OPEN Options History — October 2011

In October 2011, OPEN traded between $43.24 and $51.65. ATM implied volatility averaged 69.4%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 2.4% (HV 20d: 71.8%). Max pain ranged from $45.00 to $57.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2011-10-04: Highest Volume — 15,265 contracts
  • 2011-10-06: Largest IV drop — 12.6% change
  • 2011-10-31: Highest IV Rank — 87.1%
  • 2011-10-31: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.21$43.24$51.65$44.10$43.86
Max Pain$47.86$45.00$57.50$57.50$47.50
ATM IV69.4%61.9%82.4%67.2%82.4%
Expected Move20.1%17.7%23.6%19.3%23.6%
HV 20d71.8%58.7%80.4%79.1%61.0%
HV 60d68.7%65.7%70.7%65.9%69.9%
IV Rank60.2%44.5%87.1%55.5%87.1%
IV Percentile86.4%70.6%98.8%85.7%98.8%
Term Structure-5.9%-13.6%5.4%3.8%-5.0%
VWIV70.5%61.1%83.0%69.7%83.0%
Skew 25d9.9%2.1%17.7%15.1%5.1%
Skew 10d20.9%1.2%54.0%32.0%4.9%
Call IV 25d67.3%57.5%81.9%64.5%81.9%
Put IV 25d77.2%68.0%87.0%79.6%87.0%
Bid-Ask Spread %24.9916.5234.4216.5229.37
Gamma HHI0.120.100.160.100.10
Net GEX1.6M345.7K2.6M345.7K1.2M
Net DEX-12.4M-67.6M38.6M36.3M25.2M
Net VEX-744.4K-826.2K-564.6K-564.6K-632.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.242.030.540.95
Total Volume6,615.4761,24715,26512,3289,482
Total OI108,249.8180,054129,91180,05499,876

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$44.10$57.5067.2%19.3%79.1%55.5%69.7%15.1%3.8%345.7K36.3M-564.6K0.5416.528,0264,30251,02829,026
2011-10-04$43.24$55.0066.9%19.2%77.3%54.9%67.3%17.7%1.0%546.0K38.6M-581.4K0.6316.829,3695,89656,02630,623
2011-10-05$46.20$50.0070.8%20.3%78.7%63.0%70.8%12.3%2.8%979.9K3.0M-716.2K0.7623.476,0034,58363,46434,144
2011-10-06$49.13$50.0061.9%17.7%78.4%44.5%61.1%8.6%5.4%1.3M-19.1M-773.4K0.7821.975,0223,92767,51236,746
2011-10-07$46.77$45.0064.0%19.7%79.0%48.9%66.3%14.5%-8.0%1.1M14.0M-748.5K0.3218.133,5931,13570,67740,105
2011-10-10$46.46$45.0066.2%19.6%78.5%53.6%68.3%11.9%-5.7%1.3M16.6M-754.5K0.9522.6571767873,40840,668
2011-10-11$48.39$45.0065.6%20.3%78.6%52.3%65.2%14.2%-12.1%1.4M-4.4M-759.5K0.2727.592,57670373,67840,877
2011-10-12$50.09$45.0064.6%20.0%79.4%50.2%67.3%12.7%-7.9%1.6M-28.4M-798.3K0.3734.423,4191,24975,19840,967
2011-10-13$51.65$45.0067.3%19.3%80.4%55.8%66.5%12.0%-7.0%1.8M-52.3M-826.2K0.3821.493,6791,39976,68441,522
2011-10-14$50.95$45.0068.7%19.7%78.8%58.6%70.2%14.4%-6.8%1.8M-40.4M-822.0K1.3130.012,6163,42978,44742,253
2011-10-17$50.08$47.5070.1%20.1%78.3%61.6%73.1%12.4%-8.1%2.0M-27.5M-793.0K1.0118.341,8571,86979,88643,414
2011-10-18$50.42$47.5067.5%19.4%76.7%56.3%68.3%13.0%-5.5%2.1M-33.7M-801.8K0.6222.3176947881,01444,379
2011-10-19$49.80$47.5068.0%19.5%76.0%57.2%68.4%10.1%-6.8%2.1M-20.3M-766.4K0.9623.383,1983,07780,14144,062
2011-10-20$48.14$47.5067.0%19.2%67.2%55.3%69.0%9.5%-8.7%2.3M9.6M-741.6K1.7027.651,6512,80682,38445,756
2011-10-21$49.06$47.5066.9%19.2%59.6%55.0%67.2%3.5%-8.8%2.2M-7.7M-759.4K0.2428.345,8211,40283,45946,452
2011-10-24$51.62$47.5070.0%20.1%60.9%61.4%70.0%5.6%-11.6%2.6M-67.6M-796.9K0.8624.583,2752,81263,47330,165
2011-10-25$50.97$47.5075.4%21.6%61.0%72.6%74.7%6.0%-7.0%2.4M-60.2M-808.9K0.3932.462,31690764,22131,827
2011-10-26$47.82$47.5074.3%21.3%60.5%70.4%76.7%4.9%-7.8%1.9M-23.2M-757.8K0.9226.422,1451,96863,67732,283
2011-10-27$47.00$47.5077.0%22.1%60.3%76.0%77.5%2.1%-7.4%1.7M-9.9M-718.4K0.6224.813,9502,43463,34532,965
2011-10-28$46.68$47.5076.3%21.9%58.7%74.5%79.3%2.2%-13.6%1.8M-8.1M-710.8K2.0334.054,7419,64664,34033,074
2011-10-31$43.86$47.5082.4%23.6%61.0%87.1%83.0%5.1%-5.0%1.2M25.2M-632.3K0.9529.374,8634,61964,07935,797