OPEN Options History — June 2012

In June 2012, OPEN traded between $39.56 and $45.01. ATM implied volatility averaged 50.0%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 11.3% (HV 20d: 38.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2012-06-11: Highest Volume — 11,893 contracts
  • 2012-06-12: Largest IV drop — 16.9% change
  • 2012-06-04: Highest IV Rank — 33.3%
  • 2012-06-01: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.91$39.56$45.01$39.56$45.01
Max Pain$44.76$40.00$45.00$40.00$45.00
ATM IV50.0%42.7%63.3%60.9%42.7%
Expected Move14.4%12.2%17.5%17.5%12.2%
HV 20d38.6%28.1%45.2%42.4%34.0%
HV 60d51.0%50.3%51.9%50.8%51.7%
IV Rank13.6%2.8%33.3%29.8%2.8%
IV Percentile20.5%1.2%59.5%53.6%1.2%
Term Structure7.7%-1.6%15.9%-1.6%15.9%
VWIV50.4%38.9%62.7%62.7%43.2%
Skew 25d7.8%4.0%11.2%4.0%5.9%
Skew 10d12.6%8.1%16.5%8.1%9.3%
Call IV 25d47.4%39.0%60.3%60.3%40.3%
Put IV 25d55.1%46.2%64.7%64.3%46.2%
Bid-Ask Spread %20.4213.7951.5832.2616.44
Gamma HHI0.150.100.190.100.18
Net GEX574.8K103.2K1.3M103.2K843.4K
Net DEX6.1M-12.9M30.4M19.8M-7.6M
Net VEX-375.5K-417.6K-312.2K-312.2K-396.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.124.041.550.23
Total Volume2,817.85735211,8938242,250
Total OI63,541.57154,20873,81854,20863,705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$39.56$40.0060.9%17.5%42.4%29.8%62.7%4.0%-1.6%103.2K19.8M-312.2K1.5532.2632350130,56923,639
2012-06-04$40.14$45.0063.3%17.2%42.5%33.3%61.0%6.5%-0.7%159.1K16.8M-317.4K1.3119.452,2622,96930,56523,755
2012-06-05$39.79$45.0060.3%17.1%42.7%28.8%57.6%7.5%2.0%105.6K23.1M-321.3K1.1615.461,7201,98932,01825,884
2012-06-06$40.10$45.0056.9%16.4%42.5%23.8%55.5%7.1%3.3%130.3K26.0M-323.0K1.0914.671,5301,66732,98226,903
2012-06-07$39.95$45.0053.7%15.9%42.4%19.0%53.7%8.3%3.9%123.6K30.4M-323.2K0.5215.9883343534,10628,151
2012-06-08$42.04$45.0051.0%15.0%45.2%15.2%52.9%9.1%5.4%479.9K17.7M-345.6K0.7121.772,9912,13134,54728,251
2012-06-11$42.31$45.0058.1%16.4%44.6%25.6%56.5%10.1%-0.4%727.0K16.7M-349.2K0.1251.5810,6301,26336,57329,768
2012-06-12$44.18$45.0048.3%14.6%45.1%11.1%51.4%8.6%1.5%1.3M-12.9M-407.2K0.3728.543,9311,45242,32629,076
2012-06-13$43.70$45.0050.8%15.3%44.2%14.8%52.5%11.2%1.9%1.3M-3.0M-393.2K1.3115.7176099843,23829,626
2012-06-14$43.65$45.0052.8%15.1%44.2%17.8%52.0%8.3%3.4%1.2M-2.1M-405.0K0.8521.0927923743,49830,320
2012-06-15$43.79$45.0049.5%14.2%41.3%12.9%55.6%9.3%3.8%570.6K-2.9M-393.5K4.0418.844221,70543,23630,163
2012-06-18$44.53$45.0044.0%12.6%40.7%4.8%44.9%9.4%12.2%385.2K20.2K-413.8K1.1317.2768377235,13124,539
2012-06-19$44.94$45.0043.0%12.3%37.4%3.3%38.9%10.3%13.1%464.2K-1.4M-402.9K0.2218.451,08224335,44824,534
2012-06-20$44.67$45.0044.6%12.8%37.5%5.6%44.2%6.4%13.5%443.4K-729.1K-397.4K0.3813.794,5741,72935,61024,519
2012-06-21$43.59$45.0045.6%13.1%38.6%7.2%44.9%7.5%12.8%528.8K2.1M-412.6K1.7618.2445880839,00625,314
2012-06-22$44.30$45.0043.4%12.4%28.1%3.8%43.7%6.7%15.6%664.1K-3.9M-417.6K0.6815.2099668138,62124,362
2012-06-25$43.47$45.0046.9%13.5%29.1%9.1%47.4%8.2%11.1%589.8K4.0M-397.9K1.5227.727691,17238,98224,428
2012-06-26$44.22$45.0043.8%12.6%29.0%4.5%44.9%6.4%14.3%717.3K-727.7K-394.0K1.7917.9333359739,06224,541
2012-06-27$44.10$45.0043.5%12.5%29.1%4.0%46.9%6.0%15.7%658.3K-841.8K-389.5K1.3214.6515220039,05524,670
2012-06-28$43.03$45.0046.4%13.3%31.0%8.4%47.0%6.1%14.5%529.2K6.7M-373.3K1.1213.8130634239,11024,542
2012-06-29$45.01$45.0042.7%12.2%34.0%2.8%43.2%5.9%15.9%843.4K-7.6M-396.1K0.2316.441,82442639,17024,535