MODL Options History — May 2012

In May 2012, MODL traded between $11.88 and $12.98. ATM implied volatility averaged 46.7%. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 14.0% (HV 20d: 32.7%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2012-05-09: Highest Volume — 159 contracts
  • 2012-05-04: Largest IV drop — 17.9% change
  • 2012-05-03: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.47$11.88$12.98$12.56$12.57
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV46.7%40.1%51.1%50.6%42.1%
Expected Move13.7%12.1%14.6%14.5%12.1%
HV 20d32.7%27.2%37.2%27.2%34.8%
HV 60d35.4%33.7%36.5%35.0%34.4%
Term Structure-2.5%-5.2%3.0%-4.4%3.0%
VWIV51.1%51.1%51.1%51.1%51.1%
Skew 25d4.6%-2.5%12.7%-2.5%2.3%
Skew 10d12.2%1.2%52.4%2.8%8.5%
Call IV 25d41.2%31.5%50.6%41.7%36.0%
Put IV 25d45.7%37.2%56.3%39.2%38.2%
Bid-Ask Spread %104.5598.96109.40105.21104.60
Gamma HHI0.420.390.450.450.43
Net GEX10.2K7.9K12.5K12.5K11.3K
Net DEX-521.1K-722.4K-364.7K-684.0K-470.1K
Net VEX-1.6K-2.0K-1.2K-1.9K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.360.000.00
Total Volume17.3640159180
Total OI855.727779989976783

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$12.56$12.5050.6%14.5%27.2%0.0%0.0%-2.5%-4.4%12.5K-684.0K-1.9K0.00105.21N/AN/A180849127
2012-05-02$12.51$12.5045.2%13.0%27.5%0.0%0.0%10.7%1.8%12.5K-630.3K-1.9K0.00106.42N/AN/A00831127
2012-05-03$12.27$12.5051.1%14.6%28.5%0.0%51.1%-0.2%-2.6%12.0K-583.4K-2.0K0.00103.02N/AN/A015831127
2012-05-04$12.22$12.5041.9%13.3%28.7%0.0%0.0%-0.8%-1.7%11.6K-561.3K-2.0K0.00100.00N/AN/A00831142
2012-05-07$12.10$12.5040.6%13.4%29.2%0.0%0.0%8.0%-1.9%11.6K-551.8K-1.9K0.00101.75N/AN/A00831142
2012-05-08$12.18$12.5041.9%13.4%29.0%0.0%0.0%-1.1%-1.9%12.1K-552.4K-1.9K0.36102.63N/AN/A4416831142
2012-05-09$12.97$12.5040.1%13.7%32.9%0.0%0.0%12.7%-4.0%10.9K-722.4K-1.8K0.00102.81N/AN/A1590831158
2012-05-10$12.74$12.5045.8%13.1%33.4%0.0%0.0%6.2%-0.8%11.3K-688.4K-1.8K0.00105.69N/AN/A1000822158
2012-05-11$12.61$12.5046.8%13.4%33.8%0.0%0.0%4.3%-2.1%8.2K-482.6K-1.5K0.00105.57N/AN/A00645158
2012-05-14$12.31$12.5047.6%13.7%34.1%0.0%0.0%3.4%-3.3%8.1K-436.1K-1.5K0.0098.96N/AN/A00645158
2012-05-15$12.35$12.5051.0%14.6%33.4%0.0%0.0%4.3%-5.2%7.9K-441.3K-1.5K0.00101.36N/AN/A00645158
2012-05-16$12.12$12.5050.7%14.5%34.1%0.0%0.0%6.4%-4.3%7.9K-417.7K-1.5K0.0099.74N/AN/A00645158
2012-05-17$11.88$12.5049.1%14.1%34.9%0.0%0.0%-0.7%-4.0%8.2K-364.7K-1.5K0.00105.33N/AN/A260645158
2012-05-18$12.11$12.5047.1%13.5%35.6%0.0%0.0%3.4%-3.0%8.3K-393.0K-1.4K0.00103.67N/AN/A00637158
2012-05-21$12.52$12.5047.7%13.7%37.2%0.0%0.0%5.9%-2.4%9.8K-462.9K-1.4K0.00105.40N/AN/A00636143
2012-05-22$12.72$12.5047.0%13.5%33.9%0.0%0.0%6.1%-3.0%9.6K-505.5K-1.3K0.00107.13N/AN/A00636143
2012-05-23$12.98$12.5046.8%13.4%34.2%0.0%0.0%9.4%-1.6%10.1K-542.0K-1.3K0.00109.06N/AN/A00636143
2012-05-24$12.91$12.5047.5%13.6%34.0%0.0%0.0%2.9%-2.6%10.1K-530.2K-1.3K0.00109.40N/AN/A00636143
2012-05-25$12.73$12.5048.9%14.0%34.3%0.0%0.0%8.0%-4.5%9.7K-507.6K-1.3K0.00106.83N/AN/A00636143
2012-05-29$12.55$12.5048.4%13.9%34.7%0.0%0.0%6.0%-3.7%10.1K-481.4K-1.3K0.00106.65N/AN/A00636143
2012-05-30$12.40$12.5048.8%14.0%34.5%0.0%0.0%5.8%-2.2%10.0K-455.7K-1.3K0.00108.89N/AN/A04636143
2012-05-31$12.57$12.5042.1%12.1%34.8%0.0%0.0%2.3%3.0%11.3K-470.1K-1.2K0.00104.60N/AN/A00636147