OPEN Options History — January 2011

In January 2011, OPEN traded between $68.76 and $81.39. ATM implied volatility averaged 56.4%, placing in the 55.0% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 8.9% (HV 20d: 47.5%). Max pain ranged from $67.50 to $80.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2011-01-05: Highest Volume — 18,248 contracts
  • 2011-01-13: Largest IV spike — 34.7% change
  • 2011-01-26: Highest IV Rank — 74.7%
  • 2011-01-26: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.06$68.76$81.39$70.65$78.62
Max Pain$74.63$67.50$80.00$67.50$80.00
ATM IV56.4%42.5%67.1%44.9%66.8%
Expected Move17.0%12.6%19.2%12.9%19.1%
HV 20d47.5%42.1%56.6%50.3%43.0%
HV 60d48.3%46.8%50.1%47.3%47.5%
IV Rank55.0%29.3%74.7%33.8%73.9%
IV Percentile67.9%27.6%94.6%34.1%92.5%
Term Structure-4.0%-13.4%13.0%9.4%-9.7%
VWIV60.2%44.8%69.0%45.8%68.2%
Skew 25d8.9%3.8%11.8%6.4%7.6%
Skew 10d16.7%8.3%23.2%15.2%14.6%
Call IV 25d55.2%42.2%65.0%42.2%65.0%
Put IV 25d64.1%47.1%72.6%48.6%72.6%
Bid-Ask Spread %15.0710.5120.7814.6420.78
Gamma HHI0.170.110.330.140.12
Net GEX1.0M-2.0M2.2M616.5K316.0K
Net DEX-84.8M-170.5M-4.2M-35.8M-37.1M
Net VEX-437.4K-487.7K-383.9K-387.3K-479.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.533.100.533.10
Total Volume7,261.252,74818,2482,8133,605
Total OI73,360.644,51791,10866,32658,036

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$70.65$67.5044.9%12.9%50.3%33.8%45.8%6.4%9.4%616.5K-35.8M-387.3K0.5314.641,83697725,94640,380
2011-01-04$68.76$67.5043.8%12.6%51.7%31.8%44.8%4.3%13.0%192.5K-19.7M-383.9K0.8215.101,5091,23926,41840,785
2011-01-05$73.71$67.5047.1%13.5%56.2%37.8%47.0%3.8%10.4%1.4M-71.3M-385.5K0.6210.5111,2646,98426,60240,357
2011-01-06$76.10$70.0046.7%13.4%56.6%37.1%47.3%5.0%10.3%2.0M-105.9M-446.4K1.0312.773,3703,48231,88943,857
2011-01-07$78.64$70.0044.0%16.3%56.2%32.1%60.3%11.2%-5.2%2.0M-132.6M-448.2K1.0313.045,9726,17832,72145,525
2011-01-10$81.39$75.0048.6%17.2%55.1%40.6%60.4%10.1%-5.8%2.2M-170.5M-431.3K0.9214.515,4985,05934,44448,423
2011-01-11$79.57$75.0042.5%16.5%56.6%29.3%59.6%11.8%-4.5%2.1M-143.9M-460.5K1.6915.482,3964,05035,77151,167
2011-01-12$80.26$75.0042.6%16.7%45.7%29.7%60.5%11.5%-4.9%2.2M-154.0M-456.4K1.0015.082,1462,14136,13352,180
2011-01-13$79.74$75.0057.4%16.5%45.6%56.8%59.0%11.8%-3.1%2.2M-145.1M-451.2K1.4316.221,9002,70836,70152,726
2011-01-14$80.10$75.0058.4%16.7%43.7%58.6%61.4%11.0%-5.3%2.1M-151.9M-448.8K1.1814.941,5721,85437,02053,019
2011-01-18$79.45$75.0060.5%17.3%44.0%62.4%61.9%11.2%-7.3%2.2M-144.9M-425.6K0.5717.533,0091,72037,37953,383
2011-01-19$77.82$75.0061.3%17.6%42.1%64.0%62.8%11.6%-7.8%2.2M-115.7M-423.8K1.0815.185,1205,54936,88353,234
2011-01-20$76.12$75.0067.0%19.2%43.5%74.4%66.4%11.1%-9.9%82.5K-81.9M-422.2K1.9911.903,8977,77234,19754,978
2011-01-21$74.87$80.0063.2%18.1%44.1%67.5%62.3%9.0%-7.3%-2.0M-55.1M-427.7K0.6714.535,9843,99834,87056,238
2011-01-24$74.65$80.0066.2%19.0%43.2%72.9%65.6%10.6%-8.6%-285.8K-4.2M-412.5K0.7819.583,6962,87817,27027,247
2011-01-25$76.80$80.0066.9%19.2%43.8%74.3%66.3%8.0%-13.4%-1.7K-18.8M-439.7K0.6815.775,1573,51919,26128,815
2011-01-26$77.20$75.0067.1%19.2%42.8%74.7%68.5%8.0%-6.5%358.5K-31.2M-461.6K1.1415.551,4471,64522,58729,692
2011-01-27$79.40$75.0066.6%19.1%43.1%73.7%69.0%8.0%-11.2%587.9K-47.9M-467.6K2.6211.492,8787,55323,13630,580
2011-01-28$77.32$80.0066.9%19.2%43.0%74.2%67.5%5.2%-13.3%188.1K-29.1M-487.7K0.7816.852,0571,60623,99133,371
2011-01-31$78.62$80.0066.8%19.1%43.0%73.9%68.2%7.6%-9.7%316.0K-37.1M-479.9K3.1020.788792,72624,35933,677