OPEN Options History — July 2011

In July 2011, OPEN traded between $70.86 and $89.56. ATM implied volatility averaged 58.3%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 7.6% (HV 20d: 50.7%). Max pain ranged from $72.50 to $80.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2011-07-05: Highest Volume — 22,443 contracts
  • 2011-07-14: Largest IV spike — 52.9% change
  • 2011-07-29: Highest IV Rank — 63.3%
  • 2011-07-13: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.88$70.86$89.56$82.56$70.86
Max Pain$79.63$72.50$80.00$80.00$80.00
ATM IV58.3%40.8%69.1%42.3%69.1%
Expected Move18.3%12.1%19.9%12.1%19.8%
HV 20d50.7%42.7%54.9%42.7%50.9%
HV 60d58.6%47.1%61.0%56.5%47.1%
IV Rank43.0%10.1%63.3%13.0%63.3%
IV Percentile64.1%2.8%97.2%5.2%97.2%
Term Structure-5.8%-14.0%10.5%10.5%-6.0%
VWIV64.1%44.2%69.8%44.2%69.8%
Skew 25d6.7%3.2%10.4%7.1%7.1%
Skew 10d12.8%8.3%16.5%15.3%11.6%
Call IV 25d60.7%39.4%66.5%39.4%66.1%
Put IV 25d67.5%46.5%73.2%46.5%73.2%
Bid-Ask Spread %18.9310.4732.1728.2230.38
Gamma HHI0.140.100.220.100.11
Net GEX-538.9K-2.8M1.3M237.5K-621.4K
Net DEX19.8M-69.9M101.4M-10.4M49.4M
Net VEX-462.3K-535.6K-419.3K-455.7K-419.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.192.831.040.99
Total Volume5,898.151,65022,4432,7086,194
Total OI55,854.2538,63374,23357,85149,108

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$82.56$80.0042.3%12.1%42.7%13.0%44.2%7.1%10.5%237.5K-10.4M-455.7K1.0428.221,3291,37928,78929,062
2011-07-05$89.56$72.5047.5%17.3%47.8%22.8%63.2%8.7%-6.7%1.3M-69.9M-453.6K0.7713.9412,6929,75128,86629,065
2011-07-06$87.58$80.0048.0%17.5%48.7%23.6%62.8%7.8%-7.0%587.5K-48.1M-510.1K1.9015.234,1407,85130,96134,198
2011-07-07$87.18$80.0043.3%17.1%48.3%14.8%60.7%7.4%-3.7%348.5K-37.5M-535.6K0.7616.004,2623,23632,23937,406
2011-07-08$87.09$80.0040.8%16.8%47.4%10.1%59.8%7.9%-5.2%118.0K-37.0M-522.7K0.5516.063,2441,77432,69737,525
2011-07-11$83.72$80.0049.2%18.2%48.3%25.9%62.4%6.5%-10.6%-780.4K5.3M-514.5K0.9317.052,4112,25233,02637,743
2011-07-12$82.71$80.0045.9%17.6%48.1%19.7%61.3%6.4%-6.0%-1.2M16.9M-491.0K0.4713.212,5791,22233,40438,123
2011-07-13$79.43$80.0044.7%19.9%49.5%17.5%65.6%10.4%-14.0%-1.6M53.2M-471.0K1.2618.613,8304,83334,08637,976
2011-07-14$75.03$80.0068.4%19.6%53.4%62.0%66.0%7.5%-13.7%-2.8M101.4M-441.2K0.7414.136,6374,91734,74238,855
2011-07-15$78.09$80.0064.6%18.5%54.9%55.0%63.7%8.7%-8.3%-268.4K67.0M-451.2K1.0410.473,9714,13035,23039,003
2011-07-18$76.14$80.0066.6%19.1%53.5%58.7%66.4%7.7%-6.8%-665.2K29.2M-438.3K0.9811.491,3241,29117,46621,167
2011-07-19$77.01$80.0066.3%19.0%53.5%58.1%66.5%7.0%-5.5%-678.4K25.9M-453.0K0.6312.201,22276617,70921,944
2011-07-20$77.80$80.0065.4%18.7%52.0%56.4%65.9%5.8%-2.1%-665.9K22.7M-458.9K1.2612.851,3951,75118,15122,384
2011-07-21$74.30$80.0067.6%19.4%53.8%60.5%67.6%3.2%-11.9%-662.5K34.6M-440.1K0.5318.902,5041,32818,77122,491
2011-07-22$75.04$80.0068.3%19.6%53.7%61.8%66.9%6.6%-8.1%-571.9K31.4M-452.0K0.1919.471,62931319,98423,077
2011-07-25$73.83$80.0068.9%19.8%53.3%63.0%69.2%5.3%-3.4%-550.6K33.4M-436.7K2.8324.756101,72620,50223,178
2011-07-26$74.56$80.0068.2%19.5%53.3%61.6%67.9%5.4%-4.7%-723.8K35.1M-448.5K0.5025.781,10055020,77224,437
2011-07-27$72.18$80.0065.9%18.9%50.2%57.3%65.3%4.2%-2.5%-789.6K47.3M-421.7K1.8627.791,0231,90621,33424,687
2011-07-28$72.90$80.0064.8%18.6%50.4%55.4%67.0%4.1%0.4%-854.9K46.3M-431.8K0.3932.173,5151,37621,50225,425
2011-07-29$70.86$80.0069.1%19.8%50.9%63.3%69.8%7.1%-6.0%-621.4K49.4M-419.3K0.9930.383,1113,08323,52325,585