OPEN Options History — October 2010

In October 2010, OPEN traded between $56.91 and $66.96. ATM implied volatility averaged 59.0%, placing in the 67.0% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 15.3% (HV 20d: 43.7%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2010-10-13: Highest Volume — 12,359 contracts
  • 2010-10-14: Largest IV spike — 27.0% change
  • 2010-10-29: Highest IV Rank — 90.0%
  • 2010-10-29: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.41$56.91$66.96$65.34$61.47
Max Pain$64.76$60.00$65.00$60.00$65.00
ATM IV59.0%49.3%70.1%49.5%70.1%
Expected Move17.6%14.2%20.1%14.2%20.1%
HV 20d43.7%34.1%51.2%41.3%49.6%
HV 60d44.9%41.9%48.3%42.0%46.0%
IV Rank67.0%47.0%90.0%47.4%90.0%
IV Percentile82.7%61.1%97.9%65.1%97.9%
Term Structure-5.6%-9.2%6.2%6.2%-9.0%
VWIV61.7%51.0%69.6%51.0%69.6%
Skew 25d10.9%3.8%15.6%7.7%10.5%
Skew 10d18.5%10.8%28.3%14.7%22.1%
Call IV 25d57.2%47.4%65.9%47.4%65.9%
Put IV 25d68.1%55.1%76.4%55.1%76.4%
Bid-Ask Spread %15.346.0038.8726.1231.69
Gamma HHI0.170.130.240.200.14
Net GEX600.3K-498.2K1.6M1.6M-181.2K
Net DEX-43.7M-117.5M24.9M-103.4M-151.1K
Net VEX-363.6K-411.7K-328.3K-362.2K-411.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.147.461.541.85
Total Volume4,757.811,34512,3593,3918,580
Total OI56,009.52435,85968,51661,12551,324

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$65.34$60.0049.5%14.2%41.3%47.4%51.0%7.7%6.2%1.6M-103.4M-362.2K1.5426.121,3372,05432,56028,565
2010-10-04$66.96$65.0053.8%16.8%41.7%56.4%57.3%11.2%-7.7%1.6M-117.5M-355.8K1.087.3491398732,60129,142
2010-10-05$66.35$65.0051.8%17.2%40.9%52.3%57.8%10.5%-8.9%1.5M-112.1M-348.6K1.487.661,1761,74632,53729,371
2010-10-06$62.96$65.0055.3%17.1%46.4%59.5%61.1%13.0%-8.2%1.5M-76.3M-365.1K2.108.322,6235,50232,97430,468
2010-10-07$61.46$65.0060.2%18.3%47.5%69.6%59.9%11.1%-8.6%1.4M-59.8M-364.0K2.038.689852,00233,57131,406
2010-10-08$62.58$65.0053.7%17.1%47.7%56.1%60.3%10.1%-8.5%1.4M-72.3M-359.9K0.347.232,27777833,96232,130
2010-10-11$64.82$65.0058.4%17.5%39.2%65.9%60.5%15.5%-7.6%1.4M-101.3M-343.4K2.066.001,2892,65634,52832,100
2010-10-12$65.69$65.0055.4%17.6%38.6%59.6%64.2%15.6%-7.3%1.5M-112.3M-342.1K1.677.386981,16534,91133,364
2010-10-13$65.10$65.0049.3%17.8%37.2%47.0%62.8%14.6%-9.0%1.4M-108.5M-335.8K0.1414.2010,8271,53235,13533,381
2010-10-14$64.42$65.0062.6%17.9%34.1%74.5%63.7%14.8%-9.2%1.4M-96.3M-328.3K7.469.376965,19134,40933,265
2010-10-15$63.03$65.0062.4%17.9%34.9%74.0%63.5%14.8%-8.7%124.1K-20.4M-337.9K1.177.333,9154,57825,97636,921
2010-10-18$62.90$65.0060.7%17.4%34.8%70.7%63.0%10.6%-1.1%61.6K-6.0M-341.5K3.438.071,3944,78317,40718,452
2010-10-19$57.66$65.0060.4%17.3%45.5%70.0%61.0%9.6%-5.8%-273.1K16.5M-338.9K3.0213.221,6905,11018,11622,255
2010-10-20$57.33$65.0063.4%18.2%45.5%76.2%63.6%9.8%-4.7%-400.6K24.9M-358.1K2.0010.381,5513,09818,72125,607
2010-10-21$56.91$65.0063.7%18.3%44.4%76.8%61.7%9.5%-5.3%-425.4K24.7M-363.2K1.3013.071,4381,86519,33926,793
2010-10-22$57.66$65.0058.3%16.7%44.5%65.6%60.3%9.5%-2.6%-498.2K24.7M-371.2K0.8810.951,2351,09019,49927,520
2010-10-25$61.20$65.0062.5%17.9%50.3%74.2%64.5%3.8%1.4%-271.4K923.0K-393.1K0.7617.163,9322,98620,08627,705
2010-10-26$61.36$65.0064.2%18.4%50.2%77.8%64.3%6.0%-4.9%-173.6K-1.6M-401.1K1.0935.451,2961,41121,15227,984
2010-10-27$62.83$65.0061.4%17.6%51.2%72.0%62.0%10.6%-4.2%-56.0K-10.6M-406.9K0.9633.611,1141,06921,64028,371
2010-10-28$62.57$65.0061.1%17.5%51.1%71.4%62.9%9.4%-3.3%-53.5K-9.9M-406.6K1.6038.8751882721,96828,984
2010-10-29$61.47$65.0070.1%20.1%49.6%90.0%69.6%10.5%-9.0%-181.2K-151.1K-411.7K1.8531.693,0125,56821,87629,448