MODL Options History — February 2012 In February 2012, MODL traded between $10.26 and $10.80. ATM implied volatility averaged 49.6%. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 19.0% (HV 20d: 30.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-02-17 : Highest Volume — 100 contracts2012-02-24 : Largest IV drop — 33.1% change2012-02-13 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $10.57 $10.26 $10.80 $10.74 $10.29 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 49.6% 36.5% 55.4% 46.2% 53.8% Expected Move 14.5% 10.5% 15.9% 13.3% 15.4% HV 20d 30.6% 27.7% 33.3% 27.7% 29.9% Term Structure 5.7% -0.1% 24.7% 18.8% -0.1% Skew 25d 9.6% -2.6% 20.7% 19.9% 7.4% Skew 10d 24.5% 3.2% 59.9% 59.9% 21.2% Call IV 25d 45.3% 38.0% 55.8% 38.0% 55.8% Put IV 25d 54.8% 42.9% 63.2% 57.9% 63.2% Bid-Ask Spread % 104.13 70.01 116.83 70.01 114.25 Gamma HHI 0.61 0.50 0.76 0.57 0.56 Net GEX 9.0K 3.8K 18.0K 9.5K 3.8K Net DEX -223.2K -330.6K -109.6K -275.3K -109.6K Net VEX -713 -820 -608 -820 -608 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 6.25 0 100 0 0 Total OI 423 312 502 477 312
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 $10.74 $10.00 46.2% 13.3% 0.0% 0.0% 0.0% 19.9% 18.8% 9.5K -275.3K -820 0.00 70.01 N/A N/A 0 0 477 0 2012-02-02 $10.70 $10.00 46.2% 13.3% 0.0% 0.0% 0.0% -1.8% 9.7% 11.8K -284.0K -803 0.00 110.32 N/A N/A 0 0 477 0 2012-02-03 $10.72 $0.00 46.1% 14.9% 0.0% 0.0% 0.0% 12.8% 3.8% 10.4K -293.1K -795 0.00 108.44 N/A N/A 0 0 477 0 2012-02-06 $10.41 $0.00 50.8% 15.2% 0.0% 0.0% 0.0% 6.8% 1.6% 10.9K -257.8K -767 0.00 99.52 N/A N/A 0 0 477 0 2012-02-07 $10.72 $0.00 54.3% 15.7% 0.0% 0.0% 0.0% 14.8% 0.7% 10.4K -283.9K -762 0.00 101.99 N/A N/A 0 0 477 0 2012-02-08 $10.74 $0.00 44.0% 15.2% 0.0% 0.0% 0.0% 12.3% 2.6% 10.0K -305.8K -734 0.00 103.28 N/A N/A 0 0 477 0 2012-02-09 $10.40 $0.00 51.4% 14.7% 0.0% 0.0% 0.0% 8.8% 2.5% 11.3K -249.4K -748 0.00 102.94 N/A N/A 0 0 477 0 2012-02-10 $10.36 $0.00 53.5% 15.3% 0.0% 0.0% 0.0% 12.5% 2.3% 14.8K -258.1K -727 0.00 101.81 N/A N/A 0 0 477 0 2012-02-13 $10.36 $0.00 55.4% 15.9% 0.0% 0.0% 0.0% 11.2% 0.8% 14.9K -252.0K -687 0.00 102.04 N/A N/A 0 0 477 0 2012-02-14 $10.27 $0.00 53.8% 15.4% 0.0% 0.0% 0.0% 10.2% 3.5% 17.8K -243.8K -669 0.00 101.95 N/A N/A 25 0 477 0 2012-02-15 $10.26 $0.00 54.5% 15.6% 27.7% 0.0% 0.0% 9.2% 1.8% 18.0K -251.4K -727 0.00 104.36 N/A N/A 0 0 502 0 2012-02-16 $10.75 $0.00 52.6% 15.1% 33.3% 0.0% 0.0% 13.2% 2.5% 7.8K -321.2K -700 0.00 105.90 N/A N/A 0 0 502 0 2012-02-17 $10.70 $0.00 48.4% 13.9% 32.3% 0.0% 0.0% 11.9% 11.6% 4.0K -330.6K -703 0.00 110.92 N/A N/A 100 0 502 0 2012-02-21 $10.60 $0.00 51.7% 14.8% 31.5% 0.0% 0.0% 10.3% 3.8% 4.1K -124.7K -670 0.00 98.01 N/A N/A 0 0 312 0 2012-02-22 $10.64 $0.00 47.2% 13.5% 30.7% 0.0% 0.0% -2.5% 3.6% 4.1K -123.8K -669 0.00 116.48 N/A N/A 0 0 312 0 2012-02-23 $10.80 $0.00 54.5% 15.6% 30.3% 0.0% 0.0% 14.7% 2.8% 4.2K -130.4K -689 0.00 84.30 N/A N/A 0 0 312 0 2012-02-24 $10.74 $0.00 36.5% 10.5% 30.1% 0.0% 0.0% 1.3% 24.7% 4.2K -128.5K -687 0.00 114.29 N/A N/A 0 0 312 0 2012-02-27 $10.60 $0.00 42.1% 12.1% 30.4% 0.0% 0.0% 20.7% 15.1% 4.0K -121.5K -647 0.00 114.98 N/A N/A 0 0 312 0 2012-02-28 $10.50 $0.00 48.5% 13.9% 29.6% 0.0% 0.0% -2.6% 1.0% 4.0K -118.7K -641 0.00 116.83 N/A N/A 0 0 312 0 2012-02-29 $10.29 $0.00 53.8% 15.4% 29.9% 0.0% 0.0% 7.4% -0.1% 3.8K -109.6K -608 0.00 114.25 N/A N/A 0 0 312 0
« Jan 2012 | All History | Mar 2012 » Home MODL History February 2012