OPEN Options History — November 2013

In November 2013, OPEN traded between $68.59 and $86.58. ATM implied volatility averaged 40.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 13.6% (HV 20d: 54.1%). Max pain ranged from $62.50 to $82.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2013-11-06: Highest Volume — 10,573 contracts
  • 2013-11-06: Largest IV drop — 46.6% change
  • 2013-11-05: Highest IV Rank — 92.4%
  • 2013-11-19: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.79$68.59$86.58$68.59$83.57
Max Pain$75.63$62.50$82.50$62.50$82.50
ATM IV40.5%33.9%72.2%58.7%35.3%
Expected Move12.5%12.3%12.8%12.5%12.5%
HV 20d54.1%33.9%58.9%33.9%54.1%
HV 60d40.8%31.6%43.0%34.5%41.3%
IV Rank25.7%12.0%92.4%59.9%14.9%
IV Percentile40.2%11.1%99.2%95.6%22.6%
Term Structure-1.0%-14.7%1.5%-14.7%1.0%
VWIV42.7%40.8%44.1%42.8%42.3%
Skew 25d1.8%0.5%4.5%4.5%1.2%
Skew 10d3.6%1.3%8.6%6.9%1.3%
Call IV 25d38.3%33.8%57.2%57.2%35.5%
Put IV 25d40.0%35.5%61.6%61.6%36.7%
Bid-Ask Spread %8.684.4115.5414.457.44
Gamma HHI0.160.120.310.130.12
Net GEX2.1M575.9K3.3M575.9K2.0M
Net DEX-91.4M-142.1M-20.9M-20.9M-98.9M
Net VEX-288.5K-309.0K-258.5K-264.3K-288.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.103.860.810.42
Total Volume2,808.6541910,5731,114419
Total OI33,106.7527,21939,22427,21932,390

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$68.59$62.5058.7%12.5%33.9%59.9%0.0%4.5%-14.7%575.9K-20.9M-264.3K0.8114.4561450016,19011,029
2013-11-04$71.57$62.5064.1%12.3%36.2%75.4%0.0%3.7%-3.0%858.6K-35.5M-264.8K1.5115.541,4252,15216,43711,061
2013-11-05$71.10$62.5072.2%12.5%35.5%92.4%0.0%2.3%-6.0%714.8K-32.9M-274.1K0.7114.375,3073,74916,92512,265
2013-11-06$79.92$62.5038.5%12.4%53.9%21.8%42.8%1.3%-0.9%2.7M-99.2M-258.5K0.5111.516,9893,58420,06613,593
2013-11-07$75.64$62.5037.4%12.7%58.0%19.5%43.1%1.5%-0.5%2.1M-66.6M-302.2K1.156.401,6351,88121,99514,496
2013-11-08$77.69$72.5034.3%12.5%58.3%12.8%44.1%1.4%-0.3%2.1M-78.5M-300.0K0.738.731,00273421,87115,183
2013-11-11$80.69$80.0038.9%12.7%58.9%22.5%42.0%1.5%-0.3%2.6M-101.6M-284.9K0.268.693,51892021,91715,569
2013-11-12$82.04$80.0037.3%12.5%58.3%19.1%42.0%1.7%-0.1%3.0M-116.0M-282.5K0.267.612,13656422,96215,543
2013-11-13$83.43$80.0035.8%12.5%58.0%16.0%0.0%1.4%-0.4%3.2M-124.9M-293.4K1.946.095581,08123,36215,862
2013-11-14$84.81$80.0037.3%12.4%57.5%19.2%42.9%2.0%0.0%3.3M-128.5M-274.7K0.597.983,8182,25222,12615,465
2013-11-15$86.58$80.0036.1%12.5%57.1%16.6%40.8%1.7%0.1%2.4M-142.1M-281.3K0.428.952,6941,14122,95716,258
2013-11-18$85.14$80.0036.7%12.5%57.4%18.0%43.6%1.7%0.5%2.0M-103.7M-299.3K1.208.1552262619,6809,727
2013-11-19$83.01$80.0036.8%12.8%58.3%18.0%43.0%1.6%0.4%1.9M-92.8M-307.6K0.768.1774356719,91110,091
2013-11-20$82.58$80.0035.7%12.7%58.5%15.8%0.0%1.5%1.0%1.9M-90.7M-309.0K0.538.2643823020,03510,447
2013-11-21$84.00$80.0034.5%12.5%58.6%13.3%0.0%1.4%0.8%2.0M-97.8M-302.7K0.826.9651542320,05810,612
2013-11-22$84.28$80.0033.9%12.5%58.4%12.0%43.4%1.7%1.5%2.0M-99.9M-298.9K0.756.1646134620,21910,845
2013-11-25$83.10$80.0036.2%12.5%57.4%16.8%43.0%1.2%0.2%2.0M-94.7M-299.0K0.106.1199110420,49211,041
2013-11-26$84.23$82.5035.6%12.5%57.4%15.7%42.3%1.4%0.4%2.0M-101.7M-293.8K0.164.415839520,54111,053
2013-11-27$83.78$82.5034.9%12.6%56.4%14.2%0.0%0.5%0.5%2.1M-100.1M-291.3K3.867.6617668020,73611,125
2013-11-29$83.57$82.5035.3%12.5%54.1%14.9%0.0%1.2%1.0%2.0M-98.9M-288.5K0.427.4429512420,82711,563