OPEN Options History — August 2013

In August 2013, OPEN traded between $66.50 and $75.89. ATM implied volatility averaged 36.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 8.2% (HV 20d: 45.0%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.83.

Notable Days

  • 2013-08-01: Highest Volume — 15,465 contracts
  • 2013-08-02: Largest IV drop — 51.6% change
  • 2013-08-01: Highest IV Rank — 47.0%
  • 2013-08-01: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.86$66.50$75.89$69.40$74.54
Max Pain$67.84$60.00$70.00$60.00$70.00
ATM IV36.8%28.1%64.3%64.3%36.6%
Expected Move10.8%8.9%18.4%18.4%10.5%
HV 20d45.0%35.0%50.4%42.3%35.0%
HV 60d38.5%36.6%42.3%38.8%37.0%
IV Rank15.0%0.0%47.0%47.0%16.5%
IV Percentile25.5%0.0%94.4%94.4%27.4%
Term Structure0.4%-18.5%2.7%-18.5%1.9%
VWIV38.2%32.2%64.9%64.9%37.9%
Skew 25d0.8%-1.9%3.3%3.3%0.9%
Skew 10d2.1%0.0%7.8%7.8%0.1%
Call IV 25d37.9%32.1%62.6%62.6%37.6%
Put IV 25d38.7%33.0%65.9%65.9%38.4%
Bid-Ask Spread %15.798.5223.3117.0317.88
Gamma HHI0.190.160.250.180.19
Net GEX3.4M1.6M6.2M1.8M3.6M
Net DEX-106.3M-161.9M-50.9M-62.5M-120.9M
Net VEX-448.1K-508.4K-332.4K-332.4K-478.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.113.510.441.64
Total Volume3,525.72730115,46515,465301
Total OI45,655.81829,88758,39129,88745,020

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$69.40$60.0064.3%18.4%42.3%47.0%64.9%3.3%-18.5%1.8M-62.5M-332.4K0.4417.0310,7104,75520,5729,315
2013-08-02$67.11$60.0031.1%8.9%44.1%0.8%32.2%0.9%2.7%2.6M-64.1M-358.3K1.2119.794,0684,93227,69511,976
2013-08-05$66.50$67.5031.5%9.8%44.0%1.5%35.6%2.1%1.5%1.7M-50.9M-363.9K0.788.891,26097828,05614,866
2013-08-06$66.75$67.5030.4%9.8%42.7%0.0%34.7%1.9%1.9%1.6M-53.6M-377.2K0.869.7155547628,41315,253
2013-08-07$66.70$67.5030.1%9.9%42.4%0.0%35.5%1.3%1.7%1.6M-53.6M-377.9K0.419.351,10445528,46615,146
2013-08-08$66.91$67.5028.1%9.7%42.4%0.0%35.0%1.8%1.9%1.7M-57.9M-381.5K0.249.731,42534028,86915,328
2013-08-09$68.81$67.5032.7%10.3%43.1%8.9%36.2%1.5%1.1%2.2M-73.2M-392.4K0.118.529,3741,04328,21615,359
2013-08-12$74.08$67.5045.1%11.2%50.2%33.3%40.0%0.1%0.1%4.5M-157.3M-466.6K0.1516.7210,0691,50335,64115,568
2013-08-13$73.75$67.5036.7%10.7%50.0%16.8%37.6%-0.6%1.4%6.2M-160.3M-479.9K0.4216.773,8601,61939,07316,204
2013-08-14$74.40$67.5034.9%10.7%50.0%13.2%37.6%-1.9%0.7%5.8M-161.9M-484.8K0.4223.315,0182,09338,39317,300
2013-08-15$73.23$67.5037.4%10.7%50.4%18.2%38.0%-0.3%1.1%5.5M-140.9M-508.4K0.5820.591,45084339,30918,661
2013-08-16$73.14$67.5036.6%10.5%46.8%16.6%37.3%0.8%1.2%4.9M-142.2M-504.5K0.3314.491,53851139,43818,953
2013-08-19$72.27$67.5036.5%10.5%47.2%16.4%37.0%0.5%1.1%3.2M-99.9M-489.4K0.8714.0037332330,52412,187
2013-08-20$73.03$70.0037.1%10.6%46.0%17.6%37.4%0.9%0.4%3.3M-105.9M-487.0K0.2620.3960315430,66612,334
2013-08-21$73.54$70.0036.3%10.4%45.9%16.0%36.8%1.1%1.9%3.4M-112.0M-495.2K0.8215.7741133531,01412,419
2013-08-22$74.25$70.0035.8%10.3%45.5%14.9%36.6%1.6%0.8%3.5M-117.6M-487.2K0.8922.6922820231,16512,510
2013-08-23$74.63$70.0034.8%10.0%45.1%13.0%35.5%0.0%2.2%3.6M-121.7M-483.5K2.3215.7610023231,09612,507
2013-08-26$75.89$70.0037.8%10.8%45.1%19.0%38.3%-0.0%0.9%3.5M-133.1M-474.6K0.2417.101,83844531,13512,630
2013-08-27$72.95$70.0039.2%11.3%47.0%21.7%39.8%0.6%0.7%3.3M-106.9M-483.4K0.4113.5648720031,45012,690
2013-08-28$73.58$70.0038.2%11.0%46.8%19.7%39.1%0.7%1.0%3.5M-112.3M-476.1K3.5115.4717661831,50212,708
2013-08-29$75.45$70.0037.7%10.8%37.2%18.8%38.0%0.1%1.1%3.7M-129.0M-476.1K1.2819.8424631531,53613,265
2013-08-30$74.54$70.0036.6%10.5%35.0%16.5%37.9%0.9%1.9%3.6M-120.9M-478.4K1.6417.8811418731,55213,468