OPEN Options History — June 2013

In June 2013, OPEN traded between $60.54 and $67.53. ATM implied volatility averaged 38.1%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.4% (HV 20d: 38.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.80.

Notable Days

  • 2013-06-06: Highest Volume — 1,378 contracts
  • 2013-06-25: Largest IV drop — 9.1% change
  • 2013-06-05: Highest IV Rank — 15.8%
  • 2013-06-05: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.24$60.54$67.53$65.46$63.95
Max Pain$61.00$60.00$65.00$65.00$60.00
ATM IV38.1%33.1%41.9%41.6%33.1%
Expected Move10.9%9.5%12.0%11.9%9.5%
HV 20d38.5%27.4%44.3%44.3%35.0%
HV 60d37.7%36.2%39.9%36.6%39.9%
IV Rank10.7%3.7%15.8%15.4%3.7%
IV Percentile26.5%4.0%46.0%44.0%4.0%
Term Structure4.5%-1.9%9.9%-1.2%9.9%
VWIV38.7%34.4%42.8%42.8%34.7%
Skew 25d2.4%0.9%3.6%1.1%2.9%
Skew 10d4.8%2.5%6.2%2.5%4.4%
Call IV 25d37.8%32.6%42.5%42.4%32.6%
Put IV 25d40.2%35.4%43.6%43.6%35.4%
Bid-Ask Spread %20.3911.5470.4111.5470.41
Gamma HHI0.180.140.240.160.19
Net GEX911.6K141.1K1.4M852.8K1.0M
Net DEX-37.2M-49.3M-15.0M-37.0M-32.8M
Net VEX-305.3K-339.1K-261.5K-333.0K-276.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.182.250.502.25
Total Volume730.12431,378977598
Total OI31,924.725,82234,53932,80227,651

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$65.46$65.0041.6%11.9%44.3%15.4%42.8%1.1%-1.2%852.8K-37.0M-333.0K0.5011.5465232519,17313,629
2013-06-04$64.44$65.0041.6%11.9%42.8%15.5%42.7%1.3%-1.9%725.2K-31.4M-326.2K0.4419.2958625919,11413,502
2013-06-05$64.26$65.0041.9%12.0%41.2%15.8%42.8%1.0%-1.3%696.2K-30.4M-322.3K0.5712.631558819,06413,555
2013-06-06$66.53$65.0041.5%11.9%42.8%15.4%41.9%0.9%-1.3%995.9K-42.9M-330.2K0.9415.8971266619,06913,569
2013-06-07$67.46$60.0038.9%11.2%42.9%11.8%40.7%2.5%4.1%1.1M-49.0M-339.1K0.7017.2136825619,53013,913
2013-06-10$67.53$60.0040.4%11.3%42.9%13.9%40.1%2.5%3.6%1.2M-49.3M-331.5K0.6917.9519013119,62913,897
2013-06-11$66.12$60.0039.3%11.1%43.7%12.3%40.1%2.4%3.9%1.0M-41.6M-321.3K0.5622.2440923119,64113,972
2013-06-12$65.64$60.0039.2%11.2%43.4%12.1%39.4%2.8%3.8%927.7K-39.0M-319.0K0.8521.8822919519,72513,971
2013-06-13$67.14$60.0038.5%11.0%43.9%11.2%38.9%2.6%4.5%1.2M-48.6M-321.0K1.3217.9142856519,74613,989
2013-06-14$66.61$60.0038.0%10.9%43.9%10.4%38.2%2.5%4.6%1.1M-45.2M-316.1K0.3217.2243713819,84514,301
2013-06-17$67.00$60.0037.5%10.8%42.8%9.8%38.4%2.8%5.3%1.2M-47.0M-309.6K0.5420.4031116919,97714,340
2013-06-18$67.20$60.0037.6%10.8%42.8%9.9%37.8%2.2%5.5%1.3M-48.2M-307.9K0.8516.5226222220,13314,406
2013-06-19$66.96$60.0035.9%10.3%29.8%7.5%36.1%2.4%6.4%1.4M-47.4M-299.2K1.3315.8618124020,11414,425
2013-06-20$64.07$60.0037.7%10.8%28.2%10.0%37.9%3.0%4.7%141.1K-25.5M-288.9K1.0329.8856858619,64814,358
2013-06-21$63.29$60.0037.0%10.6%27.4%9.2%37.1%3.6%6.0%217.1K-22.5M-276.7K2.0621.2836775719,47714,319
2013-06-24$60.54$60.0039.0%11.2%30.9%11.9%39.1%3.2%6.4%408.8K-15.0M-261.5K0.1818.211,06618915,52210,300
2013-06-25$61.76$60.0035.5%10.2%31.8%7.0%35.8%3.2%9.1%626.4K-21.8M-266.4K0.2414.8341410016,29310,335
2013-06-26$63.91$60.0034.8%10.0%34.5%6.0%35.2%3.0%9.1%885.8K-31.6M-277.9K0.2013.3869914216,51810,399
2013-06-27$64.99$60.0033.8%9.7%34.8%4.6%34.4%2.6%9.2%1.1M-37.8M-280.6K0.3713.2652019116,99810,447
2013-06-28$63.95$60.0033.1%9.5%35.0%3.7%34.7%2.9%9.9%1.0M-32.8M-276.6K2.2570.4118441417,11510,536