OPEN Options History — March 2011

In March 2011, OPEN traded between $85.21 and $106.92. ATM implied volatility averaged 48.2%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 6.4% (HV 20d: 41.8%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 12 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.41.

Notable Days

2011-03-25: Highest Volume — 20,149 contracts
2011-03-25: Largest IV spike — 11.4% change
2011-03-10: Highest IV Rank — 41.1%
2011-03-09: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$92.97	$85.21	$106.92	$85.21	$106.35
Max Pain	$85.00	$80.00	$95.00	$90.00	$95.00
ATM IV	48.2%	42.2%	52.0%	51.0%	47.1%
Expected Move	13.9%	12.1%	15.1%	14.6%	13.5%
HV 20d	41.8%	32.9%	48.1%	46.6%	33.7%
HV 60d	42.7%	40.1%	46.8%	46.8%	40.1%
IV Rank	34.9%	25.3%	41.1%	39.5%	33.2%
IV Percentile	44.9%	18.7%	64.3%	60.3%	37.3%
Term Structure	3.7%	0.3%	8.9%	2.6%	7.5%
VWIV	49.6%	43.7%	55.0%	52.1%	50.0%
Skew 25d	5.2%	1.3%	7.0%	1.3%	6.7%
Skew 10d	10.4%	1.2%	14.2%	1.2%	11.5%
Call IV 25d	46.8%	40.6%	52.8%	52.8%	44.1%
Put IV 25d	52.0%	46.1%	56.3%	54.1%	50.8%
Bid-Ask Spread %	33.32	22.02	43.32	26.20	23.39
Gamma HHI	0.15	0.11	0.47	0.12	0.15
Net GEX	390.2K	-1.1M	3.5M	-746.7K	1.1M
Net DEX	-78.2M	-175.3M	-17.1M	-17.1M	-165.0M
Net VEX	-552.2K	-661.3K	-484.9K	-566.5K	-661.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.41	0.55	3.06	3.06	1.45
Total Volume	7,129.609	2,948	20,149	13,485	8,746
Total OI	72,850.739	53,689	82,452	70,802	77,737

Daily Data (23 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
2011-03-01	$85.21	$90.00	51.0%	14.6%	46.6%	39.5%	52.1%	1.3%	2.6%	-746.7K	-17.1M	-566.5K	3.06	26.20	3,321	10,164	29,125	41,677
2011-03-02	$86.07	$90.00	51.3%	14.7%	45.0%	39.9%	52.0%	2.1%	2.0%	-1.1M	-17.5M	-577.1K	2.70	35.45	1,015	2,736	29,993	44,751
2011-03-03	$89.11	$90.00	48.1%	13.8%	46.3%	34.9%	48.9%	3.2%	2.9%	-489.7K	-44.4M	-570.8K	2.03	35.69	1,892	3,849	29,653	44,057
2011-03-04	$89.99	$80.00	48.4%	14.4%	45.4%	35.3%	53.2%	4.7%	2.1%	-289.7K	-53.9M	-563.5K	2.33	34.60	985	2,295	30,130	44,697
2011-03-07	$86.58	$80.00	50.5%	15.0%	47.8%	38.7%	51.5%	5.2%	1.9%	-1.1M	-19.1M	-535.7K	2.55	37.08	2,003	5,110	30,478	45,103
2011-03-08	$87.25	$80.00	49.9%	14.9%	47.8%	37.7%	50.3%	5.9%	2.3%	-1.1M	-24.3M	-546.1K	0.58	37.10	3,455	1,996	30,817	45,535
2011-03-09	$87.50	$80.00	50.1%	15.1%	47.8%	38.0%	52.7%	5.3%	0.9%	-716.6K	-31.8M	-556.4K	1.15	39.90	1,468	1,693	32,193	45,869
2011-03-10	$88.94	$80.00	52.0%	14.9%	48.1%	41.1%	55.0%	6.1%	0.3%	-179.0K	-48.4M	-565.6K	0.75	38.56	2,146	1,618	32,710	46,158
2011-03-11	$91.53	$80.00	50.8%	14.6%	43.1%	39.1%	52.1%	5.4%	1.6%	1.0M	-88.4M	-546.8K	0.79	37.71	3,809	3,021	33,345	45,883
2011-03-14	$88.62	$80.00	51.1%	14.6%	42.4%	39.6%	52.3%	6.7%	1.0%	-196.6K	-51.4M	-535.7K	1.10	43.32	2,706	2,979	34,815	46,290
2011-03-15	$88.02	$80.00	48.9%	14.0%	42.2%	36.1%	50.5%	7.0%	2.3%	-272.8K	-48.1M	-537.0K	1.22	41.21	1,330	1,618	35,334	47,118
2011-03-16	$88.46	$80.00	51.0%	14.6%	42.2%	39.4%	51.7%	6.2%	0.5%	-118.7K	-53.0M	-531.2K	1.67	36.01	2,146	3,588	35,104	46,800
2011-03-17	$90.33	$80.00	50.4%	14.5%	43.0%	38.5%	51.1%	6.2%	0.8%	867.4K	-77.2M	-511.0K	1.69	34.18	1,862	3,155	34,640	45,886
2011-03-18	$90.02	$80.00	48.4%	13.9%	43.0%	35.3%	49.0%	5.0%	1.9%	3.5M	-74.1M	-501.5K	0.97	31.83	3,464	3,344	34,595	46,725
2011-03-21	$92.15	$85.00	44.9%	12.9%	42.3%	29.6%	45.1%	5.1%	6.2%	458.3K	-74.4M	-484.9K	0.55	37.36	3,861	2,125	20,658	33,031
2011-03-22	$92.63	$85.00	42.2%	12.1%	38.9%	25.3%	43.7%	5.1%	7.3%	811.3K	-79.6M	-491.5K	1.10	26.99	1,423	1,563	21,746	33,956
2011-03-23	$95.19	$85.00	46.0%	13.2%	38.3%	31.4%	46.9%	7.0%	4.4%	920.6K	-93.3M	-509.3K	0.72	29.07	3,168	2,281	21,972	34,631
2011-03-24	$98.65	$85.00	42.3%	12.1%	35.8%	25.5%	44.6%	6.4%	8.9%	1.3M	-120.2M	-526.7K	0.78	22.74	5,567	4,353	23,363	36,164
2011-03-25	$101.69	$90.00	47.1%	13.5%	36.9%	33.2%	47.1%	3.9%	6.7%	1.4M	-145.0M	-541.4K	0.83	22.56	10,983	9,166	24,836	38,076
2011-03-28	$104.29	$90.00	47.3%	13.6%	36.9%	33.6%	48.5%	5.5%	7.3%	1.3M	-158.4M	-601.0K	0.85	33.90	6,850	5,790	28,586	42,183
2011-03-29	$102.92	$95.00	43.9%	12.6%	32.9%	27.9%	45.7%	4.2%	6.2%	1.0M	-139.4M	-623.4K	2.30	39.63	2,918	6,718	29,903	43,833
2011-03-30	$106.92	$95.00	45.1%	12.9%	34.4%	29.9%	46.2%	5.6%	7.7%	1.6M	-175.3M	-615.8K	1.16	22.02	4,495	5,206	29,992	45,419
2011-03-31	$106.35	$95.00	47.1%	13.5%	33.7%	33.2%	50.0%	6.7%	7.5%	1.1M	-165.0M	-661.3K	1.45	23.39	3,577	5,169	30,727	47,010