OPEN Options History — October 2012

In October 2012, OPEN traded between $42.70 and $46.98. ATM implied volatility averaged 56.6%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 18.9% (HV 20d: 37.7%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.33.

Notable Days

2012-10-22: Highest Volume — 7,824 contracts
2012-10-11: Largest IV spike — 42.3% change
2012-10-31: Highest IV Rank — 53.9%
2012-10-31: Largest Expected Move — 21.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.15	$42.70	$46.98	$42.70	$46.97
Max Pain	$45.83	$42.50	$47.50	$42.50	$47.50
ATM IV	56.6%	41.1%	75.3%	45.7%	75.3%
Expected Move	17.2%	12.2%	21.6%	13.1%	21.6%
HV 20d	37.7%	30.2%	48.1%	47.8%	30.2%
HV 60d	46.8%	35.6%	48.6%	47.4%	35.6%
IV Rank	27.8%	6.3%	53.9%	12.6%	53.9%
IV Percentile	50.0%	5.6%	92.9%	13.5%	92.9%
Term Structure	-5.4%	-17.9%	17.0%	14.5%	-17.9%
VWIV	60.6%	43.6%	75.6%	45.7%	75.6%
Skew 25d	4.9%	2.4%	6.1%	2.4%	3.4%
Skew 10d	9.6%	4.4%	13.1%	4.4%	8.7%
Call IV 25d	57.9%	42.4%	73.2%	45.3%	73.2%
Put IV 25d	62.7%	45.6%	76.6%	47.7%	76.6%
Bid-Ask Spread %	15.59	9.15	21.08	16.18	18.59
Gamma HHI	0.22	0.12	0.37	0.21	0.17
Net GEX	868.9K	-74.2K	2.1M	576.0K	255.0K
Net DEX	838.8K	-10.5M	12.4M	11.7M	-267.7K
Net VEX	-223.7K	-252.0K	-188.8K	-224.1K	-218.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.33	0.13	6.73	1.55	6.73
Total Volume	1,417.762	376	7,824	1,367	1,121
Total OI	53,310.333	38,316	60,170	56,466	42,086

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
2012-10-01	$42.70	$42.50	45.7%	13.1%	47.8%	12.6%	45.7%	2.4%	14.5%	576.0K	11.7M	-224.1K	1.55	16.18	536	831	35,425	21,041
2012-10-02	$43.50	$42.50	44.5%	12.8%	48.0%	11.0%	43.7%	2.6%	15.3%	842.9K	5.2M	-234.5K	0.25	16.55	841	208	35,421	20,886
2012-10-03	$44.31	$42.50	42.4%	12.2%	48.1%	8.2%	43.6%	3.2%	15.8%	1.1M	-1.5M	-243.7K	0.13	13.62	1,032	129	35,848	20,910
2012-10-04	$44.95	$42.50	42.9%	12.3%	42.9%	8.7%	46.3%	4.9%	17.0%	1.3M	-5.7M	-252.0K	3.10	15.45	426	1,320	36,455	20,986
2012-10-05	$44.79	$45.00	41.1%	16.7%	42.9%	6.3%	61.5%	5.6%	-5.4%	1.3M	-4.8M	-250.8K	0.68	12.42	369	250	36,574	21,735
2012-10-08	$45.65	$45.00	42.1%	17.1%	43.2%	7.6%	61.7%	5.3%	-7.4%	1.6M	-10.5M	-248.3K	1.36	14.04	788	1,074	36,731	21,942
2012-10-09	$45.00	$45.00	42.5%	17.2%	41.6%	8.2%	62.7%	5.7%	-7.5%	1.4M	-5.0M	-243.6K	0.45	16.83	769	347	37,120	22,108
2012-10-10	$44.20	$45.00	43.1%	17.4%	41.4%	9.1%	62.7%	5.7%	-8.1%	1.1M	763.7K	-232.0K	0.83	15.71	223	185	37,423	22,251
2012-10-11	$44.71	$45.00	61.4%	17.6%	39.0%	34.5%	60.1%	5.7%	-8.2%	1.3M	-1.0M	-226.8K	2.35	15.81	153	359	37,490	22,309
2012-10-12	$45.29	$47.50	61.0%	17.5%	37.7%	34.0%	61.0%	6.1%	-8.7%	1.6M	-5.3M	-230.8K	0.74	21.08	220	163	37,522	22,558
2012-10-15	$45.09	$47.50	62.1%	17.8%	32.3%	35.4%	62.8%	5.8%	-10.0%	1.5M	-2.3M	-222.9K	1.10	19.35	202	223	37,390	22,602
2012-10-16	$45.84	$47.50	60.9%	17.5%	32.7%	33.9%	60.7%	5.1%	-10.1%	2.1M	-7.2M	-218.7K	1.65	16.96	444	732	37,469	22,701
2012-10-17	$45.10	$47.50	62.1%	17.8%	33.1%	35.5%	62.5%	5.3%	-10.0%	1.4M	-142.8K	-213.5K	0.46	13.90	977	445	37,210	22,742
2012-10-18	$43.98	$47.50	62.5%	17.9%	32.7%	36.1%	63.4%	5.2%	-10.5%	191.8K	11.0M	-192.8K	0.84	19.85	642	540	37,472	22,549
2012-10-19	$43.59	$47.50	62.3%	17.9%	32.7%	35.7%	61.7%	5.5%	-10.4%	-74.2K	12.4M	-188.8K	0.35	14.98	695	241	36,987	22,731
2012-10-22	$46.36	$45.00	65.4%	18.7%	38.5%	40.0%	65.7%	4.6%	-11.5%	118.1K	5.1M	-196.8K	0.23	14.10	6,365	1,459	23,153	15,458
2012-10-23	$46.30	$47.50	66.7%	19.1%	32.9%	41.8%	67.0%	5.0%	-12.2%	134.8K	4.4M	-210.3K	1.04	15.06	498	517	22,065	16,251
2012-10-24	$46.15	$47.50	67.3%	19.3%	31.4%	42.7%	66.0%	5.3%	-11.6%	120.8K	5.5M	-209.9K	1.79	15.91	135	241	22,377	16,549
2012-10-25	$46.61	$47.50	66.8%	19.2%	31.2%	42.1%	68.3%	5.7%	-11.9%	152.6K	3.3M	-217.3K	2.08	9.15	366	762	22,451	16,688
2012-10-26	$46.98	$47.50	70.3%	20.2%	31.0%	46.9%	69.4%	4.0%	-14.6%	168.7K	2.0M	-222.4K	0.18	11.90	2,489	456	22,691	17,160
2012-10-31	$46.97	$47.50	75.3%	21.6%	30.2%	53.9%	75.6%	3.4%	-17.9%	255.0K	-267.7K	-218.8K	6.73	18.59	145	976	24,586	17,500