OPEN Options History — April 2012

In April 2012, OPEN traded between $39.34 and $44.82. ATM implied volatility averaged 63.7%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 28.7% (HV 20d: 35.0%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-04-02: Highest Volume — 5,325 contracts
  • 2012-04-12: Largest IV spike — 26.7% change
  • 2012-04-30: Highest IV Rank — 50.5%
  • 2012-04-30: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.27$39.34$44.82$39.74$44.72
Max Pain$40.50$40.00$42.50$42.50$40.00
ATM IV63.7%50.2%75.0%51.5%75.0%
Expected Move18.8%14.4%21.5%14.8%21.5%
HV 20d35.0%28.5%41.0%37.1%39.1%
HV 60d46.2%44.2%48.3%48.2%47.3%
IV Rank34.0%14.3%50.5%16.3%50.5%
IV Percentile64.8%25.8%92.5%32.1%92.5%
Term Structure-6.3%-14.5%13.2%10.9%-14.5%
VWIV66.8%51.3%76.0%53.0%76.0%
Skew 25d3.3%-3.6%8.4%-3.1%4.1%
Skew 10d7.3%-7.4%23.4%-7.0%15.8%
Call IV 25d65.2%53.7%73.4%54.6%73.4%
Put IV 25d68.5%50.7%77.5%51.6%77.5%
Bid-Ask Spread %20.497.2833.3318.5210.41
Gamma HHI0.110.080.160.110.09
Net GEX512.8K204.8K1.0M540.6K444.8K
Net DEX6.6M-9.4M19.2M11.9M-9.4M
Net VEX-341.0K-380.7K-301.3K-353.6K-376.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.193.230.261.56
Total Volume2,013.45715,3255,3252,895
Total OI56,650.8541,28765,00558,75645,553

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$39.74$42.5051.5%14.8%37.1%16.3%53.0%-3.1%10.9%540.6K11.9M-353.6K0.2618.524,2311,09437,65221,104
2012-04-03$40.51$42.5050.2%14.4%31.2%14.3%51.3%-3.1%12.5%702.2K6.4M-365.4K1.1017.8565271838,96621,452
2012-04-04$40.62$42.5051.7%14.8%31.0%16.6%54.0%-3.6%13.2%702.5K6.9M-363.1K0.2213.331,33929839,13421,747
2012-04-05$40.56$42.5050.4%14.5%30.8%14.7%51.9%-2.0%13.2%702.8K7.4M-357.2K1.4223.5030342939,92821,912
2012-04-09$39.87$40.0054.0%19.1%31.1%20.0%67.9%1.8%-9.2%561.9K12.9M-334.3K0.4514.8552323340,00222,233
2012-04-10$39.34$40.0053.2%19.1%28.5%18.8%66.8%2.1%-9.7%431.4K16.2M-325.7K1.0918.5240043640,25422,217
2012-04-11$40.26$40.0053.6%19.4%29.7%18.9%68.7%3.6%-10.6%635.4K10.6M-334.8K1.5725.8731850040,28422,155
2012-04-12$42.11$40.0067.9%19.5%33.1%40.1%69.2%5.1%-10.0%1.0M-1.4M-362.6K0.7922.921,5651,23540,32722,393
2012-04-13$41.91$40.0067.5%19.4%33.2%39.5%68.9%5.0%-9.9%1.0M-399.7K-355.8K1.0420.9538640240,57922,891
2012-04-16$39.83$40.0071.1%20.4%37.9%44.8%71.1%4.6%-12.3%272.4K17.3M-301.3K0.4223.762,5631,06940,65022,957
2012-04-17$40.18$40.0069.2%19.8%37.2%42.0%71.1%4.5%-10.6%414.9K14.4M-314.7K1.1230.2469177140,33222,621
2012-04-18$39.66$40.0067.7%19.4%35.8%39.8%67.3%3.8%-9.9%330.0K19.2M-302.4K0.5633.3391551640,36622,640
2012-04-19$41.33$40.0067.5%19.4%37.7%39.5%70.5%6.5%-10.9%820.0K5.5M-341.9K3.2324.449343,02040,91122,758
2012-04-20$41.34$40.0068.7%19.7%37.6%41.3%69.0%5.8%-13.2%221.3K11.2M-301.6K0.4819.701,83087740,73724,268
2012-04-23$41.11$40.0070.5%20.2%37.1%44.0%70.6%5.4%-9.6%204.8K6.3M-330.0K0.8521.8872762124,72416,563
2012-04-24$41.58$40.0068.9%19.8%35.8%41.6%70.0%5.9%-9.7%229.7K5.3M-335.9K0.1924.681,08520625,20017,004
2012-04-25$41.68$40.0068.4%19.6%35.7%40.8%70.0%5.6%-8.3%219.8K5.8M-314.4K0.6228.5435321825,56417,110
2012-04-26$44.15$40.0072.7%20.9%41.0%47.2%74.0%8.4%-13.3%354.3K-5.8M-368.2K0.849.172,5212,12725,61417,220
2012-04-27$44.82$40.0073.9%21.2%39.0%48.9%74.1%6.0%-13.7%405.3K-8.6M-380.7K0.627.2878348426,61418,381
2012-04-30$44.72$40.0075.0%21.5%39.1%50.5%76.0%4.1%-14.5%444.8K-9.4M-376.9K1.5610.411,1321,76327,01118,542