OPEN Options History — July 2013

In July 2013, OPEN traded between $62.35 and $68.34. ATM implied volatility averaged 43.5%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 11.6% (HV 20d: 31.9%). Max pain ranged from $57.50 to $62.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-07-09: Highest Volume — 6,762 contracts
  • 2013-07-11: Largest IV spike — 33.5% change
  • 2013-07-31: Highest IV Rank — 35.1%
  • 2013-07-31: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.30$62.35$68.34$63.95$63.68
Max Pain$59.77$57.50$62.50$60.00$60.00
ATM IV43.5%33.1%55.7%33.8%55.7%
Expected Move13.1%9.6%16.0%9.7%16.0%
HV 20d31.9%28.0%34.4%34.4%29.3%
HV 60d37.3%35.4%38.8%38.8%35.4%
IV Rank18.2%3.7%35.1%4.7%35.1%
IV Percentile51.6%4.0%86.9%6.3%86.9%
Term Structure-4.2%-13.2%11.0%10.3%-13.2%
VWIV45.8%35.5%54.1%36.0%54.1%
Skew 25d3.3%1.6%4.5%2.9%2.6%
Skew 10d5.6%2.9%7.5%5.6%4.6%
Call IV 25d44.3%33.6%53.6%33.7%53.6%
Put IV 25d47.6%35.5%56.2%36.6%56.2%
Bid-Ask Spread %14.547.8824.3616.1624.36
Gamma HHI0.190.180.230.190.18
Net GEX1.6M929.7K2.4M1.0M1.4M
Net DEX-44.8M-71.8M-25.9M-32.4M-31.4M
Net VEX-301.8K-343.1K-266.8K-271.9K-302.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.104.560.980.41
Total Volume1,371.0452176,762549648
Total OI31,130.04526,76436,56428,00929,634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$63.95$60.0033.8%9.7%34.4%4.7%36.0%2.9%10.3%1.0M-32.4M-271.9K0.9816.1627727217,22310,786
2013-07-02$63.69$60.0034.4%9.8%34.0%5.4%36.4%1.6%9.8%1.0M-31.8M-272.6K0.3121.1746814617,39210,823
2013-07-03$64.03$60.0033.5%9.6%34.1%4.2%35.5%1.9%11.0%1.1M-33.8M-272.6K0.5714.651387917,58510,862
2013-07-05$65.11$57.5033.2%12.8%32.2%3.8%43.8%3.9%-3.2%1.3M-39.1M-270.6K0.168.432193517,63310,917
2013-07-08$65.93$57.5034.8%12.9%32.1%6.1%44.2%3.9%-4.1%1.4M-42.7M-266.8K0.537.8822812017,60610,924
2013-07-09$67.91$57.5033.1%12.6%33.9%3.7%44.5%3.2%-3.6%1.6M-53.2M-271.1K0.108.986,14062217,71110,952
2013-07-10$66.99$60.0033.7%13.0%33.4%4.5%46.1%3.5%-4.7%2.2M-63.6M-339.7K4.3319.635282,28723,32811,401
2013-07-11$67.11$60.0045.0%12.9%33.2%20.2%44.9%2.9%-5.0%1.9M-62.5M-342.7K0.9610.7450348123,43512,955
2013-07-12$68.34$60.0044.5%12.8%32.9%19.5%44.8%4.5%-5.0%2.2M-71.8M-343.1K4.5613.075132,33923,54012,840
2013-07-15$67.68$60.0045.3%13.0%33.0%20.7%46.0%4.2%-5.2%2.4M-69.3M-330.8K0.4211.9878633223,76112,803
2013-07-16$67.02$60.0044.9%12.9%33.1%20.1%45.1%3.7%-5.3%2.4M-64.5M-323.8K0.5710.3137521523,78812,587
2013-07-17$67.03$60.0043.7%12.5%33.1%18.4%44.1%4.1%-4.7%2.3M-63.0M-322.0K0.6614.7241227323,79212,737
2013-07-18$66.72$62.5043.6%12.5%33.1%18.3%45.4%3.3%-4.1%2.3M-59.7M-313.2K0.4814.8548623423,37912,661
2013-07-19$63.69$60.0048.4%13.9%33.5%24.9%49.0%3.1%-6.9%929.7K-34.9M-294.3K0.8813.492,2912,00823,46112,792
2013-07-22$63.79$60.0047.1%13.5%33.2%23.1%47.6%3.5%-5.5%1.3M-31.2M-297.1K0.4015.9864726218,7148,050
2013-07-23$62.35$60.0048.7%14.0%30.1%25.4%48.4%3.7%-7.6%1.2M-25.9M-287.4K0.9014.6427725019,0768,176
2013-07-24$62.43$60.0048.9%14.0%29.3%25.7%48.1%2.7%-8.0%1.2M-26.3M-288.5K0.3115.6737611719,2058,312
2013-07-25$63.97$60.0048.1%13.8%28.0%24.5%47.6%3.9%-6.4%1.4M-32.9M-298.6K0.2316.832044619,2898,353
2013-07-26$65.54$60.0049.7%14.3%28.7%26.8%49.4%2.1%-7.9%1.5M-40.9M-308.3K0.6415.851,5831,00819,3208,358
2013-07-29$65.51$60.0054.6%15.6%28.0%33.6%54.1%3.2%-11.6%1.5M-41.0M-315.1K0.4012.1788735319,9669,016
2013-07-30$64.06$60.0053.5%15.3%29.3%32.1%53.5%3.3%-10.6%1.5M-34.0M-306.6K0.3818.2550619220,5299,189
2013-07-31$63.68$60.0055.7%16.0%29.3%35.1%54.1%2.6%-13.2%1.4M-31.4M-302.9K0.4124.3645819020,3809,254