OPEN Options History — March 2010

In March 2010, OPEN traded between $34.08 and $38.29. ATM implied volatility averaged 40.2%. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 5.6% (HV 20d: 45.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.90.

Notable Days

  • 2010-03-04: Highest Volume — 443 contracts
  • 2010-03-26: Largest IV drop — 37.0% change
  • 2010-03-17: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.73$34.08$38.29$34.08$38.13
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV40.2%26.5%47.8%41.7%28.5%
Expected Move11.4%7.6%13.7%12.0%8.2%
HV 20d45.7%20.0%81.5%81.5%20.0%
Term Structure-0.9%-7.9%6.8%-3.2%2.5%
VWIV38.7%25.5%48.9%38.6%33.7%
Skew 25d5.6%-6.4%20.9%10.7%8.1%
Skew 10d7.5%-9.9%30.0%22.3%13.1%
Call IV 25d36.2%30.2%41.9%35.6%32.7%
Put IV 25d41.9%33.9%51.1%46.3%40.8%
Bid-Ask Spread %79.2843.8494.9864.8843.84
Gamma HHI0.580.420.660.610.46
Net GEX49.4K-37.4K142.4K83.8K-19.5K
Net DEX-2.5M-4.2M-967.3K-1.2M-1.6M
Net VEX-22.1K-23.8K-19.9K-21.0K-22.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0314.000.460.21
Total Volume90.6969443168193
Total OI3,916.7393,5054,4333,5053,756

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$34.08$30.0041.7%12.0%81.5%0.0%38.6%0.0%-3.2%83.8K-1.2M-21.0K0.4664.88115531,6341,871
2010-03-02$34.59$30.0040.6%11.6%81.4%0.0%40.6%10.7%-1.6%100.6K-1.6M-20.8K0.8074.3015121,7171,901
2010-03-03$35.15$30.0040.5%11.6%81.3%0.0%37.5%20.9%0.9%111.5K-2.1M-20.7K0.0359.443511,7161,913
2010-03-04$35.81$30.0042.7%12.2%80.5%0.0%41.4%7.5%-3.2%111.4K-2.7M-19.9K1.7790.511602831,7261,914
2010-03-05$36.80$30.0040.1%11.6%78.4%0.0%26.3%-1.0%0.2%101.8K-3.4M-22.3K2.9578.99421241,8202,186
2010-03-08$37.01$30.0044.0%12.1%78.5%0.0%0.0%8.5%-2.3%101.2K-3.4M-22.7K12.0071.832241,8572,295
2010-03-09$36.08$30.0045.0%11.5%78.4%0.0%40.5%1.7%-0.2%118.2K-2.7M-23.5K0.5375.0538201,8592,319
2010-03-10$36.04$30.0043.6%10.9%78.1%0.0%39.7%-6.4%2.4%135.4K-2.8M-23.3K0.3677.0628101,8972,309
2010-03-11$35.95$30.0040.0%11.5%35.7%0.0%40.4%5.5%0.0%142.4K-2.8M-23.8K14.0075.813421,9252,311
2010-03-12$36.88$30.0039.3%11.3%34.1%0.0%45.6%6.0%2.0%123.8K-3.6M-22.6K0.7078.6120141,9282,351
2010-03-15$36.90$30.0041.8%12.0%31.6%0.0%41.9%7.3%-2.1%119.3K-3.7M-22.4K0.6572.3217111,9282,365
2010-03-16$36.79$30.0043.0%12.3%31.9%0.0%43.1%2.0%-2.1%60.4K-3.9M-21.9K0.6779.9551341,9172,376
2010-03-17$36.95$30.0047.8%13.7%31.9%0.0%48.9%2.6%-5.8%60.5K-4.0M-22.6K0.5083.49631,9412,410
2010-03-18$37.01$30.0045.7%13.1%30.2%0.0%40.5%2.1%-4.1%-7.7K-4.1M-22.5K0.3680.0187311,9472,413
2010-03-19$36.65$30.0041.9%12.0%30.5%0.0%39.2%-0.2%-1.8%26.2K-4.2M-22.5K0.8786.8390781,9892,444
2010-03-22$37.43$30.0043.5%12.5%29.9%0.0%37.3%5.1%-4.5%-35.8K-967.3K-22.6K0.4891.4642201,1202,390
2010-03-23$37.50$30.0042.3%12.1%27.6%0.0%43.0%5.2%-7.9%-30.5K-1.1M-22.8K0.0092.360201,1372,410
2010-03-24$37.49$30.0041.6%11.9%24.8%0.0%25.5%4.2%0.4%-29.5K-1.2M-22.1K0.0087.970111,1372,416
2010-03-25$37.35$30.0042.1%12.1%24.6%0.0%37.9%2.0%-4.5%-32.9K-994.5K-22.8K0.1483.06132181,1372,426
2010-03-26$37.93$30.0026.5%7.6%20.5%0.0%0.0%11.7%6.8%-37.4K-1.5M-20.0K0.3191.172681,2172,423
2010-03-29$37.98$30.0028.7%8.2%20.4%0.0%0.0%11.5%3.3%-36.9K-1.4M-21.4K1.0894.9812131,2352,431
2010-03-30$38.29$30.0032.5%9.3%20.2%0.0%33.0%9.3%4.1%-29.6K-1.5M-21.7K0.9789.6272701,2362,435
2010-03-31$38.13$30.0028.5%8.2%20.0%0.0%33.7%8.1%2.5%-19.5K-1.6M-22.9K0.2143.84160331,2792,477