OPEN Options History — August 2012

In August 2012, OPEN traded between $34.15 and $44.86. ATM implied volatility averaged 45.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 13.4% (HV 20d: 58.5%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.92.

Notable Days

2012-08-02: Highest Volume — 22,130 contracts
2012-08-03: Largest IV drop — 54.9% change
2012-08-02: Highest IV Rank — 90.7%
2012-08-02: Largest Expected Move — 29.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.35	$34.15	$44.86	$35.93	$42.45
Max Pain	$40.98	$37.50	$42.50	$40.00	$42.50
ATM IV	45.1%	36.6%	102.4%	89.9%	41.3%
Expected Move	13.2%	10.5%	29.3%	25.8%	11.8%
HV 20d	58.5%	26.8%	64.4%	30.1%	26.8%
HV 60d	49.7%	41.7%	52.6%	41.7%	49.0%
IV Rank	10.4%	0.0%	90.7%	71.7%	6.6%
IV Percentile	10.7%	0.0%	99.2%	98.8%	5.6%
Term Structure	-0.3%	-31.6%	3.8%	-22.0%	2.4%
VWIV	47.3%	37.3%	101.0%	87.6%	44.6%
Skew 25d	6.7%	3.2%	11.2%	11.2%	7.3%
Skew 10d	14.5%	6.1%	29.0%	22.6%	14.9%
Call IV 25d	43.2%	35.2%	92.3%	84.1%	39.1%
Put IV 25d	49.9%	40.5%	103.6%	95.3%	46.4%
Bid-Ask Spread %	13.81	8.81	17.75	17.56	16.96
Gamma HHI	0.18	0.11	0.41	0.11	0.18
Net GEX	764.7K	-164.4K	3.1M	-56.6K	187.5K
Net DEX	206.9K	-28.7M	40.8M	33.6M	12.6M
Net VEX	-288.9K	-322.3K	-209.2K	-243.0K	-278.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.92	0.25	33.92	1.10	6.00
Total Volume	3,121.739	222	22,130	3,413	357
Total OI	63,992.739	51,620	74,126	59,295	56,451

Daily Data (23 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
2012-08-01	$35.93	$40.00	89.9%	25.8%	30.1%	71.7%	87.6%	11.2%	-22.0%	-56.6K	33.6M	-243.0K	1.10	17.56	1,625	1,788	34,955	24,340
2012-08-02	$34.15	$40.00	102.4%	29.3%	34.0%	90.7%	101.0%	11.2%	-31.6%	-161.2K	40.8M	-209.2K	1.36	17.75	9,371	12,759	35,263	25,281
2012-08-03	$39.55	$37.50	46.2%	13.2%	62.9%	5.3%	48.3%	9.5%	1.7%	384.7K	12.2M	-279.0K	0.86	10.25	7,545	6,456	39,713	30,864
2012-08-06	$40.29	$40.00	46.7%	13.4%	63.2%	6.1%	45.8%	7.6%	0.9%	465.8K	8.3M	-293.3K	0.91	15.62	552	505	40,651	32,366
2012-08-07	$41.47	$40.00	41.6%	12.6%	63.0%	0.0%	46.0%	6.7%	1.2%	753.6K	-1.1M	-295.4K	0.60	10.03	1,727	1,039	40,734	32,275
2012-08-08	$42.32	$40.00	41.1%	12.5%	63.1%	0.0%	45.1%	6.6%	0.6%	1.2M	-13.8M	-310.4K	0.63	14.72	1,128	709	41,785	32,341
2012-08-09	$44.03	$40.00	36.8%	11.8%	64.1%	0.0%	43.3%	6.8%	1.7%	1.7M	-28.7M	-322.3K	0.25	10.96	4,390	1,098	41,295	32,423
2012-08-10	$43.57	$40.00	39.6%	12.4%	64.4%	3.9%	44.2%	6.0%	1.1%	1.6M	-25.1M	-317.9K	2.27	10.09	94	213	41,231	32,884
2012-08-13	$43.60	$40.00	42.4%	12.5%	64.4%	7.7%	46.6%	6.3%	0.5%	1.8M	-19.4M	-309.6K	0.94	14.36	403	378	39,990	32,896
2012-08-14	$43.20	$40.00	40.5%	12.4%	63.5%	5.2%	42.8%	6.2%	1.5%	1.4M	-12.8M	-294.9K	0.54	17.24	210	114	39,707	33,167
2012-08-15	$43.08	$40.00	38.2%	11.9%	63.4%	2.0%	42.3%	6.0%	2.5%	1.1M	-11.6M	-290.3K	1.26	13.65	806	1,014	39,735	33,250
2012-08-16	$43.41	$40.00	40.9%	11.7%	63.4%	5.6%	43.5%	6.4%	2.5%	862.1K	-10.0M	-286.2K	1.13	17.70	935	1,058	39,540	33,090
2012-08-17	$44.57	$40.00	37.3%	10.7%	63.7%	0.6%	37.3%	5.5%	2.8%	3.1M	-18.4M	-295.6K	0.91	15.46	1,447	1,314	39,863	33,800
2012-08-20	$44.15	$42.50	37.4%	10.7%	63.2%	0.8%	38.8%	5.7%	3.5%	515.4K	-215.4K	-290.5K	0.64	17.47	727	468	31,053	20,567
2012-08-21	$44.86	$42.50	36.6%	10.5%	63.3%	0.0%	37.3%	5.3%	3.4%	619.3K	-4.4M	-293.9K	2.38	13.95	642	1,531	31,395	20,834
2012-08-22	$44.27	$42.50	37.2%	10.7%	63.6%	0.8%	41.9%	5.5%	3.6%	471.0K	2.1M	-287.8K	3.97	15.04	76	302	31,783	21,887
2012-08-23	$43.76	$42.50	37.7%	10.8%	63.5%	1.5%	41.5%	5.0%	3.8%	356.7K	3.5M	-287.7K	0.35	8.81	1,217	424	31,828	21,870
2012-08-24	$43.52	$42.50	40.2%	11.5%	63.0%	5.0%	39.9%	5.5%	3.1%	430.9K	2.7M	-299.0K	1.92	11.06	261	502	32,804	21,733
2012-08-27	$42.98	$42.50	39.4%	11.3%	61.1%	3.9%	38.9%	4.9%	2.8%	279.2K	7.2M	-285.2K	1.43	13.02	697	1,000	32,921	22,041
2012-08-28	$43.16	$42.50	39.1%	11.2%	60.7%	3.4%	39.0%	3.2%	2.8%	287.5K	6.0M	-288.4K	1.09	13.67	106	116	33,482	22,572
2012-08-29	$43.40	$42.50	42.4%	12.2%	60.2%	8.1%	46.8%	7.6%	2.1%	407.5K	5.4M	-297.0K	33.92	12.49	107	3,629	33,550	22,572
2012-08-30	$42.31	$42.50	43.3%	12.4%	57.5%	9.3%	46.1%	7.9%	1.4%	-164.4K	15.9M	-290.3K	2.76	9.71	255	705	33,531	25,520
2012-08-31	$42.45	$42.50	41.3%	11.8%	26.8%	6.6%	44.6%	7.3%	2.4%	187.5K	12.6M	-278.8K	6.00	16.96	51	306	33,508	22,943