OPEN Options History — July 2010

In July 2010, OPEN traded between $40.84 and $46.69. ATM implied volatility averaged 50.8%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 5.8% (HV 20d: 45.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 19.49.

Notable Days

  • 2010-07-28: Highest Volume — 1,979 contracts
  • 2010-07-12: Largest IV spike — 30.9% change
  • 2010-07-28: Highest IV Rank — 49.1%
  • 2010-07-06: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.43$40.84$46.69$41.38$44.70
Max Pain$40.71$40.00$45.00$40.00$45.00
ATM IV50.8%42.3%62.2%57.9%50.1%
Expected Move14.6%12.9%17.5%16.6%14.4%
HV 20d45.0%34.0%50.1%50.1%34.3%
HV 60d43.2%41.4%44.2%42.0%42.7%
IV Rank48.3%46.9%49.1%49.1%48.8%
IV Percentile61.9%60.6%62.7%62.7%62.5%
Term Structure-0.5%-4.4%3.1%3.1%-2.4%
VWIV52.2%33.5%75.8%68.2%33.5%
Skew 25d13.6%9.5%21.2%16.4%10.6%
Skew 10d29.3%17.0%42.4%41.8%29.4%
Call IV 25d45.5%40.3%52.1%52.1%48.2%
Put IV 25d59.1%52.9%70.4%68.6%58.8%
Bid-Ask Spread %34.5423.4050.5637.3738.00
Gamma HHI0.430.250.790.600.26
Net GEX62.4K-691.2K728.3K-691.2K242.4K
Net DEX-6.1M-14.6M3.1M2.6M-5.3M
Net VEX-37.4K-63.8K-28.4K-62.6K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.490.11335.673.921.61
Total Volume670.19651,9791,561332
Total OI15,350.4765,22624,01623,2958,991

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$41.38$40.0057.9%16.6%50.1%0.0%68.2%16.4%3.1%-691.2K2.6M-62.6K3.9237.373171,2444,79318,502
2010-07-02$41.08$40.0061.2%17.5%49.9%0.0%75.8%21.2%-1.6%-625.5K3.1M-63.8K0.0050.5602305,00718,877
2010-07-06$40.84$40.0062.2%17.5%49.9%0.0%66.9%17.6%-4.4%-599.5K2.2M-56.1K335.6736.4231,0074,97818,828
2010-07-07$43.20$40.0059.5%14.7%49.0%0.0%47.0%20.6%-0.4%-399.8K-5.1M-46.4K3.8540.131395354,97819,038
2010-07-08$43.60$40.0046.0%14.2%48.0%0.0%52.1%15.7%1.9%-118.3K-7.0M-42.8K3.0224.411354085,01718,534
2010-07-09$44.85$40.0042.3%14.5%48.2%0.0%55.4%16.4%1.4%211.8K-12.0M-34.0K21.4224.91316645,09718,325
2010-07-12$45.62$40.0055.4%15.7%47.9%0.0%54.7%16.0%-3.6%342.9K-14.0M-29.3K4.0926.381957985,08518,093
2010-07-13$45.80$40.0052.6%14.4%47.6%0.0%48.9%11.5%2.2%331.0K-14.6M-29.5K0.1531.531,6582475,09318,265
2010-07-14$45.52$40.0051.2%14.7%47.4%0.0%50.5%11.7%-1.5%502.5K-14.1M-31.5K0.6733.292121415,37217,738
2010-07-15$45.05$40.0050.3%14.4%47.2%0.0%56.4%9.5%-1.1%728.3K-13.3M-31.5K0.7535.6976575,40417,753
2010-07-16$43.24$40.0048.9%14.0%49.1%0.0%55.7%9.9%0.7%297.9K-8.3M-31.4K2.8045.931173285,36917,739
2010-07-19$43.43$40.0046.1%13.2%47.9%0.0%49.6%12.6%0.7%68.9K-2.9M-29.7K2.1139.72751582,6252,601
2010-07-20$44.70$40.0045.6%13.1%47.7%0.0%51.6%13.1%1.2%93.1K-3.7M-30.0K4.4532.1020892,6872,731
2010-07-21$44.75$40.0045.2%12.9%46.6%0.0%48.8%11.8%1.9%94.2K-4.0M-30.3K2.0723.4643892,7002,776
2010-07-22$45.26$40.0045.2%13.0%45.0%0.0%44.3%13.3%1.0%99.0K-4.3M-30.0K0.5124.6943222,7332,836
2010-07-23$45.25$40.0046.0%13.2%44.7%0.0%44.1%11.8%-0.1%100.8K-4.3M-30.4K0.3623.40111402,7502,848
2010-07-26$46.69$40.0049.6%14.2%38.4%0.0%50.8%12.9%-2.1%123.8K-5.5M-28.4K1.4841.954256312,7802,862
2010-07-27$46.50$40.0051.1%14.7%36.4%0.0%48.6%10.8%-2.7%108.1K-5.5M-31.8K0.2136.978921883,0253,449
2010-07-28$46.49$45.0050.3%14.4%34.7%49.1%46.2%11.2%-3.6%167.3K-6.3M-34.3K0.1143.281,7861933,6893,568
2010-07-29$45.16$45.0049.2%14.1%34.0%46.9%47.5%10.1%-1.5%231.8K-5.7M-40.7K0.4635.252711245,1003,724
2010-07-30$44.70$45.0050.1%14.4%34.3%48.8%33.5%10.6%-2.4%242.4K-5.3M-40.7K1.6138.001272055,2643,727