OPEN Options History — May 2010 In May 2010, OPEN traded between $37.47 and $43.38. ATM implied volatility averaged 60.7%. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 21.8% (HV 20d: 38.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 19.43.
Notable Days 2010-05-11 : Highest Volume — 3,634 contracts2010-05-07 : Largest IV spike — 48.9% change2010-05-21 : Largest Expected Move — 21.5%Monthly Statistics Metric Avg Min Max Open Close Price $40.46 $37.47 $43.38 $38.45 $41.33 Max Pain $40.75 $40.00 $45.00 $40.00 $40.00 ATM IV 60.7% 39.4% 74.9% 51.8% 59.4% Expected Move 17.5% 11.3% 21.5% 14.9% 17.0% HV 20d 38.9% 27.6% 47.0% 27.6% 47.0% HV 60d 37.2% 32.2% 52.6% 51.5% 35.1% Term Structure -4.1% -10.5% 10.0% -8.6% -6.1% VWIV 64.7% 52.1% 80.4% 52.1% 59.1% Skew 25d 13.2% 4.2% 27.6% 5.4% 12.4% Skew 10d 23.8% 4.3% 43.4% 11.6% 43.4% Call IV 25d 54.6% 36.3% 67.6% 52.1% 54.5% Put IV 25d 67.8% 56.2% 82.1% 57.4% 66.8% Bid-Ask Spread % 44.90 25.27 103.20 52.51 70.36 Gamma HHI 0.36 0.26 0.52 0.30 0.49 Net GEX -62.6K -291.8K 169.9K -43.2K -246.3K Net DEX 596.9K -2.4M 6.2M -180.6K 1.8M Net VEX -49.9K -66.1K -27.7K -27.7K -66.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 19.43 0.03 302.00 0.03 302.00 Total Volume 1,010.85 184 3,634 184 303 Total OI 9,764.9 4,868 13,344 4,868 13,344
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 Vol Put Vol Call OI Put OI 2010-05-03 $38.45 $40.00 51.8% 14.9% 27.6% 0.0% 52.1% 5.4% -8.6% -43.2K -180.6K -27.7K 0.03 52.51 178 6 1,717 3,151 2010-05-04 $37.50 $40.00 64.3% 18.4% 27.8% 0.0% 61.1% 4.2% -10.5% -34.1K 256.8K -29.5K 0.47 46.85 752 355 1,852 3,151 2010-05-05 $39.22 $40.00 52.8% 15.1% 31.7% 0.0% 54.3% 8.8% -2.6% 54.3K -1.8M -30.9K 1.96 36.86 533 1,044 2,435 3,318 2010-05-06 $37.81 $40.00 39.4% 11.3% 34.6% 0.0% 58.0% 20.0% 10.0% 4.7K 79.0K -33.0K 3.80 103.20 81 308 2,505 3,868 2010-05-07 $37.47 $45.00 58.7% 17.7% 32.1% 0.0% 56.6% 5.4% -8.2% -12.1K 464.2K -33.1K 2.37 27.86 93 220 2,566 3,792 2010-05-10 $38.81 $45.00 52.8% 16.5% 34.6% 0.0% 65.0% 18.8% -2.2% 14.5K -484.4K -33.1K 5.53 38.24 157 868 2,566 3,792 2010-05-11 $40.11 $45.00 58.5% 17.4% 36.5% 0.0% 58.7% 27.6% -2.9% -41 -570.0K -37.8K 4.06 25.27 718 2,916 2,513 4,586 2010-05-12 $41.99 $40.00 68.2% 18.2% 39.6% 0.0% 63.9% 14.4% -5.2% -18.5K -733.9K -52.4K 5.79 30.96 229 1,325 3,028 7,029 2010-05-13 $42.88 $40.00 57.6% 16.5% 40.1% 0.0% 68.3% 8.5% -2.8% -45.8K -814.0K -54.1K 9.87 26.14 38 375 2,964 7,924 2010-05-14 $43.00 $40.00 60.8% 17.4% 40.0% 0.0% 67.1% 12.2% -5.0% -46.8K -746.6K -55.3K 1.81 26.06 255 462 2,978 8,204 2010-05-17 $43.20 $40.00 63.2% 18.1% 39.0% 0.0% 73.4% 17.3% -9.3% -28.4K -952.6K -54.8K 3.15 47.37 197 621 3,094 8,423 2010-05-18 $43.31 $40.00 61.5% 17.6% 38.6% 0.0% 67.0% 15.2% -6.4% -4.3K -1.7M -54.9K 0.70 40.74 599 417 3,214 8,383 2010-05-19 $43.38 $40.00 60.9% 17.5% 38.6% 0.0% 68.6% 13.3% -2.9% 48.3K -2.4M -58.7K 10.91 39.45 43 469 3,694 8,639 2010-05-20 $41.06 $40.00 70.7% 20.3% 43.8% 0.0% 70.4% 15.1% -7.1% -33.0K 539.0K -60.6K 10.31 43.09 64 660 3,720 8,701 2010-05-21 $40.46 $40.00 74.9% 21.5% 44.1% 0.0% 80.4% 13.9% -7.5% 169.9K 1.6M -60.4K 13.95 35.78 142 1,981 3,762 8,452 2010-05-24 $38.97 $40.00 66.2% 19.0% 46.0% 0.0% 71.7% 15.1% -2.0% -259.3K 5.5M -63.6K 2.37 42.43 182 432 2,615 8,904 2010-05-25 $39.00 $40.00 68.6% 19.7% 46.0% 0.0% 71.4% 16.1% -3.9% -291.8K 6.2M -62.9K 3.36 40.59 187 628 2,760 9,019 2010-05-26 $39.55 $40.00 63.7% 18.3% 43.7% 0.0% 66.7% 7.9% -2.8% -264.3K 4.5M -62.9K 1.81 56.82 544 982 2,901 8,890 2010-05-27 $41.71 $40.00 59.3% 17.0% 46.8% 0.0% 59.3% 12.5% 4.2% -216.5K 1.3M -65.2K 4.27 67.48 162 691 3,240 9,604 2010-05-28 $41.33 $40.00 59.4% 17.0% 47.0% 0.0% 59.1% 12.4% -6.1% -246.3K 1.8M -66.1K 302.00 70.36 1 302 3,333 10,011
« Apr 2010 | All History | Jun 2010 » Home OPEN History May 2010