OPEN Options History — September 2011

In September 2011, OPEN traded between $43.55 and $62.73. ATM implied volatility averaged 70.0%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 1.6% (HV 20d: 71.5%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2011-09-08: Highest Volume — 26,549 contracts
  • 2011-09-14: Largest IV drop — 12.3% change
  • 2011-09-12: Highest IV Rank — 81.3%
  • 2011-09-22: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.74$43.55$62.73$58.25$46.01
Max Pain$65.24$60.00$70.00$62.50$60.00
ATM IV70.0%62.0%78.6%63.9%66.3%
Expected Move20.0%18.3%22.5%18.3%19.0%
HV 20d71.5%63.4%80.2%70.7%78.3%
HV 60d61.5%56.2%66.7%56.7%65.7%
IV Rank63.1%47.0%81.3%53.6%53.6%
IV Percentile91.5%77.0%98.4%83.7%81.3%
Term Structure2.2%-8.0%11.2%4.4%4.9%
VWIV70.1%64.7%76.1%65.1%68.0%
Skew 25d13.1%9.8%15.6%12.4%13.1%
Skew 10d26.4%19.7%31.7%23.2%25.6%
Call IV 25d64.2%58.3%74.2%58.5%61.9%
Put IV 25d77.3%70.9%85.8%70.9%75.0%
Bid-Ask Spread %24.9711.1656.0747.4816.93
Gamma HHI0.100.080.140.110.09
Net GEX39.4K-240.8K499.6K29.1K289.5K
Net DEX24.6M-13.0M52.7M9.5M27.1M
Net VEX-665.5K-761.4K-555.2K-725.8K-616.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.143.111.370.40
Total Volume5,148.6191,07926,5492,6314,053
Total OI70,790.38162,09181,72664,17178,244

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$58.25$62.5063.9%18.3%70.7%53.6%65.1%12.4%4.4%29.1K9.5M-725.8K1.3747.481,1121,51938,64525,526
2011-09-02$57.52$62.5065.6%18.8%70.5%56.8%65.8%13.2%1.3%-22.3K14.3M-714.4K1.6148.7341466539,22925,797
2011-09-06$59.34$70.0069.9%18.8%66.5%64.9%65.7%14.4%-2.9%181.2K4.3M-728.5K1.4956.077191,06839,23525,625
2011-09-07$62.73$70.0066.4%18.7%67.6%58.3%67.4%14.4%-2.9%459.7K-13.0M-761.4K0.1442.622,12030439,36425,904
2011-09-08$57.50$70.0071.8%20.5%69.6%68.5%74.6%15.6%-8.0%4.6K16.5M-694.5K1.1551.2712,36214,18740,19325,912
2011-09-09$55.24$70.0072.4%20.8%70.3%69.6%74.1%14.8%-2.6%-152.6K30.2M-738.0K0.8148.084,7163,80046,20632,561
2011-09-12$53.54$70.0078.6%21.1%70.7%81.3%74.4%14.2%-5.3%-43.1K37.7M-682.1K1.2814.511,4431,84746,53231,499
2011-09-13$55.71$70.0070.7%20.2%71.7%66.4%69.7%13.1%-1.6%241.4K23.8M-708.6K0.5911.161,45686346,95131,397
2011-09-14$56.83$67.5062.0%19.7%72.1%47.0%69.3%15.0%-3.0%492.0K14.3M-725.5K0.6715.361,9161,28847,57631,604
2011-09-15$56.17$67.5068.7%19.7%69.7%60.3%69.3%14.3%-3.4%499.6K22.2M-703.2K1.6717.732,2493,76547,91431,632
2011-09-16$53.48$65.0069.3%19.9%65.3%61.2%70.4%11.5%-1.0%-44.6K52.7M-660.7K3.1119.081,5404,79448,82732,899
2011-09-19$51.87$65.0068.6%19.7%66.1%59.5%67.0%14.7%8.5%-61.0K24.7M-641.5K0.6613.392,4251,60937,05125,040
2011-09-20$49.64$65.0069.7%20.0%67.3%61.4%70.8%10.0%9.9%-106.2K27.3M-622.1K1.0314.532,6122,70037,94725,403
2011-09-21$48.18$62.5070.1%20.1%63.4%61.5%67.8%9.8%7.6%-240.8K35.0M-600.5K0.5815.973,8942,27038,07326,851
2011-09-22$43.55$65.0078.4%22.5%70.9%78.9%76.1%11.6%11.2%-226.6K43.2M-555.2K1.5815.371,3882,18939,62527,977
2011-09-23$47.67$60.0076.3%21.9%80.2%74.4%71.6%11.2%2.1%-146.5K34.9M-605.9K1.1014.872,0412,24740,72627,985
2011-09-26$49.42$62.5073.1%21.0%77.4%67.8%75.9%12.5%5.1%-143.2K27.8M-639.7K0.5416.581,34973040,65128,315
2011-09-27$50.12$62.5070.9%20.3%76.4%63.2%73.0%12.2%9.5%-36.7K21.4M-643.1K1.4815.3853278541,11527,859
2011-09-28$46.87$62.5071.6%20.5%78.6%64.7%71.5%11.3%3.1%-175.7K31.9M-603.1K0.2415.744,7071,13041,19928,076
2011-09-29$47.86$60.0065.4%18.8%78.7%51.9%64.7%15.1%9.3%29.4K29.8M-605.5K0.3813.465,3141,99944,95328,480
2011-09-30$46.01$60.0066.3%19.0%78.3%53.6%68.0%13.1%4.9%289.5K27.1M-616.3K0.4016.932,8971,15649,05229,192