OPEN Options History — November 2011

In November 2011, OPEN traded between $32.38 and $43.10. ATM implied volatility averaged 58.3%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 8.5% (HV 20d: 66.8%). Max pain ranged from $37.50 to $47.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2011-11-02: Highest Volume — 27,388 contracts
  • 2011-11-02: Largest IV drop — 27.6% change
  • 2011-11-01: Highest IV Rank — 100.0%
  • 2011-11-01: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.44$32.38$43.10$43.10$35.37
Max Pain$40.12$37.50$47.50$47.50$37.50
ATM IV58.3%49.0%93.6%93.6%57.2%
Expected Move16.8%14.1%26.8%26.8%16.4%
HV 20d66.8%60.0%73.0%60.9%70.0%
HV 60d69.8%66.9%72.7%68.6%69.3%
IV Rank33.6%16.2%100.0%100.0%31.5%
IV Percentile53.8%31.7%100.0%100.0%51.2%
Term Structure0.4%-17.6%5.2%-17.6%0.5%
VWIV58.9%50.5%93.8%93.8%59.0%
Skew 25d7.6%-2.4%13.4%9.2%1.7%
Skew 10d15.7%-1.6%26.4%11.9%5.7%
Call IV 25d56.4%46.1%91.0%91.0%58.2%
Put IV 25d64.0%54.7%100.2%100.2%59.9%
Bid-Ask Spread %48.6018.3370.1527.8370.15
Gamma HHI0.120.100.150.100.15
Net GEX103.1K-335.7K740.9K740.9K347.5K
Net DEX64.8M37.6M90.7M37.6M42.8M
Net VEX-396.6K-605.3K-278.9K-605.3K-333.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.084.060.680.39
Total Volume6,001.14392627,38819,0193,027
Total OI96,288.61966,243116,826100,66373,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$43.10$47.5093.6%26.8%60.9%100.0%93.8%9.2%-17.6%740.9K37.6M-605.3K0.6827.8311,3367,68362,12838,535
2011-11-02$38.27$47.5067.8%19.4%69.0%51.4%66.4%8.8%-1.5%-315.6K90.7M-426.2K2.4519.537,93319,45563,11541,004
2011-11-03$41.76$47.5057.4%16.4%73.0%31.9%59.0%7.1%5.2%521.0K60.5M-496.5K0.6418.333,1452,01363,68038,124
2011-11-04$41.88$42.5058.2%17.1%71.5%33.5%58.6%13.4%-5.4%735.9K55.4M-508.2K0.2348.745,1881,20565,09338,388
2011-11-07$40.40$40.0060.8%17.1%72.3%38.4%60.3%9.3%-0.8%435.6K65.8M-468.0K0.5938.492,0041,18368,34738,571
2011-11-08$40.94$40.0052.5%15.3%70.5%22.7%54.5%9.6%3.3%540.0K65.8M-441.8K0.4339.403,0851,32969,71238,633
2011-11-09$39.32$37.5055.7%16.6%69.5%28.7%58.0%8.2%2.7%397.7K67.3M-459.2K1.3444.469831,32172,12138,830
2011-11-10$38.17$40.0057.1%16.4%67.8%31.4%55.1%8.8%2.1%22.0K76.5M-424.0K1.4451.211,8752,69872,19839,000
2011-11-11$38.15$40.0058.8%16.8%68.0%34.5%56.1%8.9%0.1%-51.6K76.6M-411.8K2.5450.704911,24573,26539,586
2011-11-14$38.58$40.0058.7%16.8%68.6%34.3%58.3%7.8%1.6%-187.1K75.7M-416.8K0.5951.392,7761,63973,43240,346
2011-11-15$38.10$40.0058.4%16.8%68.2%33.9%57.6%8.3%1.8%-335.7K81.2M-399.4K3.4450.786542,24974,58240,591
2011-11-16$37.74$40.0058.0%16.6%68.3%33.0%57.2%8.7%1.6%-213.4K82.3M-379.7K1.2251.1141850974,77639,532
2011-11-17$37.21$40.0055.6%15.9%67.8%28.5%58.5%7.0%2.7%-202.4K84.1M-383.9K4.0651.131,1684,73974,93639,595
2011-11-18$36.90$37.5049.0%14.1%66.8%16.2%51.4%8.6%3.2%-81.5K87.7M-357.7K1.9356.722,3974,62775,83940,987
2011-11-21$35.36$37.5052.0%14.9%62.9%21.7%51.3%6.5%1.0%101.9K45.8M-326.6K0.4455.452,13895139,18427,059
2011-11-22$34.03$37.5051.3%14.7%63.2%20.5%52.5%8.3%2.2%87.3K46.9M-333.5K2.3354.746881,60640,59127,406
2011-11-23$33.73$37.5054.6%15.6%61.1%26.6%54.2%7.4%0.3%59.4K49.1M-310.9K2.4757.608472,09440,90427,579
2011-11-25$32.39$37.5055.0%15.8%61.7%27.5%56.5%6.9%3.7%-138.0K56.4M-278.9K2.9959.1123269440,58028,999
2011-11-28$32.38$37.5051.0%14.6%61.9%19.8%50.5%7.0%2.4%-219.6K57.6M-286.7K0.9058.571,6181,45840,77329,215
2011-11-29$32.44$37.5061.2%17.6%60.0%39.1%67.5%-2.4%-1.6%-78.8K54.8M-279.0K0.0865.1814,1311,19241,90929,348
2011-11-30$35.37$37.5057.2%16.4%70.0%31.5%59.0%1.7%0.5%347.5K42.8M-333.5K0.3970.152,18484344,10629,462