OPEN Options History — September 2013

In September 2013, OPEN traded between $69.97 and $76.53. ATM implied volatility averaged 36.4%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 4.4% (HV 20d: 32.0%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2013-09-16: Highest Volume — 13,165 contracts
  • 2013-09-11: Largest IV drop — 6.8% change
  • 2013-09-03: Highest IV Rank — 20.0%
  • 2013-09-30: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.90$69.97$76.53$74.98$69.97
Max Pain$66.58$65.00$70.00$70.00$65.00
ATM IV36.4%35.0%38.4%38.4%37.1%
Expected Move11.5%10.3%12.2%11.0%12.2%
HV 20d32.0%26.2%38.0%34.6%30.1%
HV 60d37.0%36.3%37.6%37.0%36.6%
IV Rank16.2%13.3%20.0%20.0%17.5%
IV Percentile27.3%17.9%37.7%37.7%34.9%
Term Structure4.3%0.9%10.0%0.9%8.9%
VWIV39.0%36.4%42.1%40.8%41.0%
Skew 25d1.5%-1.0%2.7%-0.7%1.4%
Skew 10d2.6%-2.7%4.8%-1.8%2.8%
Call IV 25d36.8%34.8%40.0%40.0%37.4%
Put IV 25d38.3%36.5%40.6%39.3%38.8%
Bid-Ask Spread %18.778.6435.1412.5017.05
Gamma HHI0.220.190.250.190.23
Net GEX4.1M2.9M4.7M3.7M4.1M
Net DEX-104.6M-140.3M-69.1M-124.8M-69.1M
Net VEX-416.4K-459.8K-364.4K-459.8K-364.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.042.340.300.73
Total Volume1,57326913,165890418
Total OI45,586.540,67648,52645,10443,144

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$74.98$70.0038.4%11.0%34.6%20.0%40.8%-0.7%0.9%3.7M-124.8M-459.8K0.3012.5068320731,61813,486
2013-09-04$76.53$70.0038.1%10.9%35.0%19.5%38.7%-1.0%1.1%3.9M-140.3M-450.4K0.5416.3446725332,01113,602
2013-09-05$73.99$70.0037.4%10.7%37.8%18.1%39.1%-0.9%1.7%3.8M-116.7M-454.3K0.1215.511,19614632,06813,709
2013-09-06$73.44$67.5036.1%11.1%38.0%15.5%38.7%1.4%2.7%3.8M-112.0M-456.5K0.2523.0456814432,32413,751
2013-09-09$73.31$67.5037.4%11.1%37.1%18.2%39.3%2.1%2.5%3.8M-110.2M-448.8K1.6928.916911,16732,41613,799
2013-09-10$74.38$67.5037.7%10.7%26.6%18.8%38.0%2.4%3.0%4.1M-120.0M-449.6K0.1735.1489214832,74814,564
2013-09-11$74.09$67.5035.2%10.7%26.6%13.7%37.7%2.5%2.9%4.2M-117.9M-443.0K0.4327.8746720232,94714,470
2013-09-12$75.07$67.5036.7%10.5%26.8%16.8%37.4%2.7%3.1%4.3M-129.1M-439.0K0.2026.481,84937232,95314,512
2013-09-13$75.58$67.5036.0%10.3%26.2%15.3%36.4%2.3%3.7%4.6M-136.4M-434.8K1.0027.9432632733,76514,652
2013-09-16$72.21$0.0037.0%12.0%31.1%17.2%42.1%1.3%3.1%4.2M-100.9M-423.9K0.0420.7312,65051533,79414,732
2013-09-17$73.34$65.0036.3%12.0%31.3%15.9%0.0%1.7%3.2%4.5M-111.4M-415.1K0.6818.6940427433,49113,696
2013-09-18$74.34$65.0035.6%11.8%31.4%14.7%0.0%2.4%2.4%4.7M-121.0M-409.2K0.9719.5424023433,46814,993
2013-09-19$71.91$65.0035.1%12.0%33.6%13.7%0.0%2.2%3.5%4.0M-93.7M-398.3K0.3710.5687232533,03414,731
2013-09-20$72.33$65.0035.0%12.0%33.4%13.3%0.0%1.5%3.8%2.9M-102.8M-394.5K1.369.2636249133,60214,830
2013-09-23$70.32$65.0036.6%12.1%34.6%16.5%0.0%2.4%6.2%4.0M-76.0M-379.1K1.858.645531,02229,81310,863
2013-09-24$70.09$65.0036.0%12.1%33.9%15.4%0.0%2.3%7.1%4.1M-73.4M-376.1K1.1514.0926029830,02111,434
2013-09-25$70.03$65.0035.8%12.1%31.1%14.9%0.0%2.0%8.7%4.1M-72.5M-375.4K0.3013.552698130,11811,598
2013-09-26$71.26$65.0035.3%12.0%31.7%13.9%0.0%1.4%7.7%4.4M-85.1M-374.2K2.3414.055441,27430,22011,634
2013-09-27$70.76$65.0035.6%12.2%30.1%14.6%41.0%1.6%10.0%4.2M-78.1M-382.3K0.7915.4615011930,52112,598
2013-09-30$69.97$65.0037.1%12.2%30.1%17.5%0.0%1.4%8.9%4.1M-69.1M-364.4K0.7317.0524217630,53412,610