OPEN Options History — August 2011

In August 2011, OPEN traded between $56.30 and $70.22. ATM implied volatility averaged 63.9%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 5.1% (HV 20d: 58.8%). Max pain ranged from $62.50 to $80.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.08.

Notable Days

2011-08-05: Highest Volume — 21,401 contracts
2011-08-03: Largest IV drop — 36.6% change
2011-08-02: Highest IV Rank — 89.7%
2011-08-02: Largest Expected Move — 23.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.25	$56.30	$70.22	$70.22	$61.01
Max Pain	$66.85	$62.50	$80.00	$80.00	$62.50
ATM IV	63.9%	52.7%	83.1%	74.5%	61.7%
Expected Move	18.3%	15.1%	23.8%	21.3%	17.7%
HV 20d	58.8%	38.4%	73.0%	50.9%	72.0%
HV 60d	52.1%	46.9%	56.1%	46.9%	56.0%
IV Rank	53.6%	32.5%	89.7%	73.4%	49.5%
IV Percentile	83.8%	68.7%	99.2%	98.0%	80.2%
Term Structure	-2.9%	-15.3%	3.0%	-10.6%	-2.6%
VWIV	64.4%	53.6%	82.5%	74.6%	58.2%
Skew 25d	11.0%	5.8%	15.4%	6.9%	13.7%
Skew 10d	22.3%	11.7%	44.5%	11.7%	26.3%
Call IV 25d	60.0%	50.7%	77.9%	72.5%	54.6%
Put IV 25d	71.0%	58.1%	89.6%	79.4%	68.4%
Bid-Ask Spread %	42.07	21.86	56.29	36.80	56.29
Gamma HHI	0.12	0.08	0.28	0.10	0.10
Net GEX	-288.3K	-1.4M	534.4K	-578.0K	181.0K
Net DEX	47.4M	-18.5M	106.7M	50.7M	-2.5M
Net VEX	-591.3K	-779.5K	-313.9K	-424.9K	-740.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.20	2.41	0.87	0.42
Total Volume	6,196.609	1,207	21,401	6,441	7,532
Total OI	68,649.087	47,414	83,355	52,577	61,092

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
2011-08-01	$70.22	$80.00	74.5%	21.3%	50.9%	73.4%	74.6%	6.9%	-10.6%	-578.0K	50.7M	-424.9K	0.87	36.80	3,441	3,000	25,451	27,126
2011-08-02	$68.90	$80.00	83.1%	23.8%	38.4%	89.7%	82.5%	11.7%	-15.3%	-636.7K	55.4M	-423.3K	0.74	21.86	11,185	8,242	26,068	28,106
2011-08-03	$65.08	$75.00	52.7%	15.1%	41.4%	32.5%	53.6%	7.4%	2.2%	-1.4M	100.8M	-364.2K	0.94	31.64	8,792	8,265	32,934	33,115
2011-08-04	$61.28	$75.00	58.7%	16.8%	44.2%	43.8%	58.3%	7.2%	0.5%	-1.0M	106.7M	-313.9K	1.92	29.83	2,030	3,906	34,261	31,487
2011-08-05	$62.05	$70.00	57.9%	16.9%	45.1%	42.3%	58.3%	10.9%	3.0%	-778.2K	97.7M	-319.0K	0.82	42.53	11,728	9,673	34,353	30,364
2011-08-08	$57.67	$70.00	72.0%	19.1%	48.8%	68.7%	67.7%	9.4%	-0.7%	-918.9K	100.0M	-568.3K	0.55	43.92	5,990	3,301	43,110	35,926
2011-08-09	$60.32	$65.00	57.5%	18.5%	53.7%	41.5%	65.4%	8.0%	-2.3%	-640.4K	83.5M	-593.0K	0.90	55.01	1,637	1,470	44,547	35,289
2011-08-10	$64.66	$65.00	69.1%	19.1%	60.7%	63.3%	66.8%	13.5%	1.9%	-126.5K	42.8M	-672.3K	0.48	40.29	4,124	1,981	45,060	35,208
2011-08-11	$65.48	$65.00	66.4%	19.0%	58.6%	58.4%	66.8%	7.9%	-5.2%	13.6K	40.5M	-680.9K	0.74	39.45	1,205	888	46,859	35,241
2011-08-12	$64.90	$65.00	62.3%	17.9%	56.0%	50.5%	62.5%	5.8%	-1.9%	-145.9K	46.3M	-662.0K	1.70	41.67	530	901	46,900	35,461
2011-08-15	$66.75	$65.00	58.1%	16.7%	57.1%	42.6%	60.7%	8.1%	2.4%	-18.8K	34.4M	-653.9K	0.66	36.00	1,399	923	46,824	35,487
2011-08-16	$65.14	$65.00	57.3%	16.4%	57.0%	41.1%	62.4%	6.0%	2.4%	-291.3K	47.0M	-624.3K	1.22	35.00	654	795	46,922	35,207
2011-08-17	$61.55	$65.00	60.9%	17.5%	59.1%	47.9%	59.0%	10.7%	-7.8%	-601.5K	72.5M	-581.5K	1.20	43.92	1,960	2,360	46,938	35,094
2011-08-18	$56.56	$65.00	70.5%	20.2%	63.5%	66.0%	68.3%	11.5%	-5.2%	-791.0K	105.4M	-511.5K	0.83	46.01	4,287	3,545	47,707	35,648
2011-08-19	$56.30	$65.00	69.4%	19.9%	62.9%	64.0%	67.0%	13.6%	-6.0%	-422.4K	104.6M	-502.1K	1.74	51.16	1,005	1,744	47,543	35,517
2011-08-22	$56.94	$65.00	69.7%	20.0%	63.6%	64.4%	68.6%	15.2%	-6.1%	-88.7K	24.2M	-499.7K	0.45	44.11	7,317	3,293	27,867	19,547
2011-08-23	$60.25	$62.50	65.3%	18.7%	67.8%	56.3%	67.9%	15.4%	-5.8%	207.1K	2.2M	-725.7K	2.41	45.98	1,074	2,590	33,657	22,357
2011-08-24	$58.96	$62.50	62.1%	17.8%	67.5%	50.1%	64.4%	14.5%	-1.9%	21.1K	8.3M	-716.9K	1.60	43.82	494	792	33,942	23,319
2011-08-25	$58.09	$62.50	68.3%	19.6%	67.1%	61.8%	67.4%	15.2%	-0.5%	54.0K	5.7M	-714.8K	0.20	49.22	2,488	505	34,197	23,371
2011-08-26	$61.93	$62.50	59.7%	17.1%	71.8%	45.8%	62.2%	14.1%	-5.3%	331.6K	-4.8M	-751.3K	2.14	39.40	882	1,887	35,548	23,471
2011-08-29	$63.80	$62.50	56.7%	16.2%	73.0%	40.0%	61.0%	14.7%	-0.7%	461.1K	-13.7M	-779.5K	1.16	39.68	693	807	36,014	24,480
2011-08-30	$64.00	$62.50	56.2%	16.1%	72.8%	39.2%	57.0%	11.5%	-1.8%	534.4K	-18.5M	-776.2K	1.22	53.97	543	664	36,065	24,249
2011-08-31	$61.01	$62.50	61.7%	17.7%	72.0%	49.5%	58.2%	13.7%	-2.6%	181.0K	-2.5M	-740.0K	0.42	56.29	5,322	2,210	36,333	24,759