OPEN Options History — December 2011

In December 2011, OPEN traded between $35.73 and $44.78. ATM implied volatility averaged 60.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 1.5% (HV 20d: 59.4%). Max pain ranged from $37.50 to $45.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2011-12-22: Highest Volume — 10,632 contracts
  • 2011-12-21: Largest IV spike — 16.5% change
  • 2011-12-21: Highest IV Rank — 52.1%
  • 2011-12-21: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.98$35.73$44.78$36.24$39.13
Max Pain$42.14$37.50$45.00$37.50$42.50
ATM IV60.9%55.7%68.2%59.0%62.2%
Expected Move17.0%15.7%19.5%16.9%17.8%
HV 20d59.4%47.1%68.8%57.8%62.1%
HV 60d66.1%61.7%68.4%68.4%62.7%
IV Rank38.4%28.6%52.1%34.9%40.8%
IV Percentile62.7%49.2%83.3%58.7%64.3%
Term Structure5.6%0.4%10.2%0.4%9.3%
VWIV60.8%55.4%71.4%60.3%63.8%
Skew 25d4.7%1.2%7.3%1.2%5.0%
Skew 10d9.6%2.0%14.9%2.0%10.1%
Call IV 25d59.1%54.3%66.9%59.8%61.9%
Put IV 25d63.8%58.2%74.1%61.0%67.0%
Bid-Ask Spread %57.818.3973.2664.589.93
Gamma HHI0.170.080.770.140.13
Net GEX559.0K-322.8K5.0M404.1K-315.5K
Net DEX26.0M-3.7M43.3M32.0M42.5M
Net VEX-430.9K-509.0K-337.6K-392.6K-447.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.365.800.360.53
Total Volume3,606.66759910,6324,8641,663
Total OI77,44766,14683,23373,35880,817

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$36.24$37.5059.0%16.9%57.8%34.9%60.3%1.2%0.4%404.1K32.0M-392.6K0.3664.583,5821,28243,76329,595
2011-12-02$36.24$37.5055.7%16.0%47.1%28.6%58.4%1.5%2.1%471.8K31.5M-393.9K0.5264.752,3071,20345,33330,036
2011-12-05$39.10$45.0058.9%16.0%55.5%34.8%55.4%3.4%3.4%770.0K12.2M-422.8K0.8647.772,8212,43245,68030,227
2011-12-06$38.26$42.5055.7%15.7%54.6%28.6%56.1%2.3%6.0%789.2K19.6M-428.8K5.8067.2312773747,18531,139
2011-12-07$37.77$42.5058.1%16.1%54.4%33.3%57.0%3.1%4.6%689.9K25.0M-405.7K0.8671.3158250147,17431,464
2011-12-08$36.15$42.5059.4%16.6%54.7%35.7%58.6%2.7%3.3%459.0K35.7M-390.7K1.0367.5744745947,33831,479
2011-12-09$35.73$42.5055.9%16.5%54.0%29.1%57.9%3.5%4.9%362.6K39.5M-373.2K1.2769.6727334747,38531,487
2011-12-12$35.99$42.5063.1%16.3%54.1%42.6%57.6%2.7%4.9%410.3K41.0M-337.6K3.5670.735451,93947,59931,661
2011-12-13$37.52$42.5067.7%16.1%56.2%51.3%57.4%7.3%3.5%770.6K29.1M-386.3K1.6273.262,9984,86747,80932,113
2011-12-14$38.13$42.5061.3%15.9%56.4%39.2%56.5%5.8%6.1%990.7K24.2M-398.0K0.5268.142,6051,34548,13733,139
2011-12-15$38.76$42.5057.3%16.4%56.5%31.7%58.1%6.3%3.1%1.2M19.5M-407.7K1.3367.731,0961,45849,33233,901
2011-12-16$40.15$42.5058.9%16.9%57.4%34.8%59.2%4.6%2.2%5.0M-3.7M-433.2K0.9969.453,8473,81148,51633,915
2011-12-19$39.93$42.5057.8%16.6%57.4%32.6%58.5%6.6%7.2%141.4K25.2M-418.5K0.6666.871,04869038,05328,093
2011-12-20$44.78$42.5058.5%16.8%66.8%34.0%60.0%5.9%8.7%232.1K2.2M-467.2K1.4956.922,9234,34138,52328,506
2011-12-21$42.74$42.5068.2%19.5%67.7%52.1%71.4%7.2%6.1%67.3K12.9M-509.0K0.4251.663,4181,44739,75531,846
2011-12-22$41.58$42.5063.0%18.1%68.8%42.4%66.3%7.0%7.4%205.8K14.8M-505.8K2.4657.903,0697,56341,78231,833
2011-12-23$40.78$42.5063.7%18.3%67.1%43.8%64.1%5.7%8.6%-178.7K29.5M-506.9K0.5451.3480343441,35638,840
2011-12-27$40.70$42.5067.0%19.2%67.1%49.9%68.6%6.8%5.9%-217.7K32.4M-483.9K2.6354.9516543441,25338,989
2011-12-28$39.58$42.5064.7%18.6%68.5%45.6%66.3%5.4%9.3%-222.9K36.5M-485.1K1.8353.751,0611,94041,28238,917
2011-12-29$39.26$42.5062.2%17.8%62.4%40.9%64.6%5.2%10.2%-322.8K43.3M-454.3K1.068.391,5231,60741,39239,743
2011-12-30$39.13$42.5062.2%17.8%62.1%40.8%63.8%5.0%9.3%-315.5K42.5M-447.2K0.539.931,08557841,01039,807