COPX Options History — May 2012 In May 2012, COPX traded between $32.61 and $41.28. ATM implied volatility averaged 71.1%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 41.6% (HV 20d: 29.5%). Max pain ranged from $43.98 to $49.98. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 13 of 22 days.
Notable Days 2012-05-23 : Largest IV spike — 845.9% change2012-05-30 : Highest IV Rank — 92.6%2012-05-29 : Largest Expected Move — 44.6%Monthly Statistics Metric Avg Min Max Open Close Price $35.39 $32.61 $41.28 $41.28 $32.61 Max Pain $44.31 $43.98 $49.98 $43.98 $43.98 ATM IV 71.1% 15.8% 166.3% 27.2% 162.8% Expected Move 10.9% 4.1% 44.6% 7.8% 44.6% HV 20d 29.5% 26.0% 31.7% 29.6% 31.6% HV 60d 29.5% 28.1% 31.2% 28.1% 30.2% IV Rank 35.4% 2.2% 92.6% 9.0% 90.5% IV Percentile 55.2% 2.4% 99.2% 19.0% 98.0% Term Structure 4.4% -53.6% 129.9% 2.4% -27.4% Skew 25d 4.2% -37.6% 32.6% -37.6% -15.6% Skew 10d 0.8% -74.0% 32.7% -74.0% 3.4% Call IV 25d 67.2% 22.0% 186.0% 69.5% 142.0% Put IV 25d 71.3% 25.3% 189.7% 31.9% 126.4% Bid-Ask Spread % 141.19 111.85 180.70 122.15 179.12 Gamma HHI 0.72 0.50 1.00 0.50 1.00 Net GEX 32 0 176 176 0 Net DEX -195 -1.3K 0 -1.3K 0 Net VEX -1 -7 0 -7 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 2.818 0 3 3 3
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2012-05-01 $41.28 $0.00 27.2% 7.8% 29.6% 9.0% 0.0% -37.6% 2.4% 176 -1.3K -7 0.00 122.15 N/A N/A 0 0 3 0 2012-05-02 $40.68 $0.00 23.1% 6.6% 29.5% 6.5% 0.0% 2.7% 4.0% 151 -965 -6 0.00 116.33 N/A N/A 0 0 3 0 2012-05-03 $39.81 $0.00 25.7% 7.4% 28.6% 8.1% 0.0% 4.3% 1.1% 114 -673 -4 0.00 115.57 N/A N/A 0 0 3 0 2012-05-04 $38.52 $43.98 26.1% 7.4% 30.6% 8.4% 0.0% 4.6% 8.0% 64 -343 -2 0.00 117.78 N/A N/A 0 0 3 0 2012-05-07 $38.19 $43.98 26.2% 7.7% 30.2% 8.4% 0.0% 9.4% 5.9% 63 -361 -2 0.00 111.85 N/A N/A 0 0 3 0 2012-05-08 $37.08 $43.98 34.5% 6.5% 31.5% 13.4% 0.0% 3.3% 12.8% 19 -70 -1 0.00 117.24 N/A N/A 0 0 3 0 2012-05-09 $36.51 $43.98 29.4% 4.1% 31.4% 10.3% 0.0% 2.0% 11.2% 4 -11 0 0.00 123.46 N/A N/A 0 0 3 0 2012-05-10 $36.60 $43.98 23.8% 6.8% 26.4% 7.0% 0.0% 2.4% 10.7% 14 -48 0 0.00 117.26 N/A N/A 0 0 3 0 2012-05-11 $36.18 $43.98 25.5% 7.3% 26.0% 8.0% 0.0% 1.5% 8.6% 11 -38 0 0.00 120.17 N/A N/A 0 0 3 0 2012-05-14 $34.74 $43.98 37.5% 10.7% 28.8% 15.2% 0.0% 11.0% 9.8% 29 -187 -1 0.00 124.14 N/A N/A 0 0 3 0 2012-05-15 $33.39 $43.98 44.2% 12.7% 29.3% 19.2% 0.0% 10.4% -1.0% 15 -89 -1 0.00 127.98 N/A N/A 0 0 3 0 2012-05-16 $33.48 $43.98 51.9% 14.9% 29.4% 23.9% 0.0% 21.6% -4.2% 23 -159 -1 0.00 135.40 N/A N/A 0 0 3 0 2012-05-17 $33.00 $43.98 43.1% 12.4% 29.4% 18.6% 0.0% 8.7% 0.4% 6 -27 0 0.00 128.75 N/A N/A 0 0 3 0 2012-05-18 $32.76 $43.98 45.1% 12.9% 28.6% 19.8% 0.0% 10.8% 4.0% 9 -44 0 0.00 127.37 N/A N/A 0 0 3 0 2012-05-21 $33.75 $43.98 145.9% 0.0% 30.8% 80.4% 0.0% 32.6% -53.6% 0 0 0 0.00 173.08 N/A N/A 0 0 3 0 2012-05-22 $33.42 $43.98 15.8% 4.5% 30.5% 2.2% 0.0% 3.9% 129.9% 0 0 0 0.00 168.73 N/A N/A 0 0 3 0 2012-05-23 $33.36 $49.98 149.4% 0.0% 28.6% 82.5% 0.0% 7.3% 0.0% 0 0 0 0.00 161.49 N/A N/A 0 0 2 0 2012-05-24 $33.27 $43.98 151.0% 0.0% 28.0% 83.4% 0.0% 23.2% -43.5% 0 0 0 0.00 179.64 N/A N/A 0 0 3 0 2012-05-25 $32.91 $43.98 153.3% 0.0% 26.5% 84.8% 0.0% -6.1% 0.0% 0 0 0 0.00 178.96 N/A N/A 0 0 3 0 2012-05-29 $34.11 $0.00 155.6% 44.6% 31.4% 86.2% 0.0% 3.7% -27.4% 0 0 0 0.00 180.70 N/A N/A 0 0 0 0 2012-05-30 $33.00 $43.98 166.3% 0.0% 31.7% 92.6% 0.0% -12.8% 0.0% 0 0 0 0.00 178.93 N/A N/A 0 0 3 0 2012-05-31 $32.61 $43.98 162.8% 0.0% 31.6% 90.5% 0.0% -15.6% 0.0% 0 0 0 0.00 179.12 N/A N/A 0 0 3 0
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