OPEN Options History — January 2014

In January 2014, OPEN traded between $75.28 and $83.09. ATM implied volatility averaged 41.0%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 9.9% (HV 20d: 31.1%). Max pain ranged from $77.50 to $77.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2014-01-13: Highest Volume — 2,973 contracts
  • 2014-01-16: Largest IV spike — 34.1% change
  • 2014-01-31: Highest IV Rank — 56.2%
  • 2014-01-02: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.50$75.28$83.09$78.07$75.28
Max Pain$77.50$77.50$77.50$77.50$77.50
ATM IV41.0%31.6%54.9%36.2%54.9%
Expected Move12.5%12.3%12.7%12.7%12.7%
HV 20d31.1%25.7%34.5%25.7%33.9%
HV 60d40.7%39.7%41.2%40.3%39.7%
IV Rank27.0%7.2%56.2%16.9%56.2%
IV Percentile50.4%3.6%93.3%39.3%93.3%
Term Structure-2.9%-7.7%9.2%9.2%-7.7%
VWIV44.8%41.1%47.8%47.8%45.1%
Skew 25d2.9%1.8%4.0%2.3%2.6%
Skew 10d5.9%2.4%7.8%5.2%2.4%
Call IV 25d44.3%33.9%54.8%35.6%54.8%
Put IV 25d47.2%35.7%57.4%38.0%57.4%
Bid-Ask Spread %7.175.6211.2610.536.04
Gamma HHI0.160.080.560.190.09
Net GEX1.1M323.5K2.4M1.6M323.5K
Net DEX-52.2M-95.9M-9.4M-64.9M-9.4M
Net VEX-196.5K-206.9K-191.5K-198.1K-196.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.192.010.230.77
Total Volume1,070.2382582,9737852,631
Total OI23,40912,81732,31428,45415,333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$78.07$77.5036.2%12.7%25.7%16.9%0.0%2.3%9.2%1.6M-64.9M-198.1K0.2310.5363714818,6099,845
2014-01-03$79.19$77.5034.3%12.6%26.1%13.0%0.0%1.8%9.1%1.5M-71.8M-193.7K0.9310.2843540418,6769,920
2014-01-06$79.55$77.5034.9%12.6%25.7%14.2%0.0%3.1%-3.1%1.6M-72.8M-195.7K0.2811.261,22334519,03710,270
2014-01-07$83.09$77.5034.6%12.6%30.2%13.5%0.0%2.9%-3.7%1.7M-95.9M-192.5K0.478.951,69879719,25910,489
2014-01-08$80.71$77.5034.0%12.5%32.0%12.2%0.0%3.6%-3.8%1.6M-77.3M-196.8K0.396.921,01639619,17210,804
2014-01-09$80.98$77.5033.4%12.5%32.0%11.0%0.0%3.4%-3.5%1.6M-80.5M-197.7K0.196.6496818219,47310,787
2014-01-10$80.17$77.5031.6%12.5%31.6%7.2%0.0%3.3%-3.9%1.5M-77.5M-206.2K0.467.1237317319,88810,847
2014-01-13$77.97$77.5037.0%12.5%32.7%18.6%0.0%1.9%-3.0%897.6K-64.1M-194.7K0.387.772,16081319,92710,962
2014-01-14$80.23$77.5032.7%12.4%31.7%9.5%0.0%2.3%-2.4%1.4M-82.7M-206.9K1.606.6936959020,86711,418
2014-01-15$80.79$77.5031.9%12.4%31.7%7.8%47.8%2.3%-2.9%1.5M-83.9M-200.3K0.706.8642730120,29611,555
2014-01-16$82.01$77.5042.8%12.4%32.0%30.6%0.0%2.5%-3.1%2.4M-93.7M-197.8K0.436.3548320720,46911,679
2014-01-17$80.32$77.5043.0%12.3%32.1%31.2%0.0%2.5%-3.1%2.1M-83.8M-196.3K0.776.9940731520,58911,725
2014-01-21$81.17$77.5044.7%12.4%32.2%34.7%0.0%3.3%-3.3%428.2K-22.1M-193.1K0.696.853862687,3975,420
2014-01-22$80.58$77.5044.6%12.3%29.6%34.6%0.0%3.0%-3.4%452.7K-21.2M-193.7K0.336.273201067,5835,482
2014-01-23$80.92$77.5046.3%12.4%29.5%38.1%43.0%3.7%-4.5%490.8K-22.5M-196.0K2.015.621482987,7965,527
2014-01-24$79.37$77.5047.0%12.4%30.2%39.6%0.0%2.9%-4.1%420.8K-18.7M-197.3K1.096.042442677,9145,768
2014-01-27$76.82$77.5048.3%12.5%32.3%42.2%0.0%3.8%-4.7%339.4K-12.5M-191.9K0.876.113913397,9865,924
2014-01-28$79.00$77.5048.2%12.3%33.2%42.1%0.0%3.1%-5.4%410.6K-17.5M-196.5K0.725.821511098,1166,092
2014-01-29$76.96$77.5049.6%12.4%34.5%44.9%41.1%2.9%-5.6%339.0K-12.8M-193.4K0.295.82200588,1656,147
2014-01-30$76.31$77.5051.9%12.5%34.0%49.8%47.0%4.0%-7.2%326.9K-11.2M-191.5K0.715.759877058,2276,149
2014-01-31$75.28$77.5054.9%12.7%33.9%56.2%45.1%2.6%-7.7%323.5K-9.4M-196.8K0.776.041,4881,1438,8446,489