OPEN Options History — April 2013

In April 2013, OPEN traded between $55.20 and $63.38. ATM implied volatility averaged 45.8%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 15.8% (HV 20d: 29.9%). Max pain ranged from $57.50 to $60.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2013-04-02: Highest Volume — 7,901 contracts
  • 2013-04-11: Largest IV spike — 27.9% change
  • 2013-04-30: Highest IV Rank — 39.2%
  • 2013-04-30: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.61$55.20$63.38$63.38$55.39
Max Pain$58.98$57.50$60.00$57.50$57.50
ATM IV45.8%33.6%60.5%35.7%60.5%
Expected Move13.6%9.6%17.3%10.2%17.3%
HV 20d29.9%20.7%35.6%22.9%34.4%
HV 60d35.9%33.7%37.6%33.7%35.6%
IV Rank17.9%0.2%39.2%3.3%39.2%
IV Percentile46.3%0.8%82.9%7.9%82.9%
Term Structure-5.5%-15.7%10.6%8.9%-15.7%
VWIV47.7%34.0%59.8%36.3%59.8%
Skew 25d2.9%1.3%4.6%2.3%1.3%
Skew 10d5.8%2.3%7.9%7.6%2.4%
Call IV 25d46.3%33.5%59.4%35.3%59.4%
Put IV 25d49.3%35.6%60.7%37.7%60.7%
Bid-Ask Spread %13.788.4521.8913.3621.89
Gamma HHI0.160.130.220.150.14
Net GEX587.0K-519.0K1.7M1.4M431.5K
Net DEX-18.2M-59.3M25.8M-51.6M-6.6M
Net VEX-265.5K-317.8K-197.3K-198.4K-247.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.085.191.540.11
Total Volume2,464.4555797,9011,1464,465
Total OI34,650.40921,34345,51329,02126,260

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$63.38$57.5035.7%10.2%22.9%3.3%36.3%2.3%8.9%1.4M-51.6M-198.4K1.5413.3645169516,01413,007
2013-04-02$61.91$57.5033.6%9.6%24.8%0.2%34.0%2.0%10.3%1.4M-43.8M-197.3K0.1815.596,7161,18516,09213,456
2013-04-03$61.16$57.5034.9%10.0%25.3%2.1%34.6%2.5%9.5%1.7M-48.1M-295.8K4.7612.456423,05521,48814,145
2013-04-04$60.16$60.0034.1%9.8%20.7%0.9%34.5%2.1%10.6%707.6K-30.6M-303.6K0.5916.3868740420,76416,626
2013-04-05$62.93$60.0033.9%12.5%26.0%0.6%44.3%2.0%-5.6%1.0M-54.3M-309.1K1.178.451,8552,17320,98816,795
2013-04-08$63.20$60.0037.7%13.1%23.6%6.2%47.2%3.1%-6.4%1.0M-59.3M-315.5K0.779.942,1811,67722,11218,130
2013-04-09$61.57$60.0035.8%13.3%25.3%3.4%46.8%3.0%-7.0%922.2K-44.6M-317.8K0.7311.471,25791422,89718,498
2013-04-10$60.56$60.0036.3%13.5%24.7%4.2%46.9%2.5%-7.3%785.9K-32.7M-311.7K0.7513.561,06480223,20918,979
2013-04-11$61.60$60.0046.4%13.3%25.4%18.8%46.8%2.4%-7.5%969.1K-46.1M-314.1K0.8614.2873763423,45519,121
2013-04-12$60.50$60.0047.3%13.6%26.2%20.1%48.2%2.2%-7.4%689.3K-32.0M-308.6K2.2513.2117840123,74019,411
2013-04-15$56.98$60.0050.8%14.6%33.6%25.3%51.0%2.9%-8.6%322.4K6.8M-273.5K2.1215.491,3902,94223,68819,598
2013-04-16$56.71$60.0050.0%14.3%33.6%24.1%51.1%2.8%-8.9%309.6K11.3M-267.2K0.7817.021,3981,08724,31920,135
2013-04-17$56.19$60.0051.5%14.8%33.5%26.2%50.4%3.4%-10.0%598.8K14.6M-260.8K1.0619.1648451125,14320,370
2013-04-18$55.25$60.0051.5%14.8%33.6%26.3%51.5%3.1%-9.3%-519.0K25.8M-237.4K5.199.366963,61224,15619,985
2013-04-19$55.92$60.0049.8%14.3%34.0%23.8%49.6%3.1%-8.0%4.6K18.0M-240.2K1.7014.695941,01024,11719,519
2013-04-22$55.98$60.0051.0%14.6%34.0%25.5%50.2%3.5%-8.3%187.9K-4.6M-235.2K0.2612.7549312812,4228,921
2013-04-23$57.30$57.5050.4%14.5%35.3%24.7%50.3%3.9%-8.6%309.8K-9.2M-245.9K0.5014.1973936712,7848,992
2013-04-24$56.16$57.5052.2%15.0%35.4%27.2%53.5%4.6%-9.1%233.5K-5.7M-243.6K3.379.8327893812,9879,164
2013-04-25$55.20$57.5052.5%15.1%35.6%27.7%52.7%4.5%-9.2%107.4K-1.7M-235.9K0.8713.3493081113,0789,794
2013-04-26$55.69$57.5052.8%15.1%35.2%28.1%52.8%3.7%-9.5%147.0K-3.2M-241.2K1.5112.3842464113,58010,255
2013-04-29$55.68$57.5058.1%16.7%34.9%35.8%56.1%3.7%-14.5%157.7K-3.9M-239.9K0.0814.292,38418813,69410,421
2013-04-30$55.39$57.5060.5%17.3%34.4%39.2%59.8%1.3%-15.7%431.5K-6.6M-247.3K0.1121.894,02244315,77210,488