OPEN Options History — May 2013

In May 2013, OPEN traded between $55.62 and $69.79. ATM implied volatility averaged 37.5%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 2.8% (HV 20d: 40.2%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2013-05-21: Highest Volume — 10,339 contracts
  • 2013-05-03: Largest IV drop — 47.4% change
  • 2013-05-01: Highest IV Rank — 39.9%
  • 2013-05-01: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.41$55.62$69.79$55.62$66.70
Max Pain$59.32$55.00$65.00$57.50$65.00
ATM IV37.5%30.5%60.9%60.9%39.9%
Expected Move10.9%8.8%17.5%17.5%11.4%
HV 20d40.2%32.6%47.5%34.4%46.8%
HV 60d35.6%33.4%39.1%34.8%36.5%
IV Rank9.4%0.0%39.9%39.9%13.1%
IV Percentile20.5%0.0%83.7%83.7%35.7%
Term Structure-0.9%-16.4%2.9%-16.4%-0.8%
VWIV38.7%30.9%61.2%61.2%40.8%
Skew 25d1.2%-0.2%2.9%1.5%0.8%
Skew 10d3.6%-4.2%11.4%5.1%1.2%
Call IV 25d38.0%31.2%60.7%60.7%40.7%
Put IV 25d39.2%31.2%62.2%62.2%41.5%
Bid-Ask Spread %14.898.9124.6524.6517.70
Gamma HHI0.210.160.290.160.17
Net GEX2.0M814.4K3.6M814.4K988.8K
Net DEX-48.7M-73.8M-11.1M-11.1M-43.7M
Net VEX-299.5K-346.8K-259.3K-259.3K-341.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.122.050.920.47
Total Volume2,71763410,3392,502721
Total OI32,758.72723,91237,73329,34432,465

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$55.62$57.5060.9%17.5%34.4%39.9%61.2%1.5%-16.4%814.4K-11.1M-259.3K0.9224.651,3051,19718,54210,802
2013-05-02$57.66$57.5058.7%16.8%37.0%36.6%57.6%2.9%-14.0%1.1M-20.7M-278.8K0.3023.556,9962,12519,24611,724
2013-05-03$60.83$57.5030.9%8.8%38.5%0.0%30.9%0.0%2.9%3.1M-52.9M-293.5K0.3113.303,5041,07522,10712,693
2013-05-06$58.86$55.0032.6%9.6%40.0%2.4%34.1%1.6%1.1%2.5M-31.2M-274.9K0.5715.1690151621,24712,645
2013-05-07$61.02$55.0032.9%9.8%41.4%2.9%34.6%1.3%0.8%3.1M-49.9M-280.6K0.158.912,98744421,17712,868
2013-05-08$61.19$55.0031.6%9.8%41.0%1.0%35.0%1.5%0.9%3.2M-50.5M-280.7K0.3615.722,17878221,19813,094
2013-05-09$61.60$55.0032.1%9.7%40.6%1.7%35.2%1.8%0.7%3.4M-57.1M-280.1K0.489.4077337321,81913,138
2013-05-10$61.90$57.5030.5%9.7%40.0%0.0%34.8%1.8%0.8%3.4M-57.4M-273.6K0.1913.452,58849121,21613,342
2013-05-13$61.54$57.5034.3%9.7%33.1%5.4%34.6%1.8%1.4%3.6M-55.7M-281.1K0.5413.321,8961,02522,35813,646
2013-05-14$62.85$57.5032.5%9.7%33.5%2.8%34.7%1.7%1.1%3.4M-69.6M-296.9K0.4310.2298942723,22814,505
2013-05-15$62.62$57.5030.8%9.6%33.2%0.5%34.4%1.8%1.2%3.3M-63.4M-285.1K0.439.422,16693322,49214,254
2013-05-16$62.15$57.5033.1%9.5%32.6%3.6%33.1%2.0%1.8%3.4M-56.9M-275.7K0.3320.9457118821,78714,208
2013-05-17$64.05$57.5032.8%9.4%33.6%3.3%33.5%0.6%1.8%1.3M-73.8M-271.7K0.1214.731,35516021,72014,305
2013-05-20$64.12$57.5033.3%9.6%33.6%4.0%33.7%0.3%1.3%872.0K-34.0M-275.6K0.4514.021,60072214,1639,749
2013-05-21$69.79$57.5040.2%11.5%43.3%13.6%40.5%-0.2%-1.5%1.1M-58.3M-299.5K0.3315.137,7732,56615,28410,317
2013-05-22$66.28$62.5038.9%11.2%47.4%11.7%39.5%0.6%-0.0%1.2M-45.7M-340.5K0.6511.342,8801,86718,89611,590
2013-05-23$67.48$65.0039.7%11.4%46.6%12.8%40.5%0.9%-0.7%1.1M-49.4M-346.8K0.9620.2645643818,77812,615
2013-05-24$67.73$65.0038.8%11.1%46.6%11.5%40.0%1.2%-0.5%1.1M-50.5M-342.8K1.9912.4125550818,79312,869
2013-05-28$66.53$65.0040.4%11.6%47.5%13.9%41.2%1.2%-0.7%988.6K-43.8M-335.9K0.2114.8352610818,79513,016
2013-05-29$66.86$65.0040.0%11.5%47.3%13.3%40.9%0.8%-1.0%1.0M-45.5M-334.8K1.3115.5330539918,79313,033
2013-05-30$67.58$65.0039.5%11.3%47.2%12.6%40.1%1.7%-0.5%1.1M-49.1M-339.5K2.0513.4823147418,93013,245
2013-05-31$66.70$65.0039.9%11.4%46.8%13.1%40.8%0.8%-0.8%988.8K-43.7M-341.5K0.4717.7049023118,96713,498