$55.98	$55.98	$43.98
ATM IV	33.3%	12.9%	42.6%	30.2%	34.8%
Expected Move	10.0%	3.7%	12.2%	8.7%	10.0%
HV 20d	46.8%	27.1%	55.7%	55.7%	30.0%
HV 60d	54.3%	46.7%	58.6%	58.6%	46.7%
IV Rank	15.5%	0.5%	22.3%	13.2%	16.6%
IV Percentile	40.5%	0.8%	68.9%	26.2%	48.4%
Term Structure	5.1%	-4.1%	27.0%	-4.1%	1.6%
VWIV	23.0%	23.0%	23.0%	23.0%	23.0%
Skew 25d	9.2%	-4.8%	18.1%	-4.8%	8.6%
Skew 10d	11.1%	5.1%	48.9%	6.5%	15.7%
Call IV 25d	28.1%	20.1%	36.7%	36.7%	26.4%
Put IV 25d	37.3%	22.6%	45.0%	31.9%	35.0%
Bid-Ask Spread %	109.69	101.46	124.20	115.84	113.11
Gamma HHI	0.33	0.27	0.39	0.34	0.29
Net GEX	1.3K	1.1K	1.7K	1.1K	1.6K
Net DEX	-35.9K	-68.9K	-13.5K	-16.0K	-65.2K
Net VEX	-100	-116	-82	-115	-89
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	0.55	0	4	0	0
Total OI	25.65	21	28	27	24

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$40.53	$55.98	30.2%	8.7%	55.7%	13.2%	0.0%	-4.8%	-4.1%	1.1K	-16.0K	-115	115.84	N/A	N/A	0	0	20	7
2012-01-04	$40.83	$55.98	34.9%	10.0%	55.1%	16.7%	0.0%	3.7%	5.7%	1.1K	-16.5K	-116	112.98	N/A	N/A	0	0	20	7
2012-01-05	$40.35	$55.98	34.6%	9.9%	53.4%	16.5%	0.0%	2.0%	8.1%	1.1K	-15.1K	-116	114.61	N/A	N/A	0	0	20	7
2012-01-06	$39.96	$0.00	30.2%	11.0%	53.3%	13.3%	0.0%	12.3%	3.4%	1.1K	-13.8K	-112	102.97	N/A	N/A	0	0	20	7
2012-01-09	$39.75	$0.00	29.6%	10.9%	51.5%	12.8%	0.0%	12.7%	3.7%	1.2K	-13.5K	-110	103.50	N/A	N/A	0	0	20	7
2012-01-10	$41.01	$0.00	35.6%	11.7%	51.9%	17.2%	0.0%	12.3%	1.9%	1.2K	-17.6K	-106	101.46	N/A	N/A	0	1	20	7
2012-01-11	$41.01	$0.00	32.0%	11.8%	49.7%	14.6%	0.0%	10.8%	0.8%	1.2K	-17.2K	-107	103.38	N/A	N/A	0	1	20	8
2012-01-12	$42.09	$0.00	42.6%	12.2%	49.4%	22.3%	0.0%	14.7%	1.6%	1.2K	-21.4K	-103	102.86	N/A	N/A	0	0	20	7
2012-01-13	$41.73	$0.00	40.9%	11.7%	48.1%	21.1%	0.0%	12.3%	2.1%	1.2K	-20.4K	-99	104.70	N/A	N/A	1	0	20	7
2012-01-17	$42.45	$0.00	42.2%	12.1%	48.3%	22.0%	0.0%	10.9%	1.8%	1.3K	-27.0K	-101	104.68	N/A	N/A	0	0	21	7
2012-01-18	$43.71	$0.00	40.3%	11.6%	49.1%	20.7%	0.0%	15.8%	2.4%	1.1K	-30.6K	-96	104.80	N/A	N/A	0	0	21	7
2012-01-19	$44.19	$0.00	37.8%	10.8%	48.3%	18.9%	0.0%	18.1%	7.0%	1.1K	-32.2K	-97	105.44	N/A	N/A	1	0	21	7
2012-01-20	$44.01	$0.00	39.4%	11.3%	46.6%	20.0%	0.0%	16.5%	4.0%	1.1K	-31.2K	-100	106.56	N/A	N/A	0	0	21	7
2012-01-23	$44.40	$0.00	36.4%	10.4%	46.6%	17.8%	0.0%	7.4%	-1.3%	1.2K	-59.9K	-83	106.85	N/A	N/A	0	0	21	0
2012-01-24	$43.95	$0.00	29.3%	8.4%	46.8%	12.6%	23.0%	4.2%	12.3%	1.2K	-57.9K	-85	115.25	N/A	N/A	1	0	21	0
2012-01-25	$45.24	$43.98	23.4%	6.7%	47.6%	8.3%	0.0%	16.7%	11.8%	1.4K	-65.3K	-82	111.34	N/A	N/A	2	0	21	0
2012-01-26	$45.57	$43.98	31.1%	8.9%	47.3%	13.9%	0.0%	4.9%	3.1%	1.4K	-66.2K	-88	119.76	N/A	N/A	4	0	22	0
2012-01-27	$45.66	$43.98	27.8%	8.0%	27.1%	11.5%	0.0%	3.3%	9.6%	1.6K	-68.9K	-98	124.20	N/A	N/A	0	0	24	0
2012-01-30	$44.37	$43.98	12.9%	3.7%	30.0%	0.5%	0.0%	2.5%	27.0%	1.7K	-62.6K	-96	119.47	N/A	N/A	0	0	24	0
2012-01-31	$44.88	$43.98	34.8%	10.0%	30.0%	16.6%	0.0%	8.6%	1.6%	1.6K	-65.2K	-89	113.11	N/A	N/A	0	0	24	0