OPEN Options History — June 2011

In June 2011, OPEN traded between $73.99 and $85.66. ATM implied volatility averaged 47.1%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 0.6% (HV 20d: 47.7%). Max pain ranged from $80.00 to $90.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2011-06-07: Highest Volume — 17,328 contracts
  • 2011-06-14: Largest IV drop — 7.1% change
  • 2011-06-13: Highest IV Rank — 27.0%
  • 2011-06-13: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.02$73.99$85.66$83.33$83.12
Max Pain$84.32$80.00$90.00$90.00$82.50
ATM IV47.1%41.9%49.8%48.9%41.9%
Expected Move13.6%12.0%14.3%14.0%12.0%
HV 20d47.7%42.6%73.7%73.7%42.6%
HV 60d56.4%55.4%57.2%55.4%56.9%
IV Rank22.0%12.3%27.0%25.5%12.3%
IV Percentile26.6%4.0%45.2%39.3%4.0%
Term Structure6.2%2.1%11.3%6.7%11.3%
VWIV47.5%41.9%50.7%48.7%41.9%
Skew 25d5.1%-2.5%7.9%0.9%7.3%
Skew 10d10.3%1.8%19.9%2.0%14.7%
Call IV 25d45.6%38.6%54.2%48.4%38.6%
Put IV 25d50.8%45.9%52.9%49.3%45.9%
Bid-Ask Spread %32.0813.2749.8713.2728.96
Gamma HHI0.140.100.460.130.10
Net GEX-1.7M-4.4M398.8K-1.9M285.6K
Net DEX53.7M-14.4M117.3M59.8M-12.9M
Net VEX-469.3K-573.1K-385.0K-562.2K-464.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.482.631.200.60
Total Volume5,133.8641,75017,3285,0572,346
Total OI62,06547,44971,99464,92257,833

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$83.33$90.0048.9%14.0%73.7%25.5%48.7%0.9%6.7%-1.9M59.8M-562.2K1.2013.272,2962,76128,00236,920
2011-06-02$85.66$90.0047.9%13.7%49.2%23.5%47.5%2.9%2.1%-1.6M45.1M-569.4K0.6520.242,6641,73328,56436,918
2011-06-03$85.30$85.0046.8%14.2%48.6%21.3%50.1%5.8%3.2%-1.7M45.5M-573.1K0.6945.742,0621,41729,01537,225
2011-06-06$81.02$85.0047.5%14.2%51.6%22.8%50.7%-2.5%5.8%-2.4M75.0M-511.3K1.3249.872,2712,98928,34636,855
2011-06-07$80.70$85.0048.5%14.0%48.8%24.6%48.5%5.4%4.0%-2.6M86.4M-493.9K1.5831.436,72110,60728,84036,997
2011-06-08$79.53$85.0048.7%14.0%47.5%25.0%49.2%4.6%3.9%-2.4M85.3M-500.1K2.0929.781,2392,59530,92037,871
2011-06-09$81.94$85.0048.0%13.8%49.4%23.8%49.9%7.3%4.4%-2.0M64.3M-511.0K0.8435.472,6602,24531,14738,217
2011-06-10$79.40$85.0048.8%14.0%49.2%25.1%48.4%6.5%4.2%-2.5M85.4M-494.3K1.7134.538891,52431,90738,777
2011-06-13$78.10$85.0049.8%14.3%49.2%27.0%48.5%4.9%4.1%-3.0M100.7M-450.1K1.9038.551,8893,58531,76538,666
2011-06-14$80.22$85.0046.2%13.3%45.7%20.4%45.9%6.2%6.0%-2.6M81.9M-457.6K1.2137.251,7402,09832,12138,978
2011-06-15$79.43$85.0047.4%13.6%45.6%22.5%47.4%4.5%5.1%-2.5M82.2M-456.4K1.5732.191,4242,23433,02538,969
2011-06-16$77.61$85.0048.5%13.9%44.6%24.6%48.0%4.3%5.5%-3.0M98.3M-419.8K1.2335.352,6423,24832,83237,699
2011-06-17$74.41$85.0048.7%14.0%45.2%25.0%48.8%3.9%4.7%-4.4M117.3M-395.9K2.6337.602,0545,39733,51837,338
2011-06-20$73.99$85.0048.2%13.8%45.2%24.1%48.1%5.5%6.3%-1.1M53.8M-385.0K0.5030.764,4142,20122,75024,699
2011-06-21$76.81$85.0046.1%13.2%43.8%20.1%47.2%5.0%6.5%-1.0M36.5M-417.5K1.0527.531,6811,76523,37125,413
2011-06-22$78.57$85.0044.2%12.7%44.8%16.5%44.6%4.3%8.1%-862.3K24.4M-428.0K0.5831.043,4471,98823,99525,591
2011-06-23$79.64$82.5045.3%13.0%44.2%18.6%46.5%7.2%10.1%-524.7K18.1M-444.0K0.7326.442,5931,88925,30426,161
2011-06-24$77.67$80.0046.7%13.4%43.6%21.2%47.5%6.7%9.0%-715.7K28.3M-444.8K0.6230.321,12669326,41727,127
2011-06-27$78.49$80.0048.1%13.8%43.9%23.9%47.4%6.6%8.9%-705.4K25.1M-434.7K0.5531.201,12662426,47027,345
2011-06-28$82.67$80.0045.8%13.1%48.4%19.5%46.5%7.9%9.1%18.3K-4.7M-445.5K0.4830.905,1532,47826,90427,521
2011-06-29$82.91$80.0044.1%12.7%43.9%16.4%43.0%7.7%7.2%398.8K-14.4M-465.8K1.3227.252,7793,65828,77728,320
2011-06-30$83.12$82.5041.9%12.0%42.6%12.3%41.9%7.3%11.3%285.6K-12.9M-464.7K0.6028.961,46488228,63329,200