OPEN Options History — March 2014

In March 2014, OPEN traded between $76.65 and $84.22. ATM implied volatility averaged 37.5%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 6.4% (HV 20d: 31.1%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2014-03-18: Highest Volume — 3,685 contracts
  • 2014-03-10: Largest IV spike — 5.9% change
  • 2014-03-14: Highest IV Rank — 23.9%
  • 2014-03-24: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.99$76.65$84.22$78.93$76.93
Max Pain$89.76$87.50$90.00$90.00$87.50
ATM IV37.5%35.6%39.5%38.5%37.7%
Expected Move11.7%11.5%11.8%11.6%11.8%
HV 20d31.1%27.6%34.5%32.7%32.7%
HV 60d32.4%30.6%33.1%30.6%32.7%
IV Rank19.8%15.8%23.9%21.8%20.1%
IV Percentile52.8%29.8%67.5%59.1%54.0%
Term Structure3.6%-0.5%9.0%-0.5%9.0%
VWIV41.9%37.4%47.8%39.8%41.4%
Skew 25d1.2%-0.5%2.6%1.2%-0.5%
Skew 10d2.7%-0.1%4.9%1.3%-0.1%
Call IV 25d37.8%35.9%39.8%39.1%39.5%
Put IV 25d39.0%37.1%41.0%40.3%38.9%
Bid-Ask Spread %5.814.539.239.235.52
Gamma HHI0.150.130.250.130.14
Net GEX1.1M-305.0K2.2M1.2M-305.0K
Net DEX-30.5M-51.5M2.7M-29.1M1.8M
Net VEX-255.4K-282.0K-233.2K-235.8K-253.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.315.572.051.59
Total Volume1,377.6672113,685369781
Total OI25,080.38120,24630,89520,24626,929

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$78.93$90.0038.5%11.6%32.7%21.8%0.0%1.2%-0.5%1.2M-29.1M-235.8K2.059.2312124811,8528,394
2014-03-04$82.98$90.0036.4%11.6%34.5%17.4%39.8%0.8%-0.2%1.6M-45.7M-233.2K1.326.169761,28411,9078,416
2014-03-05$81.97$90.0036.0%11.5%33.5%16.6%0.0%0.5%0.4%1.5M-40.2M-244.0K4.324.5312955712,2009,327
2014-03-06$84.04$90.0036.4%11.5%31.4%17.4%44.1%0.2%0.1%1.6M-48.7M-241.8K0.314.621,48246312,2029,673
2014-03-07$84.22$90.0035.6%11.5%30.3%15.8%40.1%1.9%2.4%1.6M-49.9M-242.5K3.005.3311935712,4439,905
2014-03-10$82.81$90.0037.7%11.6%31.3%20.2%37.4%2.2%2.3%1.5M-43.2M-240.4K1.814.827513612,45310,020
2014-03-11$81.58$90.0037.3%11.5%29.5%19.3%38.1%1.9%2.5%1.5M-37.6M-238.3K0.414.9850120412,45010,067
2014-03-12$82.03$90.0036.8%11.6%27.7%18.3%41.5%1.9%2.2%1.6M-40.1M-241.4K1.425.6745564812,69610,141
2014-03-13$83.48$90.0038.0%11.6%27.6%20.8%47.8%1.7%2.4%1.7M-47.1M-248.1K0.626.531,33182413,00010,473
2014-03-14$81.66$90.0039.5%11.6%29.4%23.9%0.0%2.6%1.1%1.5M-36.7M-253.6K1.426.001,0671,52013,65011,020
2014-03-17$81.77$90.0038.2%11.6%28.6%21.1%0.0%1.5%2.0%1.5M-37.3M-255.1K0.486.401,43169214,14812,112
2014-03-18$83.77$90.0037.1%11.6%28.9%18.9%0.0%2.0%3.0%1.9M-51.5M-264.6K5.574.985613,12415,32812,501
2014-03-19$82.29$90.0037.5%11.7%29.9%19.8%37.9%2.2%3.3%1.6M-40.6M-277.2K1.086.619881,07015,66714,305
2014-03-20$81.44$90.0037.6%11.6%30.3%19.8%0.0%1.7%2.8%1.7M-35.0M-282.0K1.224.8323729016,03014,675
2014-03-21$82.61$90.0038.0%11.7%30.1%20.7%42.2%1.8%2.9%2.2M-44.4M-277.3K0.934.891,01294616,07814,817
2014-03-24$79.18$90.0038.5%11.8%33.1%21.8%41.1%0.6%6.8%118.4K-11.2M-271.9K1.226.739151,11512,68712,987
2014-03-25$78.12$90.0038.0%11.8%33.4%20.9%47.8%0.7%8.1%-7.5K-5.6M-268.4K0.655.0053034213,08713,075
2014-03-26$77.04$90.0037.5%11.8%33.3%19.8%44.3%0.1%9.0%-164.4K212.8K-263.9K0.636.6573446513,10613,224
2014-03-27$76.65$90.0038.0%11.8%32.9%20.7%42.6%-0.1%7.5%-269.4K2.7M-264.1K0.746.1340129813,33413,380
2014-03-28$77.29$87.5037.7%11.8%32.9%20.2%41.4%0.5%8.0%-209.5K-141.0K-265.6K2.666.3813736513,46013,469
2014-03-31$76.93$87.5037.7%11.8%32.7%20.1%0.0%-0.5%9.0%-305.0K1.8M-253.4K1.595.5230148013,46013,469