OPEN Options History — January 2013

In January 2013, OPEN traded between $51.38 and $54.87. ATM implied volatility averaged 50.3%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 21.8% (HV 20d: 28.5%). Max pain ranged from $50.00 to $52.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.87.

Notable Days

  • 2013-01-04: Highest Volume — 7,593 contracts
  • 2013-01-10: Largest IV spike — 34.0% change
  • 2013-01-31: Highest IV Rank — 37.2%
  • 2013-01-31: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.06$51.38$54.87$51.38$52.69
Max Pain$52.14$50.00$52.50$50.00$52.50
ATM IV50.3%36.1%62.5%39.0%62.5%
Expected Move15.1%10.3%17.9%11.2%17.9%
HV 20d28.5%25.2%36.0%32.4%31.5%
HV 60d30.5%29.1%31.6%31.0%30.2%
IV Rank20.5%1.0%37.2%5.0%37.2%
IV Percentile51.0%1.2%82.1%9.9%82.1%
Term Structure-8.1%-17.0%13.2%12.0%-17.0%
VWIV53.0%33.5%61.7%38.2%61.7%
Skew 25d5.0%1.0%6.7%1.0%6.1%
Skew 10d8.2%1.4%11.2%1.4%8.7%
Call IV 25d50.4%35.6%59.0%37.9%59.0%
Put IV 25d55.4%37.5%65.1%38.9%65.1%
Bid-Ask Spread %12.318.3819.4010.399.06
Gamma HHI0.290.130.560.320.16
Net GEX446.0K-224.2K1.1M761.4K-141.5K
Net DEX-19.1M-35.8M-1.2M-20.3M-4.4M
Net VEX-124.9K-142.7K-109.1K-118.4K-142.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.225.001.141.17
Total Volume2,062.4292587,5931,604676
Total OI35,065.33314,84550,09940,86121,401

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$51.38$50.0039.0%11.2%32.4%5.0%38.2%1.0%12.0%761.4K-20.3M-118.4K1.1410.3974985524,46316,398
2013-01-03$52.21$50.0036.1%10.3%28.0%1.0%33.5%1.9%13.2%679.3K-24.0M-118.8K0.548.3896852524,57016,676
2013-01-04$53.10$50.0038.9%14.7%27.4%4.8%52.2%4.6%-6.0%674.2K-29.8M-120.7K2.678.972,0685,52524,85516,905
2013-01-07$52.91$52.5040.8%15.2%25.2%7.4%53.2%5.2%-8.9%1.1M-30.9M-121.4K0.9916.581,2471,23526,12715,946
2013-01-08$51.87$52.5039.8%15.1%27.0%6.1%57.0%5.4%-8.8%1.1M-22.1M-126.0K3.3311.5220166926,67416,895
2013-01-09$51.67$52.5039.2%15.6%26.8%5.3%55.2%5.3%-10.4%1.0M-18.5M-128.1K2.4410.477518326,55017,426
2013-01-10$52.36$52.5052.5%15.1%26.7%23.5%51.5%6.2%-8.0%968.2K-23.0M-122.7K0.2211.202,00844826,60517,478
2013-01-11$53.53$52.5052.5%15.0%27.2%23.4%53.0%4.9%-8.4%942.3K-35.8M-129.5K1.279.9525432328,34617,827
2013-01-14$53.00$52.5053.7%15.4%27.8%25.1%54.3%6.7%-9.1%1.0M-32.4M-121.8K5.0013.276143,06728,17317,966
2013-01-15$52.89$52.5053.8%15.4%27.8%25.2%53.1%5.5%-10.0%516.8K-24.2M-122.7K4.9514.393261,61428,42920,575
2013-01-16$51.67$52.5052.3%15.0%26.9%23.1%52.1%5.3%-9.8%479.4K-11.8M-122.5K1.4314.777621,09228,53621,563
2013-01-17$52.23$52.5052.1%14.9%26.8%22.9%51.7%5.4%-8.0%88.3K-16.4M-115.5K0.4516.3044619928,22221,777
2013-01-18$54.15$52.5049.3%14.1%28.7%19.0%49.3%4.3%-8.0%-216.7K-32.2M-109.1K0.4613.463,0051,37528,28121,772
2013-01-22$54.82$52.5050.7%14.5%28.8%21.0%51.2%4.4%-7.2%262.9K-15.4M-111.8K1.2912.268081,0418,1056,740
2013-01-23$54.76$52.5050.9%14.6%28.1%21.3%51.1%5.2%-8.8%249.7K-15.4M-116.7K0.7811.103863008,5437,400
2013-01-24$54.00$52.5056.9%16.3%28.9%29.4%57.9%5.2%-11.7%204.5K-13.1M-119.0K2.1911.021,6173,5498,6867,611
2013-01-25$53.75$52.5057.5%16.5%28.8%30.2%56.6%5.4%-11.5%-49.4K-8.7M-142.1K1.4411.333464979,23110,087
2013-01-28$54.38$52.5058.2%16.7%28.9%31.2%60.1%5.9%-12.9%-12.8K-10.7M-138.5K4.2512.021807659,29310,123
2013-01-29$54.87$52.5059.5%17.1%28.8%33.1%60.4%5.8%-14.8%-56.4K-11.8M-138.7K2.3512.761884419,28410,581
2013-01-30$51.93$52.5060.9%17.5%36.0%34.9%59.7%5.3%-14.8%-224.2K-1.2M-136.8K0.9919.401,3481,3369,40210,850
2013-01-31$52.69$52.5062.5%17.9%31.5%37.2%61.7%6.1%-17.0%-141.5K-4.4M-142.7K1.179.0631136510,02011,381