OPEN Options History — December 2012

In December 2012, OPEN traded between $42.87 and $50.18. ATM implied volatility averaged 38.2%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 10.1% (HV 20d: 28.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2012-12-21: Highest Volume — 2,250 contracts
  • 2012-12-13: Largest IV spike — 10.3% change
  • 2012-12-31: Highest IV Rank — 8.0%
  • 2012-12-31: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.46$42.87$50.18$44.80$48.80
Max Pain$49.00$45.00$50.00$45.00$50.00
ATM IV38.2%35.7%41.2%36.8%41.2%
Expected Move11.1%10.5%11.8%10.5%11.8%
HV 20d28.0%25.7%30.4%26.6%27.8%
HV 60d33.0%29.5%36.6%36.6%29.5%
IV Rank3.8%0.5%8.0%1.9%8.0%
IV Percentile6.3%0.4%17.5%1.2%17.5%
Term Structure6.7%2.4%10.9%3.1%9.7%
VWIV39.5%37.1%42.1%37.1%41.2%
Skew 25d1.6%-0.7%2.6%1.6%1.6%
Skew 10d4.1%0.3%6.0%1.7%5.9%
Call IV 25d38.7%36.0%41.2%36.0%41.2%
Put IV 25d40.3%37.6%42.8%37.6%42.8%
Bid-Ask Spread %13.228.3226.9316.338.32
Gamma HHI0.240.170.320.170.32
Net GEX630.3K62.4K1.1M192.6K553.2K
Net DEX-2.9M-21.2M19.1M11.6M-4.3M
Net VEX-138.4K-153.9K-123.2K-136.8K-123.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.103.130.180.47
Total Volume886.12552,2501,7871,230
Total OI42,200.639,71943,92440,19840,464

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$44.80$45.0036.8%10.5%26.6%1.9%37.1%1.6%3.1%192.6K11.6M-136.8K0.1816.331,51027723,71216,486
2012-12-04$43.17$45.0039.3%11.3%29.5%5.4%39.0%2.0%4.8%85.6K17.5M-134.0K0.1022.758588424,78916,622
2012-12-05$42.87$45.0037.2%10.7%25.7%2.6%38.6%1.4%5.2%62.4K19.1M-130.8K0.2026.934689425,44716,644
2012-12-06$44.71$45.0037.1%10.7%30.4%2.5%37.4%-0.7%2.4%350.6K10.3M-141.4K0.4419.231,10848525,54116,615
2012-12-07$45.30$50.0036.1%11.2%27.2%1.1%40.0%1.1%7.4%444.3K7.2M-144.2K0.5510.6345024625,76116,914
2012-12-10$46.21$50.0038.1%11.4%27.7%3.7%40.1%1.3%6.8%570.7K2.3M-144.7K0.5812.3685349825,63917,014
2012-12-11$46.94$50.0035.8%11.1%28.1%0.5%39.6%0.8%6.4%737.2K-998.0K-144.1K2.7411.353951,08225,88417,116
2012-12-12$47.61$50.0035.7%11.2%28.3%0.5%39.3%1.7%6.2%780.3K-4.9M-153.9K0.779.7833626026,00317,921
2012-12-13$47.75$50.0039.4%11.3%26.8%5.6%40.1%1.9%5.4%845.2K-5.3M-148.5K3.1310.888727225,90717,470
2012-12-14$47.76$50.0038.9%11.2%26.5%4.8%40.7%2.5%5.5%889.5K-5.7M-146.6K0.5511.601799825,92817,522
2012-12-17$49.55$50.0038.0%10.9%28.6%3.6%38.5%1.2%6.9%994.5K-17.6M-138.0K0.3611.2749217926,01317,515
2012-12-18$50.18$50.0038.4%11.0%28.6%4.2%38.9%2.4%7.2%1.0M-21.2M-141.0K0.479.6378736726,02217,553
2012-12-19$49.50$50.0038.4%11.0%29.5%4.1%39.7%1.8%6.5%1.0M-16.6M-140.4K0.8411.3014812426,13217,541
2012-12-20$49.48$50.0038.4%11.0%29.6%4.2%38.8%1.4%6.2%1.1M-17.0M-139.4K2.4010.3017542026,08617,435
2012-12-21$48.85$50.0037.9%10.9%28.4%3.5%38.6%2.0%6.3%795.1K-12.8M-135.6K0.5911.651,41583526,11617,615
2012-12-24$49.22$50.0038.6%11.1%27.6%4.5%39.4%1.2%8.9%532.6K-6.4M-134.3K0.829.7327422423,92715,792
2012-12-26$48.88$50.0039.1%11.2%27.9%5.1%40.3%2.5%8.3%554.2K-5.0M-130.1K2.1012.8620743524,18715,905
2012-12-27$48.85$50.0039.7%11.4%28.0%5.9%41.4%2.6%10.5%535.0K-5.1M-132.3K1.8014.3518433124,26116,088
2012-12-28$48.85$50.0039.1%11.2%27.9%5.2%42.1%2.0%10.9%561.7K-4.2M-128.0K2.0013.208517024,28916,136
2012-12-31$48.80$50.0041.2%11.8%27.8%8.0%41.2%1.6%9.7%553.2K-4.3M-123.2K0.478.3283539524,31016,154