OPEN Options History — November 2012

In November 2012, OPEN traded between $42.85 and $47.36. ATM implied volatility averaged 43.3%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 9.1% (HV 20d: 34.2%). Max pain ranged from $42.50 to $47.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-11-01: Highest Volume — 7,044 contracts
  • 2012-11-02: Largest IV drop — 41.8% change
  • 2012-11-01: Highest IV Rank — 59.3%
  • 2012-11-01: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.64$42.85$47.36$47.36$44.89
Max Pain$45.83$42.50$47.50$47.50$45.00
ATM IV43.3%35.4%79.2%79.2%35.4%
Expected Move12.6%10.1%22.7%22.7%10.1%
HV 20d34.2%28.2%38.2%29.8%30.8%
HV 60d36.7%35.5%37.3%35.5%36.8%
IV Rank9.5%0.0%59.3%59.3%0.0%
IV Percentile12.3%0.0%93.7%93.7%0.0%
Term Structure0.4%-21.6%3.9%-21.6%3.6%
VWIV44.3%35.8%76.8%76.8%36.1%
Skew 25d2.0%0.3%3.0%2.8%2.2%
Skew 10d5.1%-0.8%15.4%-0.8%4.9%
Call IV 25d43.4%35.0%76.6%76.6%35.0%
Put IV 25d45.4%37.2%79.3%79.3%37.2%
Bid-Ask Spread %21.2012.3230.4530.4518.97
Gamma HHI0.180.160.250.170.17
Net GEX1.4K-587.9K310.8K310.8K184.3K
Net DEX13.8M-3.5M25.0M-3.5M11.8M
Net VEX-162.2K-227.1K-139.2K-227.1K-143.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.361.630.420.36
Total Volume1,259.7622547,0447,044254
Total OI43,810.85737,06249,02442,58640,135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$47.36$47.5079.2%22.7%29.8%59.3%76.8%2.8%-21.6%310.8K-3.5M-227.1K0.4230.454,9712,07324,70717,879
2012-11-02$45.30$47.5046.1%13.2%33.9%13.2%48.2%1.1%0.1%124.8K9.9M-197.4K1.2219.251,6442,00428,10518,652
2012-11-05$44.97$47.5048.3%13.5%33.6%16.4%50.1%2.9%-0.7%-39.6K13.5M-186.0K1.4115.6032746228,15219,150
2012-11-06$46.66$47.5042.2%12.5%36.1%7.8%44.9%2.1%0.6%121.3K4.7M-192.9K0.4130.131,15646928,22419,129
2012-11-07$46.29$47.5043.5%12.9%35.6%9.6%46.7%1.8%0.3%296.8K5.2M-196.6K0.8925.1057150729,03619,249
2012-11-08$44.46$47.5043.4%12.9%38.2%9.4%46.3%1.9%0.5%-21.8K15.4M-180.8K0.9624.3861258629,17219,185
2012-11-09$44.08$47.5041.8%13.0%37.8%7.2%45.7%2.0%0.8%-98.4K18.2M-170.5K0.8817.7117915729,14919,208
2012-11-12$44.14$47.5044.3%12.8%37.5%10.7%44.8%2.5%1.4%-162.2K19.1M-163.7K0.5221.0025813329,18219,262
2012-11-13$44.10$45.0041.6%12.3%37.2%7.0%43.5%1.7%1.0%-240.2K20.7M-159.8K1.6326.1527644929,27419,337
2012-11-14$43.18$45.0041.1%12.4%37.8%6.3%43.1%2.1%3.6%-311.2K24.3M-151.5K1.6022.6220532729,48519,539
2012-11-15$42.93$45.0042.8%12.3%37.2%8.6%43.3%1.9%1.4%-346.5K25.0M-144.6K0.5019.4455227729,23819,333
2012-11-16$42.85$45.0042.9%12.3%36.9%8.8%43.0%1.8%1.1%-587.9K24.4M-143.4K1.5015.7523234929,13119,317
2012-11-19$43.37$45.0040.6%11.6%36.2%5.6%40.2%2.6%3.9%-45.7K17.0M-139.2K0.9023.2366159521,71815,344
2012-11-20$43.46$45.0040.6%11.6%36.1%5.6%41.0%3.0%1.7%-20.8K17.1M-140.6K1.4115.9720629022,15715,579
2012-11-21$43.95$45.0041.0%11.7%28.2%6.1%40.6%2.1%1.6%11.4K15.4M-142.9K0.4022.9175830122,25215,608
2012-11-23$45.44$45.0040.7%11.7%31.0%5.7%40.6%1.9%1.8%171.3K8.5M-152.4K0.7412.3224017722,77915,633
2012-11-26$44.78$45.0041.2%11.8%31.4%6.4%42.5%2.4%0.9%135.6K11.3M-144.2K1.4121.1337252622,83015,619
2012-11-27$45.05$42.5037.9%10.9%31.2%1.9%38.8%1.0%2.6%177.6K10.2M-143.0K1.1523.2184296522,99115,719
2012-11-28$45.13$45.0038.7%11.1%31.0%2.9%39.0%0.3%1.6%174.7K10.6M-144.0K1.0416.4431432623,43616,226
2012-11-29$45.09$45.0036.2%10.4%31.0%0.0%35.8%1.8%3.1%194.1K10.7M-142.9K0.4823.3857427823,48016,427
2012-11-30$44.89$45.0035.4%10.1%30.8%0.0%36.1%2.2%3.6%184.3K11.8M-143.5K0.3618.971876723,59716,538