MODL Options History — July 2012

In July 2012, MODL traded between $12.93 and $14.48. ATM implied volatility averaged 23.9%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 11.6% (HV 20d: 35.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2012-07-17: Highest Volume — 3,318 contracts
  • 2012-07-03: Largest IV drop — 64.0% change
  • 2012-07-30: Highest IV Rank — 22.1%
  • 2012-07-02: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.15$12.93$14.48$12.93$14.32
Max Pain$12.14$10.00$12.50$10.00$12.50
ATM IV23.9%17.0%49.6%49.6%23.7%
Expected Move6.6%4.8%14.2%14.2%6.8%
HV 20d35.5%26.3%37.7%26.3%31.1%
HV 60d32.0%30.2%34.1%30.2%30.9%
IV Rank12.4%4.1%22.1%17.9%12.0%
IV Percentile8.1%3.9%14.0%10.3%7.7%
Term Structure-4.6%-13.8%7.4%0.3%-1.3%
VWIV25.9%16.2%49.7%49.7%16.2%
Skew 25d-0.9%-11.0%9.4%-2.9%2.4%
Skew 10d1.0%-5.5%11.0%-5.5%-2.0%
Call IV 25d22.7%14.0%47.3%47.3%21.0%
Put IV 25d21.8%13.3%44.5%44.5%23.5%
Bid-Ask Spread %73.0613.66102.02102.0295.52
Gamma HHI0.810.650.980.940.91
Net GEX105.5K28.6K232.6K97.2K173.0K
Net DEX-2.7M-4.7M-890.3K-2.1M-904.3K
Net VEX-3.0K-5.0K-605-2.9K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.0012.500.000.00
Total Volume366.47603,318270
Total OI3,812.4762,6806,7282,6804,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$12.93$10.0049.6%14.2%26.3%0.0%49.7%-2.9%0.3%97.2K-2.1M-2.9K0.00102.02N/AN/A2702,528152
2012-07-03$14.02$10.0017.9%5.1%37.5%0.0%17.2%6.3%7.4%28.6K-3.4M-60512.5013.66N/AN/A162002,533152
2012-07-05$14.00$10.0021.2%6.1%37.6%0.0%0.0%-1.1%6.0%34.9K-3.3M-1.2K0.0022.90N/AN/A202,521352
2012-07-06$14.05$12.5022.5%5.7%37.5%0.0%0.0%-1.9%-5.4%36.0K-3.3M-1.2K0.0059.84N/AN/A1102,523352
2012-07-09$14.05$12.5023.7%4.8%37.4%0.0%0.0%1.6%-6.0%34.0K-3.3M-1.0K0.0053.48N/AN/A10002,512352
2012-07-10$13.98$12.5025.3%5.8%37.2%0.0%0.0%-1.7%-6.4%41.0K-3.2M-1.4K0.0080.75N/AN/A01082,611352
2012-07-11$13.98$12.5028.0%6.1%37.0%0.0%0.0%3.3%-6.6%37.2K-3.2M-1.6K0.0081.79N/AN/A002,611460
2012-07-12$13.99$12.5017.0%4.9%37.1%0.0%0.0%1.9%-6.7%32.5K-3.3M-1.2K0.0074.96N/AN/A002,611460
2012-07-13$14.05$12.5017.6%5.0%37.1%0.0%0.0%9.4%-4.0%37.8K-3.3M-1.4K0.0080.43N/AN/A10002,611460
2012-07-16$14.02$12.5017.3%5.0%37.1%0.0%0.0%4.1%-7.4%36.3K-3.4M-1.3K0.0073.86N/AN/A022,711460
2012-07-17$14.35$12.5024.3%7.0%37.7%0.0%27.9%-5.0%-9.6%39.4K-3.4M-2.0K0.0578.83N/AN/A3,1501682,711462
2012-07-18$14.42$12.5020.6%5.9%37.7%0.0%23.5%-6.3%-5.9%161.5K-4.4M-4.1K0.0278.26N/AN/A855155,272557
2012-07-19$14.46$12.5025.1%7.2%37.5%0.0%27.0%-7.6%-9.6%191.7K-4.7M-4.9K0.4956.57N/AN/A3351655,810567
2012-07-20$14.48$12.5018.6%5.3%37.4%0.0%0.0%3.3%2.5%232.6K-4.6M-4.9K0.0080.04N/AN/A2,13706,016712
2012-07-23$14.19$12.5028.6%8.2%35.7%0.0%0.0%-11.0%-13.8%136.3K-1.3M-5.0K0.0079.65N/AN/A003,431659
2012-07-24$14.26$12.5026.3%7.5%35.7%0.0%0.0%-7.4%-10.1%154.4K-1.3M-5.0K0.0068.27N/AN/A003,431659
2012-07-25$14.37$12.5026.9%7.7%34.2%17.9%28.4%-6.6%-10.1%158.4K-1.3M-4.9K0.0083.82N/AN/A10003,431659
2012-07-26$14.35$12.5019.3%5.5%33.0%4.1%17.4%1.3%0.4%180.5K-890.3K-4.6K0.0095.65N/AN/A503,406659
2012-07-27$14.47$12.5020.3%5.8%32.9%6.0%16.2%5.9%1.5%205.8K-1.1M-4.3K0.0095.65N/AN/A20003,411659
2012-07-30$14.35$12.5029.3%8.4%31.2%22.1%0.0%-6.8%-11.7%166.3K-1.4M-4.7K0.0078.25N/AN/A003,454659
2012-07-31$14.32$12.5023.7%6.8%31.1%12.0%0.0%2.4%-1.3%173.0K-904.3K-4.4K0.0095.52N/AN/A003,454659