OPEN Options History — March 2012

In March 2012, OPEN traded between $40.00 and $47.63. ATM implied volatility averaged 52.1%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 7.8% (HV 20d: 44.3%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2012-03-09: Highest Volume — 10,399 contracts
  • 2012-03-05: Largest IV spike — 12.2% change
  • 2012-03-06: Highest IV Rank — 30.2%
  • 2012-03-06: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.26$40.00$47.63$47.63$40.47
Max Pain$42.84$42.50$45.00$45.00$42.50
ATM IV52.1%48.4%61.0%48.4%50.5%
Expected Move15.0%13.9%16.9%13.9%14.5%
HV 20d44.3%33.9%63.5%62.4%37.0%
HV 60d51.2%47.6%55.1%55.1%48.1%
IV Rank17.2%11.7%30.2%11.7%14.9%
IV Percentile33.9%22.6%57.9%22.6%28.2%
Term Structure5.8%0.5%10.9%4.3%10.9%
VWIV52.7%49.2%59.7%49.2%51.3%
Skew 25d2.4%-1.1%5.8%0.3%-1.1%
Skew 10d4.4%-3.1%11.0%2.3%-1.2%
Call IV 25d51.9%48.6%56.3%49.1%52.7%
Put IV 25d54.2%49.4%62.1%49.4%51.6%
Bid-Ask Spread %15.6910.9231.4611.6916.56
Gamma HHI0.140.090.260.170.12
Net GEX247.2K-852.5K1.1M1.1M631.1K
Net DEX11.1M-33.4M43.8M-33.4M9.3M
Net VEX-405.1K-546.1K-341.9K-546.1K-354.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.131.470.400.63
Total Volume3,215.40970510,3991,8641,097
Total OI64,970.27347,95576,87772,62758,742

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$47.63$45.0048.4%13.9%62.4%11.7%49.2%0.3%4.3%1.1M-33.4M-546.1K0.4011.691,33453043,65828,969
2012-03-02$46.94$45.0051.4%14.7%61.9%16.1%52.0%0.1%1.3%839.3K-27.3M-545.0K0.3817.542,19983143,44329,029
2012-03-05$46.67$45.0057.6%16.5%60.5%25.3%59.7%5.1%0.5%694.0K-20.3M-523.4K1.4714.601,4342,10943,88629,315
2012-03-06$43.66$42.5061.0%16.9%63.5%30.2%58.1%5.8%0.7%-61.3K8.6M-472.2K0.4817.333,2411,56544,31728,894
2012-03-07$43.04$42.5056.6%16.9%62.3%23.8%58.2%5.8%1.1%-378.5K17.3M-445.5K0.8415.271,8211,53644,42028,893
2012-03-08$43.36$42.5052.9%16.2%44.9%18.3%56.0%5.1%2.9%-440.4K16.7M-429.2K0.6317.741,7461,10044,22629,361
2012-03-09$42.93$42.5052.0%15.9%44.8%17.1%55.4%4.5%2.3%-698.8K20.9M-439.1K0.1412.809,1481,25144,03029,842
2012-03-12$41.30$42.5055.6%15.4%46.6%22.3%53.1%4.1%4.3%-379.1K32.5M-391.1K0.3018.575,6751,69946,33430,171
2012-03-13$41.62$42.5050.0%14.3%46.7%14.0%50.4%3.1%5.6%-852.5K37.2M-370.0K0.5615.392,6011,45445,02530,689
2012-03-14$40.76$42.5049.4%14.8%47.0%13.2%50.8%3.7%5.3%-371.6K43.6M-375.2K0.8012.891,15292545,75730,539
2012-03-15$40.79$42.5051.4%14.7%43.0%16.1%51.6%3.4%4.9%246.9K43.8M-364.8K1.3931.4658180846,08130,340
2012-03-16$40.39$42.5050.6%14.5%33.9%14.9%50.3%3.4%5.2%412.4K43.5M-345.6K0.9312.011,02394746,40030,477
2012-03-19$41.25$42.5050.4%14.4%34.5%14.7%49.6%2.9%7.8%401.9K9.3M-347.1K0.2315.722,81565829,84518,110
2012-03-20$40.00$42.5050.3%14.4%34.5%14.5%50.1%1.6%7.5%362.8K11.9M-341.9K1.0813.141,3761,48130,89518,509
2012-03-21$41.06$42.5052.4%15.0%35.9%17.6%52.1%0.4%7.8%420.6K8.4M-357.4K0.5613.071,9701,09431,52019,280
2012-03-22$41.29$42.5051.7%14.8%35.5%16.5%52.4%1.7%8.7%466.6K5.4M-371.1K0.5216.622,1241,09631,95619,679
2012-03-23$40.56$42.5050.3%14.4%34.0%14.6%50.8%1.3%10.4%456.2K8.4M-363.4K0.5910.9260035733,31820,093
2012-03-26$41.76$42.5049.9%14.3%36.3%13.9%51.3%0.6%9.2%571.4K3.0M-374.8K0.8113.7764752633,47920,151
2012-03-27$42.09$42.5051.6%14.8%36.5%16.5%52.5%0.8%8.0%637.3K-670.8K-391.0K0.1317.884,50056733,74820,518
2012-03-28$41.78$42.5050.8%14.6%36.0%15.2%51.5%0.2%8.9%803.1K133.0K-391.3K0.6516.3342727836,71920,910
2012-03-29$40.43$42.5051.7%14.8%36.9%16.5%53.8%-0.6%10.0%615.3K7.0M-372.3K0.6313.871,48693036,73321,045
2012-03-30$40.47$42.5050.5%14.5%37.0%14.9%51.3%-1.1%10.9%631.1K9.3M-354.8K0.6316.5667342437,70821,034