OPEN Options History — February 2011

In February 2011, OPEN traded between $81.31 and $94.95. ATM implied volatility averaged 56.6%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 18.8% (HV 20d: 37.8%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.29.

Notable Days

  • 2011-02-09: Highest Volume — 40,063 contracts
  • 2011-02-09: Largest IV drop — 49.2% change
  • 2011-02-07: Highest IV Rank — 100.0%
  • 2011-02-02: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.08$81.31$94.95$81.62$88.87
Max Pain$83.68$75.00$90.00$75.00$90.00
ATM IV56.6%45.0%88.6%64.7%50.7%
Expected Move15.3%13.0%19.1%18.5%14.5%
HV 20d37.8%28.7%45.3%42.7%43.5%
HV 60d47.3%45.6%48.6%48.0%45.7%
IV Rank50.8%29.8%100.0%70.1%38.9%
IV Percentile62.9%32.9%100.0%90.8%58.5%
Term Structure-2.4%-12.8%1.8%-4.9%-0.5%
VWIV54.6%46.8%69.9%67.1%51.2%
Skew 25d4.7%0.7%9.3%6.7%1.4%
Skew 10d9.6%0.4%18.9%15.0%3.1%
Call IV 25d52.0%43.7%63.5%62.6%51.1%
Put IV 25d56.8%48.6%72.7%69.2%52.4%
Bid-Ask Spread %26.7616.1534.7325.4626.13
Gamma HHI0.190.110.740.130.13
Net GEX1.2M-13.4M5.5M800.7K404.3K
Net DEX-114.9M-231.3M-27.7M-62.1M-54.8M
Net VEX-535.0K-581.6K-462.7K-472.2K-557.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.484.121.414.12
Total Volume13,083.5264,30940,0634,3486,206
Total OI81,20258,501106,67458,50169,260

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-02-01$81.62$75.0064.7%18.5%42.7%70.1%67.1%6.7%-4.9%800.7K-62.1M-472.2K1.4125.461,8042,54424,72133,780
2011-02-02$81.31$75.0066.6%19.1%40.9%73.6%68.0%7.8%-11.5%835.1K-61.1M-474.5K1.4419.301,7642,54525,31134,307
2011-02-03$83.76$80.0066.2%19.0%35.1%72.9%69.9%9.3%-12.8%1.0M-76.8M-462.7K1.6824.321,9553,28125,57735,363
2011-02-04$84.58$80.0075.8%17.2%33.8%90.5%59.2%9.1%-5.5%766.3K-79.4M-485.8K0.5930.7910,8706,36325,89037,444
2011-02-07$84.80$80.0085.9%18.1%32.2%100.0%63.5%8.1%-6.0%618.1K-78.1M-521.3K0.4830.3712,7696,10429,39541,091
2011-02-08$85.28$80.0088.6%17.8%30.1%100.0%61.9%5.5%-7.1%1.2M-93.2M-555.3K0.9721.9817,73717,15834,84943,679
2011-02-09$85.85$80.0045.0%13.7%28.7%29.8%48.6%6.8%-1.0%2.3M-110.4M-526.1K1.0231.0919,78920,27442,82651,557
2011-02-10$91.68$80.0047.2%13.5%36.1%33.3%47.6%6.3%0.0%4.2M-189.5M-545.4K0.7328.6013,6249,88643,02954,790
2011-02-11$94.95$85.0047.1%13.5%37.1%33.1%49.5%4.8%1.1%5.5M-231.3M-560.5K0.6116.1512,9667,92945,26758,065
2011-02-14$93.58$85.0047.3%13.5%38.0%33.4%50.1%4.3%-0.3%4.5M-208.0M-577.1K0.5724.216,1853,55246,37760,297
2011-02-15$92.55$85.0047.7%13.7%38.2%34.1%48.8%3.2%0.0%3.7M-188.3M-581.6K0.5821.575,8183,37945,35460,606
2011-02-16$92.92$85.0047.1%13.5%36.7%33.2%48.6%4.8%0.1%4.0M-200.2M-552.6K0.6623.903,4122,25245,16860,913
2011-02-17$92.89$85.0045.4%13.0%35.1%30.4%46.8%5.1%1.8%3.7M-187.0M-543.5K1.6128.972,3393,75543,67660,999
2011-02-18$90.04$85.0046.0%13.2%36.9%31.3%46.8%2.7%0.4%-13.4M-152.6M-527.7K0.9632.515,5125,26743,58662,281
2011-02-22$86.20$90.0050.3%14.4%41.2%38.4%51.4%0.7%0.6%565.2K-50.6M-514.1K1.4834.733,3084,90326,56233,545
2011-02-23$84.11$90.0052.4%15.0%41.9%41.8%53.9%0.7%-0.6%59.0K-27.7M-561.2K1.5432.244,4536,87427,94136,079
2011-02-24$88.72$90.0052.2%15.0%45.3%41.4%53.4%1.6%-1.3%709.2K-60.3M-575.8K1.8331.122,6674,89328,35837,650
2011-02-25$89.82$90.0050.2%14.4%44.7%38.2%51.4%1.0%1.5%936.7K-70.9M-569.9K2.2924.951,3523,09828,77738,468
2011-02-28$88.87$90.0050.7%14.5%43.5%38.9%51.2%1.4%-0.5%404.3K-54.8M-557.1K4.1226.131,2134,99328,91440,346