OPEN Options History — May 2011

In May 2011, OPEN traded between $83.85 and $113.83. ATM implied volatility averaged 49.7%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 24.5% (HV 20d: 74.2%). Max pain ranged from $90.00 to $110.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2011-05-04: Highest Volume — 36,832 contracts
  • 2011-05-04: Largest IV drop — 33.0% change
  • 2011-05-03: Highest IV Rank — 71.3%
  • 2011-05-03: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.79$83.85$113.83$113.83$88.33
Max Pain$99.05$90.00$110.00$105.00$100.00
ATM IV49.7%41.9%70.7%65.6%47.3%
Expected Move14.5%12.7%20.3%18.8%13.6%
HV 20d74.2%41.4%80.3%41.4%76.0%
HV 60d53.6%40.0%56.0%40.0%54.6%
IV Rank33.5%16.8%71.3%62.9%22.5%
IV Percentile39.9%10.3%96.8%89.7%29.0%
Term Structure0.4%-12.7%6.8%-7.1%0.9%
VWIV50.9%44.3%69.9%68.4%46.3%
Skew 25d3.7%0.7%6.8%6.8%4.1%
Skew 10d7.2%2.8%13.8%13.8%9.3%
Call IV 25d49.1%42.0%68.7%63.3%44.9%
Put IV 25d52.8%47.4%72.2%70.2%49.0%
Bid-Ask Spread %17.9912.5624.7913.3917.99
Gamma HHI0.180.070.900.070.13
Net GEX-4.2M-41.7M-91.9K-91.9K-541.7K
Net DEX49.8M-104.8M140.4M-104.8M17.4M
Net VEX-659.3K-804.6K-370.8K-782.7K-370.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.613.441.101.42
Total Volume9,003.1432,47736,8328,0784,416
Total OI77,770.33339,93394,24067,43339,933

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$113.83$105.0065.6%18.8%41.4%62.9%68.4%6.8%-7.1%-91.9K-104.8M-782.7K1.1013.393,8474,23127,60939,824
2011-05-03$105.00$110.0070.7%20.3%50.2%71.3%69.9%3.5%-12.7%-1.3M-39.4M-804.6K0.9618.0011,61511,15528,60741,245
2011-05-04$89.35$110.0047.4%13.6%75.5%33.7%49.2%5.7%2.0%-3.8M116.9M-683.2K1.2612.5616,28220,55034,27444,153
2011-05-05$90.98$105.0048.0%13.8%75.4%34.7%50.5%5.3%3.4%-2.7M80.8M-760.1K1.1817.564,3455,10638,34446,887
2011-05-06$90.70$100.0046.5%14.3%74.4%30.0%50.2%2.4%1.2%-2.5M80.1M-762.4K0.6116.024,4642,73639,68046,376
2011-05-09$94.30$100.0047.1%14.4%76.2%30.9%50.8%0.7%0.2%-1.7M43.7M-741.5K0.7815.763,3212,60040,03346,027
2011-05-10$96.47$100.0044.3%14.2%76.9%26.3%50.3%3.0%1.4%-839.5K12.0M-741.7K1.2117.583,2243,89640,77346,158
2011-05-11$96.49$100.0041.9%13.8%76.8%22.2%48.4%2.7%1.6%-858.8K10.7M-749.9K2.6916.731,7874,80041,33647,293
2011-05-12$93.13$100.0049.9%14.3%77.4%35.5%49.0%1.7%-2.6%-2.6M59.3M-727.2K2.8417.082,1736,17241,58049,840
2011-05-13$93.05$100.0049.8%14.3%77.3%35.3%46.4%1.9%-1.2%-3.1M58.8M-703.1K1.2718.481,3081,66741,44350,637
2011-05-16$87.06$100.0049.6%14.2%80.1%35.1%50.1%3.1%3.5%-5.5M138.1M-638.3K1.2817.616,2448,02241,53351,041
2011-05-17$87.45$97.5050.6%14.5%79.3%36.7%50.3%3.2%0.6%-5.8M140.4M-634.4K1.4218.803,0344,29542,13351,816
2011-05-18$89.71$97.5047.8%13.7%80.3%32.1%48.3%3.8%1.3%-5.1M102.6M-635.6K1.0019.642,8962,89842,79251,448
2011-05-19$91.30$95.0047.8%13.7%78.5%32.0%47.4%4.5%1.6%-3.7M71.8M-612.2K1.1622.203,0453,52941,70750,700
2011-05-20$90.14$95.0045.2%12.9%76.6%27.6%45.8%3.1%2.1%-41.7M80.2M-597.0K2.1722.072,3785,16842,23051,126
2011-05-23$84.75$95.0052.8%15.1%78.3%40.4%52.7%1.7%-1.0%-985.9K38.0M-548.5K3.4424.792,3748,17824,07129,140
2011-05-24$83.85$95.0049.7%14.2%76.4%26.9%50.6%3.9%1.2%-1.5M52.1M-564.9K1.1316.251,7782,00724,81332,703
2011-05-25$85.79$95.0051.4%14.7%76.7%30.0%51.7%6.6%0.0%-1.2M41.9M-576.6K1.4217.873,1174,42725,62133,030
2011-05-26$87.80$90.0046.1%13.2%77.7%20.1%47.6%4.1%6.8%-964.9K24.5M-604.3K1.2319.151,5741,93027,13834,956
2011-05-27$88.14$90.0044.4%12.7%76.9%16.8%44.3%5.4%4.8%-964.5K20.4M-606.9K0.8618.321,3331,14427,57335,554
2011-05-31$88.33$100.0047.3%13.6%76.0%22.5%46.3%4.1%0.9%-541.7K17.4M-370.8K1.4217.991,8262,59017,61422,319