COPX Options History — February 2012 In February 2012, COPX traded between $44.16 and $47.34. ATM implied volatility averaged 28.7%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.5% (HV 20d: 26.2%). Max pain ranged from $31.98 to $43.98. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-02-06 : Highest Volume — 7 contracts2012-02-02 : Largest IV spike — 28.0% change2012-02-06 : Highest IV Rank — 16.1%2012-02-06 : Largest Expected Move — 9.7%Monthly Statistics Metric Avg Min Max Open Close Price $45.63 $44.16 $47.34 $45.84 $45.51 Max Pain $35.43 $31.98 $43.98 $43.98 $31.98 ATM IV 28.7% 22.8% 34.1% 24.7% 24.3% Expected Move 8.1% 6.5% 9.7% 7.1% 7.0% HV 20d 26.2% 23.7% 28.4% 25.9% 23.9% HV 60d 42.9% 37.5% 46.7% 46.5% 37.6% IV Rank 12.1% 7.8% 16.1% 9.2% 8.9% IV Percentile 25.5% 7.9% 44.0% 9.5% 10.3% Term Structure 41.7% 2.0% 82.0% 13.7% 6.8% VWIV 18.8% 18.8% 18.8% 18.8% 18.8% Skew 25d 4.8% -1.4% 11.6% 6.7% 0.9% Skew 10d 5.9% 1.0% 8.6% 7.6% 1.0% Call IV 25d 24.3% 20.0% 29.1% 23.2% 25.9% Put IV 25d 29.1% 24.7% 36.0% 29.9% 26.8% Bid-Ask Spread % 107.43 65.60 122.81 118.12 109.87 Gamma HHI 0.45 0.29 0.56 0.29 0.55 Net GEX 1.7K 1.4K 2.2K 1.7K 2.0K Net DEX -40.9K -76.2K -28.4K -69.9K -32.9K Net VEX -67 -93 -49 -93 -49 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 0.6 0 7 0 0 Total OI 17.5 16 24 24 16
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-02-01 $45.84 $43.98 24.7% 7.1% 25.9% 9.2% 0.0% 6.7% 13.7% 1.7K -69.9K -93 0.00 118.12 N/A N/A 0 0 24 0 2012-02-02 $46.38 $43.98 31.6% 9.1% 25.9% 14.2% 0.0% 3.2% 2.0% 1.7K -72.5K -91 0.00 122.81 N/A N/A 3 0 24 0 2012-02-03 $47.34 $34.98 32.0% 6.8% 25.5% 14.6% 0.0% 8.9% 54.0% 1.7K -76.2K -85 0.00 109.45 N/A N/A 1 0 23 0 2012-02-06 $46.77 $34.98 34.1% 9.7% 25.7% 16.1% 0.0% 11.6% 35.5% 1.6K -70.7K -81 0.00 105.00 N/A N/A 7 0 23 0 2012-02-07 $45.84 $34.98 28.3% 7.0% 27.2% 11.8% 0.0% 10.1% 56.2% 1.5K -36.1K -77 0.00 105.62 N/A N/A 0 0 16 0 2012-02-08 $45.90 $34.98 28.5% 9.3% 25.7% 12.0% 0.0% 8.2% 40.4% 1.5K -36.5K -76 0.00 102.97 N/A N/A 0 0 16 0 2012-02-09 $46.41 $34.98 30.5% 8.8% 25.7% 13.5% 0.0% 9.9% 40.7% 1.6K -37.8K -74 0.00 106.20 N/A N/A 0 0 16 0 2012-02-10 $44.94 $34.98 32.6% 9.3% 27.9% 15.0% 0.0% 3.3% 38.8% 1.5K -31.9K -69 0.00 105.63 N/A N/A 0 0 16 0 2012-02-13 $45.27 $34.98 33.2% 9.5% 27.6% 15.4% 0.0% 3.5% 37.8% 1.6K -33.0K -67 0.00 106.63 N/A N/A 0 0 16 0 2012-02-14 $44.40 $34.98 31.3% 9.0% 28.4% 14.1% 0.0% 0.3% 43.1% 1.4K -29.3K -62 0.00 107.61 N/A N/A 0 0 16 0 2012-02-15 $44.16 $34.98 32.0% 9.2% 26.6% 14.6% 0.0% 4.6% 43.6% 1.4K -28.4K -59 0.00 109.83 N/A N/A 0 0 16 0 2012-02-16 $44.64 $34.98 33.4% 9.6% 26.6% 15.6% 18.8% 9.0% 40.8% 1.5K -30.4K -63 0.00 110.00 N/A N/A 1 0 16 0 2012-02-17 $44.64 $34.98 32.6% 9.4% 26.5% 15.0% 0.0% 5.3% 41.9% 1.5K -29.9K -58 0.00 110.15 N/A N/A 0 0 16 0 2012-02-21 $45.63 $34.98 28.0% 8.0% 27.5% 11.6% 0.0% -1.4% 75.1% 1.8K -33.5K -60 0.00 107.35 N/A N/A 0 0 16 0 2012-02-22 $45.51 $34.98 22.9% 6.6% 27.2% 7.9% 0.0% 1.7% 81.8% 1.9K -31.9K -55 0.00 110.42 N/A N/A 0 0 16 0 2012-02-23 $45.75 $34.98 22.8% 6.5% 25.3% 7.8% 0.0% 3.2% 82.0% 2.1K -32.8K -55 0.00 65.60 N/A N/A 0 0 16 0 2012-02-24 $46.14 $34.98 24.5% 7.0% 25.3% 9.0% 0.0% 2.1% 80.7% 2.0K -35.5K -58 0.00 115.72 N/A N/A 0 0 16 0 2012-02-27 $45.54 $31.98 24.0% 6.9% 25.8% 8.7% 0.0% 1.6% 8.4% 2.0K -33.1K -51 0.00 110.04 N/A N/A 0 0 16 0 2012-02-28 $46.05 $31.98 23.2% 6.7% 23.7% 8.1% 0.0% 2.9% 10.6% 2.2K -35.8K -52 0.00 109.56 N/A N/A 0 0 16 0 2012-02-29 $45.51 $31.98 24.3% 7.0% 23.9% 8.9% 0.0% 0.9% 6.8% 2.0K -32.9K -49 0.00 109.87 N/A N/A 0 0 16 0
« Jan 2012 | All History | Mar 2012 » Home COPX History February 2012