OPEN Options History — July 2012

In July 2012, OPEN traded between $36.36 and $41.02. ATM implied volatility averaged 65.5%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 18.9% (HV 20d: 46.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.64.

Notable Days

2012-07-31: Highest Volume — 6,083 contracts
2012-07-12: Largest IV spike — 23.3% change
2012-07-31: Highest IV Rank — 63.8%
2012-07-31: Largest Expected Move — 24.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.38	$36.36	$41.02	$40.81	$36.36
Max Pain	$41.79	$40.00	$45.00	$45.00	$40.00
ATM IV	65.5%	51.3%	84.6%	52.1%	84.6%
Expected Move	19.5%	14.9%	24.3%	14.9%	24.3%
HV 20d	46.7%	30.3%	52.5%	50.1%	30.3%
HV 60d	52.5%	41.3%	56.0%	55.6%	41.6%
IV Rank	35.3%	15.6%	63.8%	16.8%	63.8%
IV Percentile	64.7%	23.4%	98.4%	29.4%	98.4%
Term Structure	-7.1%	-20.9%	14.2%	12.2%	-20.9%
VWIV	68.0%	50.8%	87.5%	50.8%	84.9%
Skew 25d	7.8%	3.9%	10.2%	3.9%	8.6%
Skew 10d	16.5%	7.7%	23.6%	8.0%	23.6%
Call IV 25d	64.7%	48.4%	81.5%	49.8%	81.5%
Put IV 25d	72.5%	53.7%	90.1%	53.7%	90.1%
Bid-Ask Spread %	15.96	9.74	20.86	9.78	16.54
Gamma HHI	0.13	0.11	0.24	0.13	0.12
Net GEX	159.5K	-328.4K	408.0K	291.5K	92.7K
Net DEX	28.8M	18.0M	43.2M	21.3M	26.5M
Net VEX	-268.7K	-345.1K	-219.5K	-331.3K	-219.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.64	0.15	6.88	1.04	3.47
Total Volume	1,679.286	190	6,083	5,786	6,083
Total OI	61,945.571	49,645	69,654	64,277	54,208

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-07-02	$40.81	$45.00	52.1%	14.9%	50.1%	16.8%	50.8%	3.9%	12.2%	291.5K	21.3M	-331.3K	1.04	9.78	2,830	2,956	39,657	24,620
2012-07-03	$41.02	$45.00	52.6%	15.1%	50.0%	17.4%	51.2%	7.5%	14.2%	408.0K	18.6M	-345.1K	1.33	9.74	282	376	40,673	25,254
2012-07-05	$40.78	$45.00	52.8%	15.1%	50.0%	17.7%	51.5%	4.3%	12.2%	334.4K	21.2M	-327.8K	0.49	19.04	883	434	40,523	25,372
2012-07-06	$39.00	$42.50	51.3%	18.7%	52.5%	15.6%	65.8%	7.6%	-8.4%	148.8K	31.0M	-311.0K	0.78	15.51	634	495	41,050	25,575
2012-07-09	$39.03	$42.50	53.4%	19.5%	48.8%	18.6%	66.7%	6.5%	-9.3%	130.0K	33.0M	-288.7K	0.93	13.69	323	299	41,236	25,468
2012-07-10	$38.00	$42.50	55.8%	19.7%	49.3%	20.0%	68.1%	7.9%	-3.7%	44.1K	35.5M	-285.2K	1.05	17.87	345	361	41,335	25,504
2012-07-11	$38.67	$42.50	54.6%	19.4%	46.7%	18.1%	67.2%	6.6%	-9.8%	98.9K	34.2M	-287.4K	0.26	18.32	920	241	41,456	25,674
2012-07-12	$38.44	$42.50	67.3%	19.3%	46.7%	37.4%	66.6%	7.3%	-7.5%	44.6K	36.6M	-269.8K	0.62	16.64	787	486	41,600	25,622
2012-07-13	$38.87	$42.50	64.8%	18.6%	47.1%	33.7%	65.0%	6.4%	-6.9%	128.5K	33.7M	-274.5K	0.15	16.53	301	46	42,189	25,680
2012-07-16	$39.05	$42.50	68.0%	19.5%	47.1%	38.5%	69.6%	6.7%	-8.6%	186.0K	32.0M	-279.2K	1.03	20.11	405	416	42,319	25,679
2012-07-17	$37.99	$40.00	67.9%	19.5%	46.9%	38.3%	65.9%	8.3%	-9.7%	95.5K	37.6M	-257.2K	3.40	18.06	255	867	42,410	25,653
2012-07-18	$37.69	$42.50	67.8%	19.4%	46.5%	38.2%	65.9%	8.7%	-8.2%	14.2K	41.8M	-242.9K	3.75	16.37	477	1,787	42,390	26,005
2012-07-19	$37.89	$42.50	69.6%	20.0%	46.8%	40.9%	70.5%	9.0%	-11.4%	-208.9K	43.2M	-231.9K	1.49	16.47	294	438	42,253	27,085
2012-07-20	$37.89	$40.00	67.5%	19.4%	46.4%	37.8%	68.3%	8.6%	-11.2%	-328.4K	40.1M	-249.6K	3.52	15.22	500	1,759	42,494	27,160
2012-07-23	$37.19	$40.00	71.5%	20.5%	45.8%	43.9%	70.8%	8.8%	-10.7%	270.0K	20.4M	-238.4K	0.46	11.85	810	372	32,311	17,334
2012-07-24	$37.70	$40.00	71.4%	20.5%	46.3%	43.6%	71.7%	9.2%	-8.3%	359.4K	18.8M	-246.2K	1.97	15.69	64	126	32,892	17,367
2012-07-25	$37.55	$40.00	71.0%	20.4%	45.4%	43.1%	70.2%	10.2%	-11.0%	344.4K	19.6M	-240.9K	0.78	15.41	857	666	32,908	17,402
2012-07-26	$37.00	$40.00	74.1%	21.2%	45.4%	47.7%	75.1%	9.4%	-9.9%	254.8K	21.3M	-237.3K	0.51	15.43	1,357	686	32,793	17,809
2012-07-27	$38.24	$40.00	75.0%	21.5%	47.3%	49.1%	73.7%	9.3%	-13.4%	351.7K	18.0M	-247.6K	0.44	15.95	741	329	33,422	18,257
2012-07-30	$36.78	$40.00	83.2%	23.8%	44.6%	61.5%	87.5%	8.6%	-18.6%	289.8K	20.8M	-231.5K	6.88	20.86	378	2,599	33,866	18,352
2012-07-31	$36.36	$40.00	84.6%	24.3%	30.3%	63.8%	84.9%	8.6%	-20.9%	92.7K	26.5M	-219.5K	3.47	16.54	1,360	4,723	33,666	20,542