OPEN Options History — September 2012

In September 2012, OPEN traded between $40.92 and $49.20. ATM implied volatility averaged 47.3%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 9.6% (HV 20d: 37.7%). Max pain ranged from $42.50 to $42.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2012-09-05: Highest Volume — 16,244 contracts
2012-09-05: Largest IV spike — 19.1% change
2012-09-11: Highest IV Rank — 23.8%
2012-09-05: Largest Expected Move — 15.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.06	$40.92	$49.20	$42.95	$41.60
Max Pain	$42.50	$42.50	$42.50	$42.50	$42.50
ATM IV	47.3%	44.4%	53.7%	44.4%	46.6%
Expected Move	13.5%	12.7%	15.2%	12.7%	13.4%
HV 20d	37.7%	25.2%	47.6%	26.4%	46.8%
HV 60d	49.8%	47.9%	51.8%	48.0%	48.0%
IV Rank	15.0%	10.8%	23.8%	10.8%	14.0%
IV Percentile	18.7%	9.9%	42.1%	9.9%	17.1%
Term Structure	6.4%	-2.2%	14.2%	0.5%	12.9%
VWIV	47.5%	44.9%	50.2%	44.9%	47.1%
Skew 25d	3.2%	1.2%	7.9%	7.9%	1.8%
Skew 10d	7.8%	2.5%	16.3%	16.3%	5.4%
Call IV 25d	46.4%	41.1%	51.0%	41.1%	46.6%
Put IV 25d	49.7%	46.6%	55.7%	49.0%	48.4%
Bid-Ask Spread %	18.46	14.37	22.79	17.51	14.67
Gamma HHI	0.29	0.16	0.87	0.18	0.18
Net GEX	3.9M	229.5K	24.6M	229.5K	391.1K
Net DEX	-35.2M	-107.3M	18.5M	9.1M	17.0M
Net VEX	-306.5K	-365.5K	-213.9K	-275.1K	-223.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.06	9.54	0.57	0.93
Total Volume	3,141.105	281	16,244	974	1,065
Total OI	68,987.947	53,938	80,249	56,681	55,971

Daily Data (19 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
2012-09-04	$42.95	$42.50	44.4%	12.7%	26.4%	10.8%	44.9%	7.9%	0.5%	229.5K	9.1M	-275.1K	0.57	17.51	619	355	33,539	23,142
2012-09-05	$43.72	$42.50	52.8%	15.2%	25.2%	22.6%	50.2%	4.7%	-2.2%	378.0K	1.1M	-293.4K	0.06	14.37	15,347	897	33,428	23,156
2012-09-06	$46.46	$42.50	46.5%	13.3%	32.1%	13.8%	45.4%	1.9%	0.1%	2.9M	-52.8M	-361.9K	0.56	21.18	2,037	1,147	46,095	23,623
2012-09-07	$46.22	$42.50	46.5%	13.7%	29.5%	13.8%	48.3%	3.6%	4.5%	3.0M	-51.4M	-362.8K	0.26	20.57	2,894	755	46,696	24,297
2012-09-10	$45.50	$42.50	52.0%	14.0%	29.9%	21.4%	48.9%	3.0%	4.3%	3.1M	-44.4M	-357.2K	0.19	16.60	3,352	651	48,305	24,648
2012-09-11	$47.03	$42.50	53.7%	14.3%	31.8%	23.8%	50.1%	1.2%	2.4%	3.6M	-67.4M	-365.5K	0.67	20.00	1,961	1,307	50,414	25,054
2012-09-12	$46.04	$42.50	47.4%	14.1%	32.7%	15.0%	49.8%	2.7%	3.2%	4.1M	-52.2M	-362.0K	0.43	20.72	4,917	2,121	51,245	25,973
2012-09-13	$47.84	$42.50	45.1%	12.9%	34.9%	11.9%	45.2%	3.3%	6.7%	4.4M	-84.3M	-360.2K	0.41	20.45	1,090	444	52,004	26,728
2012-09-14	$49.20	$42.50	44.8%	12.8%	35.8%	11.4%	48.6%	3.1%	5.6%	3.8M	-107.3M	-349.6K	2.20	14.75	715	1,573	51,637	26,873
2012-09-17	$46.50	$42.50	47.9%	13.7%	41.3%	15.8%	49.2%	3.6%	4.9%	4.4M	-60.4M	-338.6K	2.03	15.59	803	1,633	51,995	27,542
2012-09-18	$46.99	$42.50	47.3%	13.6%	41.2%	15.0%	47.8%	3.3%	5.0%	4.8M	-71.0M	-335.6K	0.92	18.52	146	135	51,938	28,147
2012-09-19	$46.87	$42.50	46.7%	13.4%	40.9%	14.1%	47.7%	4.1%	5.4%	4.9M	-65.6M	-329.0K	2.91	22.79	144	419	51,984	28,265
2012-09-20	$45.53	$42.50	45.8%	13.1%	42.1%	12.8%	45.6%	2.3%	6.7%	7.9M	-43.1M	-301.3K	0.08	16.99	4,658	352	51,992	28,230
2012-09-21	$45.15	$42.50	45.1%	12.9%	42.0%	11.8%	45.4%	4.2%	6.6%	24.6M	-43.5M	-288.1K	0.12	21.43	3,289	382	51,687	27,632
2012-09-24	$44.06	$42.50	44.9%	12.9%	42.9%	11.6%	45.9%	2.6%	14.1%	942.3K	-547.7K	-258.3K	1.28	18.40	552	707	34,705	19,233
2012-09-25	$41.84	$42.50	47.1%	13.5%	46.6%	14.7%	47.5%	2.2%	13.3%	503.4K	12.6M	-230.6K	0.45	19.24	885	402	34,902	19,640
2012-09-26	$40.92	$42.50	48.6%	13.9%	47.1%	16.7%	48.5%	2.8%	14.2%	326.3K	18.5M	-213.9K	1.20	19.04	340	407	35,283	19,734
2012-09-27	$41.66	$42.50	46.2%	13.2%	47.6%	13.3%	46.5%	3.2%	13.4%	411.9K	16.6M	-217.5K	9.54	17.95	112	1,068	35,228	19,806
2012-09-28	$41.60	$42.50	46.6%	13.4%	46.8%	14.0%	47.1%	1.8%	12.9%	391.1K	17.0M	-223.2K	0.93	14.67	552	513	35,265	20,706