OPEN Options History — June 2010

In June 2010, OPEN traded between $37.57 and $45.51. ATM implied volatility averaged 60.4%. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 15.7% (HV 20d: 44.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 6.63.

Notable Days

  • 2010-06-14: Highest Volume — 4,079 contracts
  • 2010-06-30: Largest IV spike — 28.5% change
  • 2010-06-14: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.82$37.57$45.51$40.47$41.47
Max Pain$38.41$35.00$40.00$40.00$40.00
ATM IV60.4%46.9%74.1%63.2%67.3%
Expected Move17.0%13.5%19.4%18.1%19.3%
HV 20d44.6%41.2%50.3%47.5%50.3%
HV 60d38.1%34.7%42.6%35.0%42.0%
Term Structure-2.0%-7.9%9.8%-4.7%-5.3%
VWIV70.0%58.0%81.2%76.6%78.0%
Skew 25d16.9%11.3%24.5%14.4%24.5%
Skew 10d37.0%24.6%53.9%45.1%53.9%
Call IV 25d53.5%42.9%62.5%60.2%52.8%
Put IV 25d70.3%56.3%78.6%74.6%77.3%
Bid-Ask Spread %48.9729.4671.2469.3571.24
Gamma HHI0.560.430.690.540.56
Net GEX-410.4K-641.2K-11.1K-314.2K-558.5K
Net DEX2.6M-6.0M11.3M3.6M2.5M
Net VEX-66.2K-74.7K-50.8K-63.8K-68.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.630.4638.200.791.34
Total Volume1,045.0451994,079201425
Total OI18,796.513,61723,22613,61723,226

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$40.47$40.0063.2%18.1%47.5%0.0%76.6%14.4%-4.7%-314.2K3.6M-63.8K0.7969.35112893,33410,283
2010-06-02$40.88$40.0063.7%18.3%46.4%0.0%66.2%17.4%-5.9%-320.6K2.8M-61.5K9.4765.18191803,40610,343
2010-06-03$40.41$40.0058.7%16.8%44.2%0.0%58.0%14.3%0.1%-321.2K3.8M-63.7K1.0264.352552593,40910,485
2010-06-04$39.82$35.0063.4%17.3%42.3%0.0%68.9%14.1%0.3%-311.0K4.4M-66.7K7.1358.96644563,57010,665
2010-06-07$39.66$35.0068.5%18.8%42.2%0.0%74.8%16.2%-5.5%-339.8K5.5M-65.5K38.2056.15562,1393,56210,977
2010-06-08$37.57$35.0072.1%18.8%44.9%0.0%72.6%15.8%-3.2%-482.1K11.3M-73.5K7.8046.212161,6853,59712,475
2010-06-09$38.85$35.0074.1%18.6%45.0%0.0%76.9%16.5%-6.3%-472.7K9.2M-74.7K4.4138.671004413,72813,180
2010-06-10$39.82$35.0067.1%19.2%42.6%0.0%71.6%17.3%-7.9%-457.2K7.8M-74.1K2.9146.223811,1083,80313,456
2010-06-11$40.79$35.0063.4%18.2%42.8%0.0%73.5%16.3%-3.8%-452.9K5.6M-74.7K15.5734.11406234,10914,351
2010-06-14$41.62$35.0067.5%19.4%43.5%0.0%81.2%20.9%-7.1%-413.8K3.5M-70.9K21.0556.221853,8944,12514,756
2010-06-15$42.48$40.0064.6%18.5%44.2%0.0%71.5%19.1%-7.7%-452.8K3.4M-74.4K4.6344.492049454,16917,026
2010-06-16$43.37$40.0053.6%15.4%44.8%0.0%64.8%16.0%-0.9%-352.9K-136.4K-72.0K5.2750.371226434,27517,560
2010-06-17$44.13$40.0048.2%13.8%45.3%0.0%64.8%11.8%0.4%-337.7K-4.2M-58.2K4.0047.941255004,31217,615
2010-06-18$45.45$40.0049.5%14.2%41.2%0.0%65.2%11.3%0.4%-11.1K-6.0M-58.8K2.0438.911753574,26317,712
2010-06-21$43.99$40.0046.9%13.5%42.8%0.0%69.7%19.0%9.8%-394.8K-111.4K-58.4K4.3467.362259773,01716,548
2010-06-22$42.84$40.0053.7%15.4%41.5%0.0%75.2%19.2%0.3%-536.8K4.2M-67.5K6.5933.92684483,05016,720
2010-06-23$41.57$40.0061.3%17.6%43.3%0.0%64.0%19.0%0.5%-641.2K6.4M-70.0K0.4644.386553043,08016,950
2010-06-24$42.36$40.0060.7%17.4%43.5%0.0%64.8%14.2%1.4%-605.7K2.5M-65.6K1.6029.461842953,67217,168
2010-06-25$45.51$40.0053.9%15.5%46.7%0.0%62.4%18.1%3.1%-393.9K-5.5M-50.8K3.3432.653541,1833,83617,237
2010-06-28$44.07$40.0054.4%15.6%48.3%0.0%67.6%12.7%-1.3%-403.1K-3.2M-57.1K0.9945.483693654,12217,986
2010-06-29$42.92$40.0052.4%15.0%48.7%0.0%70.8%23.2%0.1%-454.1K-382.1K-64.8K3.0035.664421,3244,33418,031
2010-06-30$41.47$40.0067.3%19.3%50.3%0.0%78.0%24.5%-5.3%-558.5K2.5M-68.4K1.3471.241822434,72618,500