OPEN Options History — March 2013

In March 2013, OPEN traded between $58.27 and $62.98. ATM implied volatility averaged 38.0%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 2.2% (HV 20d: 35.8%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2013-03-07: Highest Volume — 4,305 contracts
  • 2013-03-08: Largest IV drop — 15.6% change
  • 2013-03-07: Highest IV Rank — 19.0%
  • 2013-03-07: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.10$58.27$62.98$58.27$62.98
Max Pain$54.88$52.50$57.50$55.00$57.50
ATM IV38.0%33.5%46.5%37.9%33.5%
Expected Move10.6%9.6%12.3%10.9%9.6%
HV 20d35.8%27.4%44.5%44.5%27.4%
HV 60d35.4%35.0%36.2%36.2%35.1%
IV Rank6.7%0.1%19.0%6.5%0.1%
IV Percentile13.9%0.4%44.4%11.1%0.4%
Term Structure4.6%-0.7%9.8%0.6%9.8%
VWIV37.6%33.9%42.6%38.6%33.9%
Skew 25d1.2%-0.8%2.2%-0.8%2.2%
Skew 10d2.1%-4.2%4.9%-4.2%4.5%
Call IV 25d36.8%33.0%41.9%39.2%33.0%
Put IV 25d38.0%35.2%42.4%38.4%35.2%
Bid-Ask Spread %14.5110.3633.6613.4413.65
Gamma HHI0.200.140.280.200.15
Net GEX1.7M1.0M2.9M1.1M1.4M
Net DEX-51.3M-79.8M-34.2M-34.2M-49.4M
Net VEX-203.6K-212.9K-191.5K-194.7K-205.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.121.860.250.84
Total Volume1,916.63604,3053,788360
Total OI31,352.425,53037,82228,41428,784

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$58.27$55.0037.9%10.9%44.5%6.5%38.6%-0.8%0.6%1.1M-34.2M-194.7K0.2513.443,03175715,30213,112
2013-03-04$58.74$52.5040.8%11.3%44.4%10.8%39.4%1.2%1.9%1.5M-40.3M-197.9K0.1913.012,08639616,87013,326
2013-03-05$59.05$52.5042.9%11.3%41.8%13.8%39.9%0.1%0.6%1.8M-45.7M-198.9K0.2011.213,53669717,79113,481
2013-03-06$61.68$52.5041.3%11.5%42.8%11.5%40.5%-0.2%0.6%2.3M-67.3M-194.7K0.7010.361,35795419,19513,700
2013-03-07$60.94$55.0046.5%12.3%43.2%19.0%42.6%0.4%-0.7%2.1M-59.3M-209.5K1.1911.001,9632,34219,30314,205
2013-03-08$62.87$55.0039.3%11.6%42.0%8.5%41.1%0.7%0.5%2.1M-74.9M-207.2K0.2310.593,46179120,18115,641
2013-03-11$62.51$55.0041.0%11.2%35.9%11.1%39.6%1.3%1.0%2.6M-79.8M-210.5K0.3114.421,64950421,93315,874
2013-03-12$61.11$55.0043.6%10.9%36.7%14.8%38.3%1.4%1.9%2.7M-63.9M-206.1K0.9212.0159554521,41616,050
2013-03-13$60.92$55.0039.3%10.9%33.9%8.5%38.1%1.5%2.4%2.8M-61.9M-204.6K0.1211.091,76320421,37016,297
2013-03-14$61.22$55.0037.7%10.8%33.9%6.2%37.6%1.3%2.3%2.9M-65.3M-200.1K0.1314.1778010221,55116,271
2013-03-15$61.15$55.0036.0%10.3%33.7%3.7%36.1%1.0%4.4%1.8M-67.7M-191.5K0.8516.081,3391,13321,21116,321
2013-03-18$61.27$55.0035.2%10.1%33.6%2.6%36.3%1.9%7.0%1.1M-40.2M-195.4K1.5811.7449077514,88110,649
2013-03-19$60.55$55.0036.4%10.4%34.0%4.3%36.6%1.1%7.4%1.0M-36.3M-199.0K1.8613.675491,02114,99810,995
2013-03-20$60.99$55.0035.7%10.2%34.0%3.3%35.8%1.1%7.1%1.1M-37.9M-207.2K0.7117.6065246515,00611,736
2013-03-21$61.19$55.0034.9%10.0%32.3%2.2%34.8%1.6%8.1%1.1M-38.5M-209.7K1.1816.1230235615,06412,020
2013-03-22$61.32$55.0034.4%9.9%31.9%1.4%34.7%1.4%9.0%1.1M-39.0M-207.4K1.8633.6639473415,20912,183
2013-03-25$61.33$55.0035.0%10.0%31.3%2.3%35.8%2.0%9.3%1.1M-38.6M-212.9K1.0016.1427227315,43812,740
2013-03-26$61.96$55.0034.8%10.0%30.9%2.0%35.1%2.1%9.1%1.2M-42.8M-208.4K0.6014.1077246215,47012,827
2013-03-27$62.00$57.5033.9%9.7%28.1%0.7%36.7%2.1%9.3%1.2M-42.3M-209.9K1.0216.2423323715,71812,929
2013-03-28$62.98$57.5033.5%9.6%27.4%0.1%33.9%2.2%9.8%1.4M-49.4M-205.6K0.8413.6519616415,87812,906