COPX Options History — March 2012

In March 2012, COPX traded between $40.50 and $45.84. ATM implied volatility averaged 30.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.8% (HV 20d: 28.9%). Max pain ranged from $31.98 to $45.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2012-03-07: Highest Volume — 4 contracts
2012-03-14: Largest IV spike — 28.4% change
2012-03-14: Highest IV Rank — 23.7%
2012-03-07: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.56	$40.50	$45.84	$45.84	$40.92
Max Pain	$41.55	$31.98	$45.00	$31.98	$42.00
ATM IV	30.7%	24.4%	44.4%	24.8%	24.4%
Expected Move	9.0%	7.0%	10.4%	7.1%	7.0%
HV 20d	28.9%	22.8%	31.9%	22.8%	31.7%
HV 60d	34.6%	27.7%	38.5%	37.6%	27.7%
IV Rank	13.6%	8.9%	23.7%	9.3%	8.9%
IV Percentile	35.5%	10.7%	71.4%	11.9%	10.7%
Term Structure	63.2%	2.6%	107.3%	6.8%	107.3%
Skew 25d	2.2%	-4.3%	10.9%	-1.5%	2.5%
Skew 10d	-0.4%	-16.0%	6.3%	3.1%	5.2%
Call IV 25d	26.4%	21.5%	32.4%	27.9%	25.2%
Put IV 25d	28.6%	25.5%	34.1%	26.4%	27.7%
Bid-Ask Spread %	109.32	100.77	116.73	106.46	114.20
Gamma HHI	0.51	0.31	0.70	0.59	0.70
Net GEX	467	-317	2.3K	2.3K	-317
Net DEX	-14.1K	-34.2K	-188	-34.2K	-648
Net VEX	-33	-49	-24	-48	-26
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	0.5	0	4	1	0
Total OI	11.818	5	20	16	5

Daily Data (22 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
2012-03-01	$45.84	$31.98	24.8%	7.1%	22.8%	9.3%	0.0%	-1.5%	6.8%	2.3K	-34.2K	-48	106.46	N/A	N/A	1	0	16	0
2012-03-02	$45.06	$31.98	25.3%	7.3%	23.1%	9.6%	0.0%	0.4%	3.5%	1.9K	-30.1K	-44	116.73	N/A	N/A	0	0	16	0
2012-03-05	$43.44	$0.00	25.8%	9.3%	24.8%	10.0%	0.0%	3.3%	53.0%	1.0K	-23.6K	-32	104.96	N/A	N/A	0	0	16	0
2012-03-06	$41.73	$0.00	28.3%	9.0%	27.8%	11.8%	0.0%	8.4%	55.2%	410	-20.0K	-26	106.52	N/A	N/A	0	0	16	0
2012-03-07	$42.18	$0.00	30.1%	10.4%	27.8%	13.2%	0.0%	10.9%	48.9%	518	-20.6K	-27	100.77	N/A	N/A	4	0	16	0
2012-03-08	$43.32	$45.00	27.0%	10.2%	29.8%	10.9%	0.0%	2.9%	51.4%	1.4K	-28.6K	-49	103.80	N/A	N/A	0	0	20	0
2012-03-09	$43.44	$45.00	29.3%	10.3%	29.5%	12.6%	0.0%	7.2%	51.1%	1.5K	-28.7K	-48	108.51	N/A	N/A	1	0	20	0
2012-03-12	$42.69	$45.00	34.7%	10.3%	28.0%	16.6%	0.0%	6.6%	55.6%	1.0K	-25.8K	-43	107.42	N/A	N/A	0	0	19	0
2012-03-13	$43.62	$45.00	34.6%	8.7%	29.1%	16.5%	0.0%	-1.8%	58.7%	1.5K	-28.2K	-44	105.55	N/A	N/A	3	0	19	0
2012-03-14	$42.60	$0.00	44.4%	9.8%	29.5%	23.7%	0.0%	-0.8%	58.6%	498	-20.6K	-24	110.17	N/A	N/A	0	2	16	0
2012-03-15	$42.78	$42.00	32.8%	9.4%	29.5%	15.1%	0.0%	-4.3%	59.9%	279	-18.0K	-33	109.21	N/A	N/A	0	0	16	2
2012-03-16	$42.99	$42.00	33.4%	9.6%	29.3%	15.6%	0.0%	-2.5%	58.9%	324	-18.4K	-32	107.97	N/A	N/A	0	0	16	2
2012-03-19	$43.38	$42.00	34.0%	9.7%	29.5%	16.0%	0.0%	-1.6%	2.6%	-63	-701	-26	109.33	N/A	N/A	0	0	3	2
2012-03-20	$42.36	$42.00	34.4%	9.8%	29.2%	16.3%	0.0%	1.4%	78.0%	-178	-2.3K	-30	109.51	N/A	N/A	0	0	3	2
2012-03-21	$42.18	$42.00	31.8%	9.1%	29.2%	14.4%	0.0%	3.0%	82.6%	-206	-2.1K	-30	110.40	N/A	N/A	0	0	3	2
2012-03-22	$41.04	$42.00	30.2%	8.7%	30.1%	13.2%	0.0%	0.5%	91.5%	-217	-1.0K	-28	111.38	N/A	N/A	0	0	3	2
2012-03-23	$41.58	$42.00	34.9%	10.0%	30.4%	16.7%	0.0%	2.8%	84.8%	-189	-1.7K	-29	112.94	N/A	N/A	0	0	3	2
2012-03-26	$42.06	$42.00	31.8%	9.1%	30.8%	14.4%	0.0%	5.0%	88.4%	-236	-2.1K	-29	110.57	N/A	N/A	0	0	3	2
2012-03-27	$41.97	$42.00	31.6%	9.1%	30.3%	14.3%	0.0%	2.8%	90.2%	-245	-1.9K	-28	109.68	N/A	N/A	0	0	3	2
2012-03-28	$40.62	$42.00	24.9%	7.1%	31.9%	9.3%	0.0%	2.5%	106.0%	-285	-340	-26	114.46	N/A	N/A	0	0	3	2
2012-03-29	$40.50	$42.00	26.3%	7.5%	31.5%	10.3%	0.0%	1.6%	97.1%	-286	-188	-26	114.46	N/A	N/A	0	0	3	2
2012-03-30	$40.92	$42.00	24.4%	7.0%	31.7%	8.9%	0.0%	2.5%	107.3%	-317	-648	-26	114.20	N/A	N/A	0	0	3	2