OPEN Options History — May 2012

In May 2012, OPEN traded between $36.05 and $43.68. ATM implied volatility averaged 51.0%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 17.4% (HV 20d: 68.5%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.60.

Notable Days

  • 2012-05-02: Highest Volume — 16,669 contracts
  • 2012-05-02: Largest IV drop — 44.8% change
  • 2012-05-01: Highest IV Rank — 58.9%
  • 2012-05-01: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.17$36.05$43.68$43.68$39.72
Max Pain$39.77$37.50$42.50$40.00$40.00
ATM IV51.0%44.5%80.6%80.6%59.8%
Expected Move14.7%12.8%23.1%23.1%17.1%
HV 20d68.5%39.5%73.5%39.5%44.1%
HV 60d51.1%47.0%56.9%47.0%50.9%
IV Rank15.2%5.5%58.9%58.9%28.1%
IV Percentile23.4%3.6%95.2%95.2%52.4%
Term Structure-0.1%-18.2%2.7%-18.2%-2.2%
VWIV51.2%44.5%78.7%78.7%60.3%
Skew 25d4.6%0.0%9.7%9.7%3.7%
Skew 10d10.0%1.2%24.4%16.2%5.9%
Call IV 25d49.8%44.1%73.6%73.6%59.7%
Put IV 25d54.4%45.8%83.3%83.3%63.4%
Bid-Ask Spread %17.238.5539.6514.9015.90
Gamma HHI0.120.080.190.090.10
Net GEX-157.2K-472.7K407.5K407.5K88.9K
Net DEX25.2M-5.5M36.9M-5.5M19.6M
Net VEX-275.2K-370.0K-244.4K-370.0K-309.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.2827.600.820.83
Total Volume3,212.09151116,66911,7911,280
Total OI54,713.68244,33460,68846,42354,250

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$43.68$40.0080.6%23.1%39.5%58.9%78.7%9.7%-18.2%407.5K-5.5M-370.0K0.8214.906,4695,32227,61018,813
2012-05-02$37.13$42.5044.5%12.8%70.9%5.5%45.2%0.0%2.7%-435.2K34.1M-249.3K1.019.278,2838,38631,12521,743
2012-05-03$36.05$40.0046.4%13.3%71.4%8.2%46.6%1.6%0.6%-472.7K35.3M-248.8K1.038.551,4741,52233,49623,255
2012-05-04$36.50$37.5047.0%14.0%71.7%9.2%47.6%4.0%0.2%-415.7K32.6M-262.6K1.5314.008921,36733,93923,674
2012-05-07$36.80$37.5049.1%14.0%71.7%12.3%49.3%3.3%0.3%-414.4K32.2M-256.0K0.6214.1531519634,46723,763
2012-05-08$36.49$37.5048.4%14.4%71.6%11.2%49.5%3.0%0.2%-472.0K34.5M-244.4K1.8512.589571,77234,57023,737
2012-05-09$37.01$40.0045.4%14.5%71.2%6.9%50.7%2.9%0.1%-430.9K32.7M-268.6K0.3912.141,50157835,10824,702
2012-05-10$37.84$40.0049.1%14.1%69.6%12.3%48.8%5.5%1.4%-258.3K27.1M-273.8K1.4415.6647167735,51224,581
2012-05-11$37.27$40.0047.4%13.6%69.7%9.8%49.1%4.4%2.1%-319.8K30.2M-264.9K0.9620.9569266735,46524,577
2012-05-14$38.74$40.0049.4%14.2%69.2%12.8%48.0%4.7%0.7%-37.2K20.4M-281.9K1.2122.9761874935,71824,788
2012-05-15$37.84$40.0049.4%14.2%69.6%12.7%49.2%5.3%1.0%-260.9K28.1M-272.1K3.0919.5421365935,64224,937
2012-05-16$38.36$40.0048.9%14.0%69.7%11.9%49.1%4.8%1.3%-60.3K24.7M-268.9K1.6119.1031350435,66024,971
2012-05-17$37.00$40.0050.1%14.4%68.8%13.8%51.2%5.1%1.1%-318.5K33.4M-261.1K3.3818.5718562635,70324,933
2012-05-18$36.60$40.0050.3%14.4%68.8%14.1%50.8%4.5%0.8%-294.9K36.9M-249.5K0.7617.031,5261,15635,73624,952
2012-05-21$38.59$40.0048.4%13.9%71.9%11.3%46.3%4.6%1.0%-63.1K20.9M-257.5K0.2816.901,62245826,03318,301
2012-05-22$39.31$40.0046.7%13.4%72.1%8.7%46.7%5.6%2.3%58.9K17.6M-270.4K0.3716.161,67661527,15918,546
2012-05-23$40.12$40.0046.6%13.4%72.6%8.6%47.7%5.6%2.5%218.2K12.8M-292.8K27.6023.731093,00827,96918,796
2012-05-24$37.52$40.0051.9%14.9%72.5%16.4%54.7%5.9%0.9%-10.7K23.2M-271.2K5.4313.973551,92928,00619,836
2012-05-25$38.40$40.0051.5%14.8%72.9%15.8%44.5%6.6%1.1%-12.2K21.8M-282.5K1.2515.369571,19528,19520,764
2012-05-29$39.14$40.0050.5%14.5%73.5%14.4%51.6%6.3%1.6%43.0K21.5M-287.8K1.2618.101,7762,23428,95821,662
2012-05-30$39.64$40.0061.7%17.7%73.5%30.9%61.4%3.5%-3.9%2.1K20.0M-312.1K0.4039.653,8281,53428,92923,120
2012-05-31$39.72$40.0059.8%17.1%44.1%28.1%60.3%3.7%-2.2%88.9K19.6M-309.4K0.8315.9070157930,65523,595