OPEN Options History — January 2012

In January 2012, OPEN traded between $39.01 and $48.49. ATM implied volatility averaged 69.8%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 18.7% (HV 20d: 51.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-01-11: Highest Volume — 6,786 contracts
  • 2012-01-12: Largest IV spike — 28.4% change
  • 2012-01-30: Highest IV Rank — 79.2%
  • 2012-01-30: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.05$39.01$48.49$39.01$48.17
Max Pain$42.50$40.00$45.00$42.50$45.00
ATM IV69.8%56.4%82.6%64.1%81.9%
Expected Move20.7%17.2%23.7%18.4%23.5%
HV 20d51.1%37.7%62.1%62.1%37.7%
HV 60d60.7%53.4%62.8%61.2%53.4%
IV Rank55.3%29.9%79.2%44.5%78.0%
IV Percentile80.3%43.7%98.4%67.9%97.2%
Term Structure-5.5%-14.7%11.1%8.6%-14.3%
VWIV74.3%60.8%84.2%64.7%83.3%
Skew 25d9.6%4.3%11.2%4.6%9.9%
Skew 10d20.0%9.5%25.1%16.0%19.4%
Call IV 25d68.7%58.8%77.0%63.4%76.5%
Put IV 25d78.2%64.9%87.6%68.0%86.4%
Bid-Ask Spread %30.4812.4276.4271.7433.35
Gamma HHI0.100.080.130.130.08
Net GEX71.6K-343.0K439.4K-315.4K101.1K
Net DEX-2.8M-40.1M44.8M43.5M-16.4M
Net VEX-463.8K-498.6K-411.2K-428.2K-484.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.182.240.552.20
Total Volume2,707.656806,7861,324927
Total OI74,266.1550,46389,76281,06356,939

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-01-03$39.01$42.5064.1%18.4%62.1%44.5%64.7%4.6%8.6%-315.4K43.5M-428.2K0.5571.7485347141,24139,822
2012-01-04$39.54$42.5062.3%17.9%56.2%41.1%66.0%4.3%10.3%-343.0K40.7M-417.3K1.3875.8465590541,28839,953
2012-01-05$39.03$42.5060.0%17.2%55.8%36.8%60.8%6.1%11.1%-338.8K44.8M-424.7K2.0476.4236073341,65840,236
2012-01-06$39.66$40.0057.8%20.2%55.8%32.6%71.7%10.3%-5.2%-298.2K40.4M-411.2K0.4223.531,37857941,79340,113
2012-01-09$40.98$40.0061.8%21.2%53.9%40.2%75.3%11.2%-6.1%-234.2K29.2M-426.1K0.3423.734,2081,41241,95740,215
2012-01-10$42.98$40.0058.4%20.2%55.4%33.8%70.1%10.9%-5.9%-38.7K9.9M-449.8K0.1818.484,16876443,35040,395
2012-01-11$45.90$40.0056.4%20.0%58.9%29.9%71.6%10.8%-4.8%315.5K-17.1M-481.4K0.6412.424,1282,65844,13240,333
2012-01-12$45.46$42.5072.3%20.7%58.3%60.0%76.3%10.6%-6.2%332.5K-14.8M-498.0K1.5917.808391,33845,41641,851
2012-01-13$47.30$42.5069.5%19.9%59.3%54.6%72.9%11.2%-4.5%425.9K-26.7M-498.6K0.2720.833,28987945,32042,242
2012-01-17$46.79$42.5070.1%20.1%59.7%55.8%70.8%10.7%-5.8%439.4K-28.2M-494.7K0.8018.142,5942,06945,72642,678
2012-01-18$48.49$42.5071.7%20.5%59.7%58.7%74.2%10.3%-6.7%425.6K-40.1M-470.9K0.4317.471,76676146,30143,156
2012-01-19$47.20$42.5072.0%20.6%60.9%59.3%73.2%11.1%-8.7%277.4K-32.5M-494.6K0.9318.2678373046,20643,356
2012-01-20$46.33$42.5070.5%20.2%46.8%56.5%74.2%10.8%-5.4%95.6K-23.0M-459.9K0.8628.242,1901,88446,08743,675
2012-01-23$46.27$42.5070.0%20.1%43.2%55.5%75.6%10.4%-5.1%130.7K-7.0M-455.4K1.6613.5151184726,08124,382
2012-01-24$46.53$42.5069.8%20.0%41.6%55.3%73.7%9.8%-4.6%110.8K-8.2M-455.1K1.5128.3527140926,44024,981
2012-01-25$47.22$42.5082.5%23.6%40.6%79.0%82.0%10.0%-14.7%121.7K-10.1M-463.2K2.2428.791,3423,00226,61725,166
2012-01-26$47.88$45.0081.7%23.4%40.5%77.6%81.7%8.7%-14.3%72.7K-12.5M-486.5K1.8627.476811,26627,63726,983
2012-01-27$48.15$45.0081.6%23.4%38.3%77.4%84.2%8.8%-12.9%68.5K-13.1M-493.7K0.7623.8965049627,73827,704
2012-01-30$48.21$45.0082.6%23.7%37.8%79.2%83.8%10.6%-14.4%83.5K-15.3M-482.9K0.6731.3981554228,20727,948
2012-01-31$48.17$45.0081.9%23.5%37.7%78.0%83.3%9.9%-14.3%101.1K-16.4M-484.7K2.2033.3529063728,78928,150