OPEN Options History — August 2010

In August 2010, OPEN traded between $44.95 and $54.30. ATM implied volatility averaged 44.9%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 2.3% (HV 20d: 42.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.54.

Notable Days

  • 2010-08-12: Highest Volume — 19,731 contracts
  • 2010-08-04: Largest IV drop — 32.5% change
  • 2010-08-02: Highest IV Rank — 57.5%
  • 2010-08-02: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.73$44.95$54.30$44.95$53.24
Max Pain$48.86$45.00$50.00$45.00$50.00
ATM IV44.9%35.4%54.3%54.3%48.4%
Expected Move13.0%10.1%15.6%15.6%13.9%
HV 20d42.6%33.9%53.7%34.1%53.7%
HV 60d43.6%40.8%46.1%41.9%46.0%
IV Rank38.1%18.4%57.5%57.5%45.2%
IV Percentile47.0%8.4%72.1%72.1%60.7%
Term Structure-0.4%-7.0%5.3%-7.0%-2.6%
VWIV45.9%37.1%57.2%56.4%50.3%
Skew 25d7.4%1.0%14.1%10.1%1.4%
Skew 10d19.2%2.9%34.6%34.6%10.0%
Call IV 25d42.2%30.2%51.1%51.1%49.8%
Put IV 25d49.6%41.7%62.5%61.2%51.2%
Bid-Ask Spread %45.5318.3268.7430.6748.82
Gamma HHI0.320.260.420.260.34
Net GEX865.4K237.9K1.6M243.1K1.1M
Net DEX-23.8M-39.0M-5.1M-5.4M-29.4M
Net VEX-125.6K-183.7K-40.6K-41.0K-177.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.205.105.100.61
Total Volume2,360.27348219,731482745
Total OI24,872.1369,18035,8659,18034,595

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$44.95$45.0054.3%15.6%34.1%57.5%56.4%10.1%-7.0%243.1K-5.4M-41.0K5.1030.67794035,3123,868
2010-08-03$45.16$45.0052.5%15.0%33.9%53.6%57.2%14.1%-3.2%237.9K-5.1M-40.6K3.2722.504151,3565,3054,040
2010-08-04$48.89$45.0035.4%10.1%39.1%18.4%37.1%11.4%5.3%397.5K-11.9M-41.2K0.6438.281,4399215,5534,840
2010-08-05$48.59$45.0040.2%11.5%39.3%28.3%40.7%11.9%-0.4%402.0K-12.7M-51.2K0.3234.409423016,4265,268
2010-08-06$48.19$45.0038.4%11.4%38.6%24.6%42.7%9.9%-1.5%488.4K-12.6M-56.5K0.2539.446051537,1115,349
2010-08-09$50.70$50.0038.8%11.6%41.9%25.4%39.4%8.7%-0.6%613.4K-20.6M-57.7K1.1218.321,2271,3697,5705,423
2010-08-10$50.05$50.0039.2%12.4%42.4%26.2%43.7%12.1%-0.3%636.6K-19.0M-70.2K1.9037.792023838,4186,390
2010-08-11$49.91$50.0039.6%12.3%42.3%27.0%41.4%10.9%-2.2%597.8K-18.9M-73.0K0.2068.742,0134088,4446,444
2010-08-12$50.56$50.0044.7%12.8%42.0%37.6%47.0%7.5%3.2%631.9K-21.0M-76.5K0.4649.2413,4996,2328,6496,645
2010-08-13$51.82$50.0041.6%11.9%38.7%31.2%40.3%4.0%3.0%1.5M-36.3M-166.6K0.9731.5586283919,56012,188
2010-08-16$52.38$50.0044.9%12.9%38.6%37.9%43.7%7.0%0.1%1.6M-38.8M-169.4K0.7841.251,17091719,90112,947
2010-08-17$52.10$50.0045.9%13.2%38.2%40.1%44.7%7.5%-2.2%1.5M-39.0M-174.0K4.8754.553301,60720,40313,767
2010-08-18$52.45$50.0045.1%12.9%38.2%38.5%42.3%7.7%-0.7%1.3M-36.4M-183.7K2.1850.4823350920,26015,194
2010-08-19$52.00$50.0046.3%13.3%38.6%40.8%42.7%6.1%-0.6%1.2M-34.2M-172.8K2.6743.4515441120,17715,406
2010-08-20$52.10$50.0046.1%13.2%38.5%40.4%47.5%6.2%1.1%986.8K-35.0M-183.4K1.0345.0224224920,18415,681
2010-08-23$53.58$50.0044.5%12.8%38.3%37.2%45.4%4.0%0.6%1.2M-33.7M-175.7K0.5959.202,1201,25317,96513,946
2010-08-24$49.06$50.0048.5%13.9%51.0%45.4%52.6%7.7%1.0%448.1K-7.3M-159.8K2.8162.089542,68217,29014,225
2010-08-25$51.00$50.0049.1%14.1%52.6%46.7%48.1%5.4%0.6%725.5K-17.5M-168.5K0.7752.5068652917,35915,060
2010-08-26$52.22$50.0049.4%14.2%51.4%47.3%49.0%4.3%0.1%980.9K-24.0M-173.7K0.3666.3175527317,64715,221
2010-08-27$54.30$50.0046.9%13.4%52.1%42.0%48.1%4.0%-0.6%1.2M-36.1M-175.9K0.8163.2163851817,87915,412
2010-08-30$52.89$50.0048.6%13.9%53.7%45.7%49.2%1.0%-2.8%1.0M-29.7M-174.5K2.1743.9241189218,12415,741
2010-08-31$53.24$50.0048.4%13.9%53.7%45.2%50.3%1.4%-2.6%1.1M-29.4M-177.0K0.6148.8246228318,18616,409