OPEN Options History — February 2012

In February 2012, OPEN traded between $44.31 and $52.00. ATM implied volatility averaged 61.2%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 6.6% (HV 20d: 54.6%). Max pain ranged from $40.00 to $47.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2012-02-08: Highest Volume — 35,959 contracts
  • 2012-02-08: Largest IV drop — 48.6% change
  • 2012-02-06: Highest IV Rank — 100.0%
  • 2012-02-02: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.82$44.31$52.00$49.32$48.50
Max Pain$44.75$40.00$47.50$45.00$45.00
ATM IV61.2%45.9%108.5%78.5%50.0%
Expected Move16.4%13.2%23.7%22.5%14.3%
HV 20d54.6%37.2%62.7%37.6%62.7%
HV 60d55.4%50.5%58.5%50.6%54.9%
IV Rank33.2%8.1%100.0%71.5%14.0%
IV Percentile46.5%9.5%100.0%95.6%29.8%
Term Structure-1.4%-15.7%3.9%-12.0%3.0%
VWIV58.3%46.9%85.2%80.8%50.1%
Skew 25d4.0%0.2%12.1%12.1%0.2%
Skew 10d8.2%1.4%25.2%25.2%2.0%
Call IV 25d56.2%45.5%81.2%74.2%50.8%
Put IV 25d60.3%47.7%88.8%86.4%51.0%
Bid-Ask Spread %17.1411.7338.3537.4415.88
Gamma HHI0.130.080.290.080.18
Net GEX332.3K-935.5K2.3M202.3K1.2M
Net DEX-20.6M-63.1M13.8M-23.5M-36.9M
Net VEX-512.0K-552.5K-473.2K-497.3K-529.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.152.121.380.15
Total Volume8,474.31,74035,9592,4513,002
Total OI73,68753,46392,10257,06970,873

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$49.32$45.0078.5%22.5%37.6%71.5%80.8%12.1%-12.0%202.3K-23.5M-497.3K1.3837.441,0301,42128,90628,163
2012-02-02$50.41$45.0082.8%23.7%37.8%79.7%85.2%7.6%-15.7%291.3K-30.7M-514.1K0.1738.355,87798428,79828,317
2012-02-03$52.00$40.0087.9%20.3%37.2%89.2%72.7%9.3%-5.7%618.9K-45.8M-525.6K0.9219.052,2472,07032,09228,405
2012-02-06$50.14$40.00108.5%21.7%41.3%100.0%78.5%9.9%-9.9%416.2K-34.6M-525.4K2.1219.383,5497,51631,75229,076
2012-02-07$51.45$47.50106.2%21.4%40.9%96.7%75.7%8.8%-8.9%340.5K-36.3M-552.5K0.8223.8917,71814,45334,13834,581
2012-02-08$45.40$47.5054.6%15.9%61.4%20.9%56.4%2.7%0.5%-836.0K10.1M-512.6K0.8412.7219,49016,46943,79242,246
2012-02-09$44.79$45.0053.2%15.3%56.9%18.8%54.2%4.4%0.1%-710.5K11.9M-502.3K0.6411.735,1453,30547,03441,487
2012-02-10$44.37$45.0052.7%15.1%56.9%18.1%53.9%3.3%-0.2%-643.1K11.6M-508.8K0.8314.992,8072,33048,92541,256
2012-02-13$44.31$45.0054.7%15.7%54.8%21.0%55.2%2.9%-1.0%-850.4K13.8M-481.7K0.6913.241,6511,13849,04341,461
2012-02-14$44.55$45.0054.4%15.6%54.8%20.6%55.4%2.6%-0.7%-935.5K12.0M-473.2K0.4914.181,41669248,90841,719
2012-02-15$46.71$45.0053.2%15.3%56.0%18.8%54.8%3.8%-0.1%6.5K-17.5M-499.6K0.4015.365,2042,06849,04241,752
2012-02-16$49.79$45.0050.4%14.5%59.8%14.7%51.4%1.8%2.9%2.3M-63.1M-512.4K0.1913.9611,3162,13950,43841,664
2012-02-17$48.13$45.0047.5%13.6%60.7%10.4%48.4%1.5%3.9%592.0K-40.7M-508.1K0.4313.593,2431,38648,96041,309
2012-02-21$46.70$45.0046.9%13.4%61.8%9.5%47.9%1.6%3.8%503.6K-14.1M-485.3K0.5613.141,11562532,49020,973
2012-02-22$47.27$45.0046.8%13.4%61.9%9.4%48.0%1.4%2.8%562.1K-15.9M-482.4K1.0614.146,9907,41832,90221,334
2012-02-23$47.85$45.0048.6%13.9%61.8%12.0%49.2%2.3%2.3%731.8K-22.0M-536.4K0.2513.712,13253838,96427,675
2012-02-24$48.89$45.0045.9%13.2%62.1%8.1%46.9%2.2%3.2%1.1M-33.3M-529.4K0.2712.993,22788039,68827,874
2012-02-27$47.87$45.0050.6%14.5%62.6%14.9%50.9%1.2%-0.1%853.3K-27.2M-528.0K0.5312.231,49179440,14728,332
2012-02-28$47.97$45.0050.7%14.5%62.6%15.1%51.2%0.7%3.5%906.8K-29.3M-534.5K0.1612.903,96964140,59728,627
2012-02-29$48.50$45.0050.0%14.3%62.7%14.0%50.1%0.2%3.0%1.2M-36.9M-529.6K0.1515.882,61438842,09028,783