OPEN Options History — December 2013

In December 2013, OPEN traded between $76.33 and $81.76. ATM implied volatility averaged 35.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 4.8% (HV 20d: 30.6%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-12-13: Highest Volume — 5,931 contracts
  • 2013-12-13: Largest IV spike — 5.9% change
  • 2013-12-16: Highest IV Rank — 21.2%
  • 2013-12-11: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.59$76.33$81.76$80.59$79.37
Max Pain$81.31$80.00$82.50$82.50$80.00
ATM IV35.4%33.5%38.3%35.6%34.5%
Expected Move12.6%12.5%12.8%12.8%12.6%
HV 20d30.6%23.7%56.0%56.0%25.3%
HV 60d41.2%40.4%42.1%42.0%40.4%
IV Rank15.2%11.1%21.2%15.6%13.3%
IV Percentile26.2%8.3%52.4%25.4%17.9%
Term Structure5.6%0.6%10.2%1.1%9.6%
VWIV44.7%42.3%48.1%44.6%45.0%
Skew 25d2.0%0.7%3.2%0.7%1.9%
Skew 10d3.8%1.9%7.3%3.4%4.3%
Call IV 25d35.3%32.8%38.0%35.9%34.3%
Put IV 25d37.3%35.4%40.7%36.6%36.3%
Bid-Ask Spread %10.816.1514.066.1512.59
Gamma HHI0.150.110.210.130.16
Net GEX1.4M368.0K1.9M1.9M1.6M
Net DEX-69.7M-87.6M-39.7M-78.3M-72.2M
Net VEX-252.7K-292.6K-202.0K-290.9K-202.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.225.950.920.67
Total Volume1,100.6671555,9312,899290
Total OI33,026.71427,27237,16732,67628,362

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$80.59$82.5035.6%12.8%56.0%15.6%44.6%0.7%1.1%1.9M-78.3M-290.9K0.926.151,5121,38721,07111,605
2013-12-03$81.24$82.5036.0%12.5%54.5%16.4%44.6%0.8%0.6%1.8M-81.2M-292.6K0.3812.1540615321,36412,369
2013-12-04$80.37$82.5035.3%12.8%54.7%15.1%0.0%0.7%0.8%1.8M-77.5M-289.6K3.0510.6419760121,37712,435
2013-12-05$81.31$82.5035.5%12.6%35.9%15.5%0.0%1.2%0.7%1.8M-82.0M-289.7K0.4110.622138721,37312,716
2013-12-06$81.66$82.5033.7%12.6%29.2%11.5%0.0%1.5%5.5%1.8M-84.9M-280.4K1.0213.5319720021,38612,739
2013-12-09$81.76$82.5034.7%12.5%27.9%13.7%48.1%1.4%5.8%1.9M-86.1M-264.0K0.949.8821320121,37512,796
2013-12-10$81.61$82.5034.4%12.6%24.6%13.2%0.0%0.8%5.9%1.8M-84.9M-266.6K0.599.5855532521,31212,778
2013-12-11$80.16$82.5036.1%12.8%24.7%16.6%0.0%2.3%4.7%1.6M-75.3M-268.4K5.958.452761,64221,59712,908
2013-12-12$79.02$82.5035.9%12.6%24.2%16.3%0.0%2.1%5.5%990.7K-64.0M-272.0K0.5210.4652327221,71914,079
2013-12-13$76.33$82.5038.1%12.7%25.6%20.8%42.3%2.9%4.0%602.4K-39.9M-273.4K1.6213.212,2663,66521,90414,186
2013-12-16$76.42$82.5038.3%12.6%23.8%21.2%44.8%2.8%3.7%421.8K-39.7M-267.1K1.6910.6545877322,27714,741
2013-12-17$76.71$80.0036.9%12.7%23.7%18.4%43.5%2.7%5.2%386.5K-43.3M-261.5K0.4812.5935416922,41014,757
2013-12-18$78.63$80.0037.1%12.7%24.7%18.8%0.0%3.2%5.2%545.3K-59.0M-253.7K0.828.8443335322,23614,775
2013-12-19$78.34$80.0036.4%12.6%24.7%17.2%0.0%2.3%5.1%368.0K-56.5M-237.4K1.179.7814717221,57814,319
2013-12-20$81.24$80.0034.3%12.6%27.5%12.9%0.0%2.3%7.3%1.6M-87.6M-218.9K1.4610.221,0211,49421,65814,325
2013-12-23$80.48$80.0033.9%12.6%27.6%12.0%0.0%3.0%9.1%1.6M-75.7M-214.9K0.568.5050228017,9009,372
2013-12-24$80.11$80.0033.5%12.6%27.3%11.1%0.0%2.5%9.6%1.7M-73.9M-223.6K0.2213.871272818,2049,595
2013-12-26$79.73$80.0033.7%12.6%26.7%11.6%0.0%2.6%9.6%1.6M-72.7M-213.3K0.4410.911677418,2339,606
2013-12-27$78.15$80.0034.4%12.7%27.4%13.2%0.0%2.8%10.2%1.6M-64.0M-215.4K0.4010.3361324318,2859,640
2013-12-30$78.07$80.0035.5%12.8%27.4%15.4%0.0%2.3%8.9%1.6M-64.4M-210.7K0.5614.0633718818,4189,781
2013-12-31$79.37$80.0034.5%12.6%25.3%13.3%45.0%1.9%9.6%1.6M-72.2M-202.0K0.6712.5917411618,5369,826