OPEN Options History — September 2010

In September 2010, OPEN traded between $54.06 and $68.85. ATM implied volatility averaged 49.2%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 3.3% (HV 20d: 45.9%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2010-09-16: Highest Volume — 15,458 contracts
  • 2010-09-13: Largest IV spike — 13.1% change
  • 2010-09-14: Highest IV Rank — 55.2%
  • 2010-09-14: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.39$54.06$68.85$54.06$68.08
Max Pain$52.62$45.00$60.00$50.00$60.00
ATM IV49.2%45.9%53.2%46.9%48.2%
Expected Move14.0%13.0%15.3%13.5%13.8%
HV 20d45.9%36.1%54.7%46.8%37.1%
HV 60d44.1%40.8%46.8%44.4%40.8%
IV Rank46.9%40.0%55.2%42.2%44.8%
IV Percentile62.2%47.9%74.8%58.3%57.3%
Term Structure1.0%-8.1%8.3%-1.1%3.6%
VWIV51.2%43.1%57.4%49.5%55.9%
Skew 25d8.5%1.6%12.6%1.6%9.9%
Skew 10d19.3%-2.5%27.2%4.4%25.2%
Call IV 25d45.8%41.7%50.1%47.9%46.7%
Put IV 25d54.3%49.3%59.3%49.6%56.5%
Bid-Ask Spread %39.1512.6662.1941.0836.85
Gamma HHI0.270.190.360.340.21
Net GEX1.7M1.3M2.0M1.3M1.3M
Net DEX-86.1M-123.0M-35.3M-35.3M-116.2M
Net VEX-223.8K-302.5K-146.2K-173.4K-296.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.126.230.120.81
Total Volume3,435.38119015,4583,3529,524
Total OI44,70934,99155,58634,99155,586

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$54.06$50.0046.9%13.5%46.8%42.2%49.5%1.6%-1.1%1.3M-35.3M-173.4K0.1241.083,00334918,39216,599
2010-09-02$55.27$50.0048.5%13.9%47.0%45.4%48.6%3.4%-1.0%1.6M-44.6M-180.7K0.8051.7336729320,16316,652
2010-09-03$55.87$45.0046.0%13.0%46.7%40.3%43.6%7.6%2.7%1.7M-47.3M-171.5K0.5962.1926315420,12716,901
2010-09-07$54.81$45.0051.0%13.4%44.6%50.7%50.0%7.7%-0.0%1.5M-40.0M-163.1K0.6241.0818011220,18616,943
2010-09-08$55.50$45.0050.8%13.5%44.2%50.1%43.1%7.7%-0.5%1.7M-46.3M-160.2K0.2438.701,18128520,24916,976
2010-09-09$56.41$45.0049.0%14.1%44.3%46.6%45.8%8.9%-0.9%1.9M-52.7M-160.9K0.6649.5029819720,58417,122
2010-09-10$56.87$50.0046.9%13.4%44.2%42.0%47.3%7.8%-4.2%2.0M-54.6M-160.1K0.9640.83979320,47417,216
2010-09-13$61.88$50.0053.0%15.2%52.0%54.7%52.8%9.3%-5.3%1.8M-87.0M-146.2K0.5812.663,3221,91320,47817,305
2010-09-14$60.73$55.0053.2%15.3%52.9%55.2%53.1%9.3%-4.8%2.0M-77.7M-169.2K1.5749.1062798721,73718,422
2010-09-15$62.80$55.0052.2%15.0%53.5%53.0%54.4%9.1%-8.1%1.8M-90.6M-160.4K0.4251.033,0821,28021,83819,111
2010-09-16$65.54$55.0050.5%14.5%54.7%49.5%54.9%12.3%-4.8%1.9M-111.1M-169.8K1.0647.397,5167,94223,25519,826
2010-09-17$65.19$55.0047.7%13.7%54.6%43.8%52.7%12.6%-1.9%1.8M-114.7M-275.8K2.3445.151,3943,26528,69025,396
2010-09-20$65.43$55.0048.2%13.8%54.6%44.7%50.6%8.5%4.1%1.8M-100.4M-264.5K1.9118.421,9623,75125,36321,415
2010-09-21$66.33$55.0049.3%14.1%54.2%47.1%49.3%7.9%4.5%1.7M-105.5M-281.2K0.8123.4695977326,28022,094
2010-09-22$65.50$55.0048.8%14.0%41.0%46.0%54.2%10.1%5.1%1.7M-99.2M-286.9K6.2331.713031,88926,50522,370
2010-09-23$66.77$55.0051.8%14.8%40.0%52.2%49.9%8.2%6.5%1.5M-107.0M-288.1K0.5434.253,1621,71126,44723,159
2010-09-24$67.61$55.0045.9%13.2%39.8%40.0%52.3%7.7%8.3%1.6M-115.4M-299.8K1.7134.649231,57827,66924,242
2010-09-27$68.16$55.0049.0%14.0%38.6%46.5%57.4%9.6%5.8%1.6M-121.1M-295.8K2.4230.151,1662,81828,16224,954
2010-09-28$68.57$55.0048.8%14.0%36.1%46.0%56.3%9.1%5.4%1.4M-119.2M-302.5K5.2445.363932,06128,20626,628
2010-09-29$68.85$60.0047.7%13.7%36.1%43.7%53.4%9.3%6.7%1.3M-123.0M-293.3K1.7936.8434862228,11427,053
2010-09-30$68.08$60.0048.2%13.8%37.1%44.8%55.9%9.9%3.6%1.3M-116.2M-296.0K0.8136.855,2564,26828,13727,449