OPEN Options History — October 2013

In October 2013, OPEN traded between $67.61 and $74.04. ATM implied volatility averaged 47.0%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 14.8% (HV 20d: 32.3%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.28.

Notable Days

  • 2013-10-18: Highest Volume — 3,959 contracts
  • 2013-10-10: Largest IV spike — 20.3% change
  • 2013-10-31: Highest IV Rank — 57.2%
  • 2013-10-24: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.45$67.61$74.04$72.21$69.48
Max Pain$63.37$62.50$65.00$65.00$62.50
ATM IV47.0%34.2%57.4%35.7%57.4%
Expected Move12.4%12.1%12.6%12.1%12.5%
HV 20d32.3%30.4%34.5%32.4%34.0%
HV 60d36.5%32.7%38.1%37.1%34.4%
IV Rank37.0%11.8%57.2%14.9%57.2%
IV Percentile70.0%12.3%93.7%24.6%93.7%
Term Structure-6.0%-13.6%10.5%9.1%-13.6%
VWIV43.3%40.8%45.6%40.8%43.8%
Skew 25d3.8%1.5%5.3%1.5%4.8%
Skew 10d7.7%4.0%9.8%4.0%8.5%
Call IV 25d47.9%34.4%56.8%36.0%56.1%
Put IV 25d51.7%36.7%60.9%37.5%60.9%
Bid-Ask Spread %12.517.6817.1915.687.68
Gamma HHI0.220.120.530.250.12
Net GEX2.6M635.4K4.9M4.7M646.4K
Net DEX-53.2M-94.1M-25.4M-91.5M-25.4M
Net VEX-303.9K-367.9K-267.1K-367.9K-270.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.093.260.420.55
Total Volume1,369.135013,9596281,149
Total OI37,462.04323,44546,48943,10927,241

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$72.21$65.0035.7%12.1%32.4%14.9%40.8%1.5%9.1%4.7M-91.5M-367.9K0.4215.6844118730,48812,621
2013-10-02$72.27$65.0034.2%12.1%31.3%11.8%0.0%2.3%10.5%4.9M-94.1M-361.3K0.0913.951,65915230,78612,673
2013-10-03$69.73$65.0036.8%12.4%31.6%16.8%42.3%2.5%8.9%4.2M-66.9M-352.3K1.4914.759231,37930,57712,705
2013-10-04$70.66$65.0036.0%12.3%32.1%15.3%0.0%3.0%-5.3%4.4M-76.4M-357.4K0.4613.1262928730,86013,544
2013-10-07$69.03$65.0039.0%12.4%32.9%21.3%0.0%2.6%-6.3%3.9M-57.9M-339.6K0.4814.5462229931,16413,684
2013-10-08$67.66$65.0040.3%12.6%32.8%23.7%0.0%3.1%-7.3%3.3M-42.2M-323.5K1.1417.191,2151,38531,07313,888
2013-10-09$67.61$65.0040.5%12.5%32.8%24.2%0.0%3.2%-7.1%3.1M-40.5M-323.9K2.0015.4149599231,04614,450
2013-10-10$69.22$65.0048.8%12.3%33.8%40.3%43.9%4.3%-6.8%3.8M-56.2M-331.5K3.2614.895551,81031,35014,999
2013-10-11$70.51$62.5047.9%12.3%34.5%38.8%0.0%4.0%-7.1%4.4M-71.7M-328.1K0.6314.4579349931,34115,114
2013-10-14$69.33$62.5049.5%12.6%31.2%41.9%0.0%5.2%-7.6%3.5M-54.9M-307.4K1.8616.2118033431,18315,185
2013-10-15$68.29$62.5050.1%12.5%30.8%42.9%45.6%5.0%-7.7%3.3M-42.7M-295.9K0.6112.8540424531,17615,211
2013-10-16$70.21$62.5048.1%12.5%32.2%39.1%0.0%3.8%-7.0%3.8M-67.1M-292.4K1.1410.8838944331,28815,201
2013-10-17$69.31$62.5048.2%12.4%30.4%39.2%0.0%4.5%-7.7%3.9M-60.8M-270.5K2.799.823851,07630,94914,074
2013-10-18$71.51$62.5048.8%12.3%32.6%40.5%0.0%5.2%-8.5%1.4M-84.5M-267.1K1.2311.471,7732,18631,08214,795
2013-10-21$70.82$62.5050.5%12.4%31.1%43.8%0.0%5.1%-6.9%827.7K-32.9M-270.8K1.259.3928335414,4808,965
2013-10-22$69.99$62.5050.0%12.5%31.4%42.7%0.0%4.0%-6.7%808.8K-29.6M-267.9K1.7711.9821237514,6089,019
2013-10-23$70.42$62.5050.7%12.5%31.5%44.2%43.9%4.5%-7.5%826.2K-31.1M-269.3K1.1010.6123826314,6729,180
2013-10-24$71.22$62.5051.8%12.6%31.1%46.3%0.0%5.3%-7.8%909.4K-35.7M-272.3K3.2511.636622,15414,8379,259
2013-10-25$70.87$62.5051.3%12.5%31.0%45.3%0.0%4.6%-7.5%635.4K-30.8M-281.3K0.5710.9436020415,23810,903
2013-10-28$74.04$62.5054.6%12.3%34.3%51.8%43.2%2.8%-11.7%851.3K-46.5M-279.8K0.4710.391,20056715,43510,956
2013-10-29$73.83$62.5055.6%12.2%32.7%53.7%43.8%3.1%-12.4%939.8K-46.4M-280.9K0.8710.9556249116,11111,089
2013-10-30$72.05$62.5056.1%12.3%33.9%54.8%0.0%2.7%-13.0%821.9K-38.2M-277.6K2.078.9622145816,10611,021
2013-10-31$69.48$62.5057.4%12.5%34.0%57.2%0.0%4.8%-13.6%646.4K-25.4M-270.1K0.557.6874240716,18311,058