OPEN Options History — November 2010

In November 2010, OPEN traded between $60.03 and $69.61. ATM implied volatility averaged 54.2%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 1.9% (HV 20d: 56.1%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 6 of 15 trading days. Term structure was in contango for 10 of 15 days. Put/call ratio averaged 1.27.

Notable Days

2010-11-03: Highest Volume — 31,983 contracts
2010-11-03: Largest IV drop — 37.2% change
2010-11-01: Highest IV Rank — 100.0%
2010-11-02: Largest Expected Move — 23.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.48	$60.03	$69.61	$60.03	$67.83
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	54.2%	45.2%	80.9%	77.4%	45.2%
Expected Move	15.7%	13.0%	23.2%	22.2%	13.0%
HV 20d	56.1%	49.0%	60.1%	49.0%	52.4%
HV 60d	49.2%	45.4%	50.9%	46.3%	47.3%
IV Rank	51.2%	34.4%	100.0%	100.0%	34.4%
IV Percentile	64.7%	36.7%	100.0%	100.0%	36.7%
Term Structure	-1.7%	-17.9%	2.4%	-17.9%	2.4%
VWIV	55.9%	47.8%	80.8%	75.1%	47.8%
Skew 25d	8.7%	6.4%	12.1%	11.6%	6.4%
Skew 10d	16.9%	13.1%	26.5%	22.7%	13.4%
Call IV 25d	51.8%	43.1%	75.0%	71.0%	43.1%
Put IV 25d	60.5%	49.6%	87.0%	82.6%	49.6%
Bid-Ask Spread %	23.28	10.75	35.06	32.07	21.31
Gamma HHI	0.16	0.15	0.18	0.15	0.15
Net GEX	-185.1K	-1.4M	863.7K	-344.6K	623.6K
Net DEX	-23.0M	-69.6M	14.5M	10.1M	-59.3M
Net VEX	-480.0K	-550.8K	-415.6K	-415.6K	-418.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.80	2.17	1.68	1.14
Total Volume	9,512.467	2,635	31,983	10,425	4,234
Total OI	78,162.8	54,989	84,209	54,989	83,706

Daily Data (15 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-11-01	$60.03	$65.00	77.4%	22.2%	49.0%	100.0%	75.1%	11.6%	-17.9%	-344.6K	10.1M	-415.6K	1.68	32.07	3,890	6,535	23,315	31,674
2010-11-02	$61.40	$65.00	80.9%	23.2%	49.9%	100.0%	80.8%	12.1%	-15.3%	-267.2K	7.4M	-436.4K	1.61	20.20	10,173	16,344	24,375	33,572
2010-11-03	$68.02	$65.00	50.8%	14.6%	59.3%	44.6%	52.3%	7.4%	0.6%	617.0K	-59.2M	-470.6K	0.84	20.90	17,377	14,606	28,362	40,920
2010-11-04	$69.61	$65.00	51.8%	14.9%	58.7%	46.5%	53.2%	7.4%	1.8%	863.7K	-69.6M	-513.9K	0.88	10.75	6,027	5,292	31,811	44,620
2010-11-05	$67.66	$65.00	48.9%	14.9%	59.8%	41.1%	53.6%	8.9%	-0.8%	409.3K	-46.9M	-550.8K	1.06	16.70	3,391	3,592	33,837	47,070
2010-11-08	$67.61	$65.00	50.3%	15.0%	58.6%	43.7%	54.3%	8.9%	-1.2%	347.4K	-41.5M	-531.8K	1.61	19.68	1,773	2,848	33,912	47,530
2010-11-09	$65.15	$65.00	52.0%	15.4%	60.1%	46.9%	53.9%	9.2%	0.9%	-587.4K	-8.0M	-530.8K	0.80	22.24	6,243	4,970	34,136	48,656
2010-11-10	$65.95	$65.00	49.3%	14.9%	60.1%	41.9%	53.5%	6.6%	0.7%	-261.4K	-22.3M	-523.0K	1.03	21.74	2,614	2,692	35,078	48,513
2010-11-11	$65.71	$65.00	53.2%	15.2%	60.0%	49.0%	52.7%	8.8%	-1.0%	-136.9K	-23.6M	-512.7K	1.66	23.59	1,943	3,221	35,889	48,313
2010-11-12	$64.40	$65.00	50.2%	14.4%	59.9%	43.5%	55.6%	9.7%	0.6%	-794.3K	-3.8M	-489.3K	0.96	23.42	2,655	2,551	35,185	48,130
2010-11-15	$64.72	$65.00	51.1%	14.6%	59.9%	45.1%	50.9%	8.3%	2.1%	-798.7K	-10.7M	-462.5K	0.90	35.06	2,571	2,302	34,929	48,568
2010-11-16	$63.64	$65.00	51.0%	14.6%	50.7%	44.9%	52.9%	9.6%	0.4%	-1.4M	14.5M	-461.1K	1.52	29.91	2,583	3,934	35,444	48,765
2010-11-17	$63.75	$65.00	50.7%	14.5%	50.5%	44.5%	51.8%	7.4%	0.4%	-1.4M	13.3M	-449.3K	2.17	29.27	831	1,804	34,994	48,571
2010-11-18	$66.78	$65.00	49.6%	14.2%	52.3%	42.5%	50.3%	8.5%	0.7%	283.9K	-45.5M	-433.5K	1.18	22.35	2,607	3,084	34,999	47,568
2010-11-19	$67.83	$65.00	45.2%	13.0%	52.4%	34.4%	47.8%	6.4%	2.4%	623.6K	-59.3M	-418.6K	1.14	21.31	1,982	2,252	35,212	48,494