OPEN Options History — April 2014

In April 2014, OPEN traded between $64.24 and $79.31. ATM implied volatility averaged 48.6%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 13.8% (HV 20d: 34.7%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2014-04-03: Highest Volume — 3,600 contracts
  • 2014-04-10: Largest IV spike — 25.2% change
  • 2014-04-28: Highest IV Rank — 69.3%
  • 2014-04-29: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.94$64.24$79.31$77.56$67.16
Max Pain$88.57$87.50$90.00$87.50$87.50
ATM IV48.6%36.7%61.0%37.3%59.9%
Expected Move11.9%11.7%12.2%11.8%12.0%
HV 20d34.7%26.0%43.8%26.9%43.8%
HV 60d33.9%31.2%36.4%32.6%36.3%
IV Rank43.0%18.0%69.3%19.3%66.9%
IV Percentile80.2%39.7%97.2%48.4%96.0%
Term Structure-6.3%-14.3%9.4%8.4%-14.3%
VWIV41.1%39.3%45.7%39.3%39.8%
Skew 25d1.8%-0.8%4.4%-0.8%3.4%
Skew 10d2.6%-1.3%8.9%-1.3%8.9%
Call IV 25d50.2%38.4%59.4%39.4%58.3%
Put IV 25d52.0%38.1%63.2%38.7%61.7%
Bid-Ask Spread %6.424.998.395.337.39
Gamma HHI0.140.080.480.140.09
Net GEX-263.0K-1.2M353.9K-207.0K289.6K
Net DEX8.1M-14.0M36.9M-507.2K-461.3K
Net VEX-212.7K-258.6K-159.1K-253.2K-184.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.234.252.280.23
Total Volume1,359.0953013,6001,0641,088
Total OI24,390.8113,87632,56627,36316,711

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$77.56$87.5037.3%11.8%26.9%19.3%0.0%-0.8%8.4%-207.0K-507.2K-253.2K2.285.3332474013,75913,604
2014-04-02$77.03$87.5036.7%11.8%26.7%18.0%0.0%-0.3%9.4%-319.3K3.5M-248.3K1.465.2461790014,00713,733
2014-04-03$78.51$87.5038.6%11.7%26.0%22.1%0.0%-0.4%8.5%-95.7K-5.9M-258.6K0.267.822,86573514,20713,936
2014-04-04$77.15$87.5037.8%11.8%26.3%20.4%39.3%2.3%-6.0%-364.4K4.1M-249.7K0.816.2976562014,55014,222
2014-04-07$74.95$87.5041.9%11.8%27.4%29.0%41.2%0.3%-7.3%-644.3K17.3M-235.4K0.365.362,17879214,92814,405
2014-04-08$76.26$87.5040.7%11.8%28.3%26.5%0.0%2.0%-7.4%-408.4K6.3M-247.3K0.374.9981530215,84414,647
2014-04-09$79.31$87.5040.0%11.7%32.0%24.9%0.0%2.5%-8.5%-18.7K-14.0M-254.7K0.365.4559521315,92914,825
2014-04-10$76.29$87.5050.0%11.8%33.7%46.1%0.0%2.5%-8.1%-628.8K7.8M-238.1K0.406.1460924416,10514,894
2014-04-11$72.48$87.5051.8%12.1%37.1%49.9%0.0%3.2%-8.4%-853.2K32.8M-210.9K2.146.668831,89116,18614,865
2014-04-14$74.54$87.5051.2%12.0%39.0%48.7%39.8%3.1%-8.4%-955.5K23.4M-222.5K2.226.0526759216,69315,719
2014-04-15$73.24$90.0051.0%12.0%37.7%48.2%0.0%1.3%-8.5%-900.0K31.5M-213.2K3.676.4813750316,80715,759
2014-04-16$72.87$90.0050.9%12.0%37.4%47.9%41.1%2.6%-8.6%-889.7K35.6M-201.7K2.726.2614338916,40415,559
2014-04-17$72.68$90.0049.4%11.9%37.4%44.8%0.0%1.8%-8.1%-1.2M36.9M-195.1K4.256.3418377816,40915,524
2014-04-21$71.90$90.0051.5%11.9%36.7%49.3%0.0%0.1%-6.8%288.8K-5.3M-190.5K0.378.39262968,0515,955
2014-04-22$73.01$90.0051.2%11.9%35.0%48.7%0.0%0.7%-8.3%353.9K-7.6M-194.6K2.296.973838768,2006,034
2014-04-23$70.43$90.0051.7%11.9%36.7%49.7%0.0%2.1%-6.5%275.1K-3.4M-182.1K0.646.741831188,1815,695
2014-04-24$70.23$90.0053.0%12.0%36.5%52.4%0.0%2.3%-8.6%275.0K-3.2M-181.8K0.956.352932778,2995,750
2014-04-25$66.41$90.0054.5%12.1%40.8%55.5%45.7%2.1%-9.0%119.8K3.6M-167.7K0.656.687224728,4495,896
2014-04-28$64.24$90.0061.0%12.2%41.4%69.3%40.8%4.4%-14.0%63.3K6.7M-159.1K0.386.931,7406588,8406,081
2014-04-29$65.54$87.5059.5%12.2%42.7%66.1%39.8%1.9%-12.0%266.0K1.2M-178.1K1.417.019531,3409,9766,569
2014-04-30$67.16$87.5059.9%12.0%43.8%66.9%0.0%3.4%-14.3%289.6K-461.3K-184.4K0.237.398862029,8916,820