OPEN Options History — April 2011

In April 2011, OPEN traded between $104.74 and $115.62. ATM implied volatility averaged 52.9%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 18.3% (HV 20d: 34.6%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2011-04-06: Highest Volume — 17,224 contracts
  • 2011-04-14: Largest IV spike — 41.3% change
  • 2011-04-25: Highest IV Rank — 58.6%
  • 2011-04-25: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.74$104.74$115.62$106.22$111.29
Max Pain$102.50$95.00$105.00$95.00$105.00
ATM IV52.9%40.4%62.9%46.5%61.0%
Expected Move16.6%13.3%18.0%13.3%17.5%
HV 20d34.6%29.4%41.5%33.9%40.8%
HV 60d38.3%37.4%40.3%38.0%40.1%
IV Rank42.6%22.4%58.6%32.2%55.5%
IV Percentile54.3%11.5%84.5%34.1%79.8%
Term Structure-3.5%-7.2%6.2%6.2%-2.1%
VWIV59.2%46.9%63.8%46.9%62.7%
Skew 25d5.7%0.7%9.1%7.0%3.5%
Skew 10d11.4%3.0%16.3%13.2%10.6%
Call IV 25d55.3%44.1%60.6%44.1%60.4%
Put IV 25d61.1%51.1%66.1%51.1%63.9%
Bid-Ask Spread %16.1911.6323.9023.9017.67
Gamma HHI0.130.070.750.130.07
Net GEX728.4K-684.1K10.8M626.5K-450.1K
Net DEX-124.8M-197.5M-67.1M-155.7M-80.1M
Net VEX-701.8K-781.9K-656.0K-679.9K-781.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.712.770.721.36
Total Volume6,930.13,02817,2246,0516,292
Total OI75,136.349,24794,58380,80265,267

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$106.22$95.0046.5%13.3%33.9%32.2%46.9%7.0%6.2%626.5K-155.7M-679.9K0.7223.903,5142,53731,13349,669
2011-04-04$108.87$95.0047.3%15.6%29.4%33.5%57.3%7.3%-2.8%1.2M-184.9M-660.8K0.8516.603,6763,12432,22450,356
2011-04-05$109.63$100.0044.6%15.5%29.4%29.1%58.4%7.0%-3.6%1.5M-197.5M-656.0K1.8114.582,7584,97933,36651,685
2011-04-06$105.71$100.0047.6%16.9%33.9%34.0%59.4%7.9%-5.4%613.0K-151.5M-685.6K2.4515.844,99312,23133,51651,872
2011-04-07$108.58$100.0044.8%16.7%34.4%29.4%60.8%7.4%-7.2%733.8K-169.0M-705.6K2.5514.022,1645,50834,07955,088
2011-04-08$109.24$100.0040.4%16.4%33.7%22.4%58.1%9.1%-5.0%630.7K-175.1M-722.4K1.1516.132,5762,96634,58557,375
2011-04-11$107.84$100.0044.5%16.1%31.1%29.1%58.5%6.4%-4.9%277.1K-160.0M-705.1K1.6512.971,6662,75134,90957,821
2011-04-12$106.28$100.0047.7%16.9%31.8%34.2%57.6%6.9%-5.7%236.1K-145.3M-692.7K2.1611.831,5443,33334,90658,008
2011-04-13$106.98$105.0041.8%17.1%31.8%24.6%59.4%7.6%-6.8%408.2K-149.9M-670.4K2.7712.851,6144,46734,48857,699
2011-04-14$104.74$105.0059.0%16.9%33.2%52.3%61.3%6.9%-4.5%-46.4K-117.1M-682.5K1.8814.053,2036,00934,45058,443
2011-04-15$105.00$105.0058.1%16.6%33.1%50.8%59.0%6.9%-3.5%10.8M-122.3M-680.6K1.5211.632,9424,46434,47760,106
2011-04-18$107.62$105.0057.9%16.6%33.1%50.6%60.5%4.7%-4.1%-335.2K-68.1M-664.2K2.1819.361,9034,14319,95929,288
2011-04-19$106.40$105.0058.2%16.7%33.8%51.0%58.5%1.1%-2.3%-357.2K-67.1M-676.9K1.0016.272,3612,35020,88130,598
2011-04-20$111.29$105.0057.4%16.5%35.8%49.8%58.1%3.9%-2.8%25.8K-95.1M-686.9K0.7117.973,3502,39321,88831,469
2011-04-21$115.30$105.0056.6%16.2%35.7%48.5%58.7%5.7%-2.6%419.3K-119.6M-685.8K1.6518.203,1335,15822,86032,409
2011-04-25$115.62$105.0062.9%18.0%34.7%58.6%63.8%7.5%-6.4%147.2K-118.8M-707.2K1.6619.633,3115,49823,60834,955
2011-04-26$108.70$105.0060.7%17.4%41.5%55.0%62.0%0.7%-0.6%-684.1K-71.1M-749.9K1.4117.413,8115,36124,76636,831
2011-04-27$110.67$105.0060.9%17.4%41.5%55.4%60.9%5.0%-2.9%-505.5K-78.9M-770.2K0.9016.161,8391,65225,49737,795
2011-04-28$108.72$105.0061.2%17.6%40.0%55.9%61.7%2.2%-3.1%-651.4K-69.1M-770.5K0.9116.771,5881,44026,08738,313
2011-04-29$111.29$105.0061.0%17.5%40.8%55.5%62.7%3.5%-2.1%-450.1K-80.1M-781.9K1.3617.672,6643,62826,44638,821