OPEN Options History — May 2014

In May 2014, OPEN traded between $62.96 and $71.44. ATM implied volatility averaged 38.6%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 9.3% (HV 20d: 47.8%). Max pain ranged from $80.00 to $87.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2014-05-02: Highest Volume — 5,962 contracts
  • 2014-05-02: Largest IV drop — 34.2% change
  • 2014-05-01: Highest IV Rank — 59.7%
  • 2014-05-14: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.38$62.96$71.44$68.27$67.75
Max Pain$81.79$80.00$87.50$87.50$80.00
ATM IV38.6%35.6%56.4%56.4%36.0%
Expected Move11.7%11.3%11.9%11.9%11.3%
HV 20d47.8%44.6%51.1%44.6%46.1%
HV 60d38.8%35.8%40.7%35.8%39.6%
IV Rank22.0%15.6%59.7%59.7%16.5%
IV Percentile48.9%19.4%94.4%94.4%26.2%
Term Structure-0.9%-12.2%0.4%-12.2%0.3%
VWIV40.9%38.3%45.9%43.6%40.3%
Skew 25d2.7%0.4%4.1%0.4%2.2%
Skew 10d6.0%2.8%11.8%2.8%5.1%
Call IV 25d37.6%35.5%56.1%56.1%35.5%
Put IV 25d40.3%37.5%56.5%56.5%37.6%
Bid-Ask Spread %8.646.5111.949.6111.94
Gamma HHI0.120.080.190.090.09
Net GEX72.5K-561.3K807.2K433.4K295.9K
Net DEX4.6M-12.7M22.7M-4.5M-2.1M
Net VEX-195.3K-226.3K-178.3K-193.0K-221.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.222.860.831.41
Total Volume1,408.7141195,9624,853680
Total OI20,614.52416,59725,54617,48619,007

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$68.27$87.5056.4%11.9%44.6%59.7%43.6%0.4%-12.2%433.4K-4.5M-193.0K0.839.612,6572,19610,5336,953
2014-05-02$71.44$87.5037.1%11.5%47.5%19.0%41.7%2.8%-1.0%807.2K-12.7M-207.7K0.597.313,7412,22111,8088,487
2014-05-05$70.16$87.5038.9%11.7%47.5%22.6%40.1%3.0%0.4%713.8K-7.8M-205.2K2.347.307501,75212,9448,899
2014-05-06$67.77$87.5039.6%11.8%47.9%24.3%40.9%2.1%-0.3%6.5K4.0M-196.8K0.978.4343942712,9279,653
2014-05-07$65.19$87.5040.3%11.9%48.6%25.6%40.5%4.1%-0.7%-314.2K13.5M-180.1K1.367.327871,06912,9939,696
2014-05-08$66.29$80.0037.8%11.7%46.3%20.4%40.8%3.4%0.1%-171.9K8.5M-189.0K1.146.8868377913,2879,620
2014-05-09$67.31$80.0036.3%11.7%45.7%17.2%40.6%3.1%-0.1%-120.0K5.9M-199.8K0.736.5128420713,48010,183
2014-05-12$69.66$80.0039.1%11.7%44.6%23.2%39.5%3.2%-0.2%277.9K-3.5M-203.7K0.606.8544526613,60710,229
2014-05-13$64.76$80.0040.9%11.9%49.7%26.8%0.0%3.2%-0.9%-426.5K15.9M-182.1K1.568.418521,33013,65010,294
2014-05-14$62.96$80.0038.9%11.9%50.1%22.6%0.0%2.6%-0.5%-561.3K22.7M-178.3K2.347.865461,27614,02110,965
2014-05-15$64.00$80.0038.4%11.9%50.8%21.6%45.9%3.9%-0.6%-477.2K21.1M-183.2K0.917.3256451313,86311,376
2014-05-16$63.78$80.0037.4%11.8%50.8%19.5%39.4%4.1%0.4%-221.4K20.3M-184.8K2.868.6918853714,12411,422
2014-05-19$64.33$80.0037.4%11.8%51.1%19.5%39.5%3.1%-0.8%47.5K5.3M-187.4K0.228.455841298,7767,821
2014-05-20$63.41$80.0038.0%11.9%50.6%20.7%39.7%2.6%-0.7%30.6K6.8M-185.6K0.697.942581789,0947,886
2014-05-21$63.96$80.0036.4%11.7%49.6%17.3%38.3%3.5%0.1%58.5K5.9M-188.7K0.959.2161589,1747,932
2014-05-22$63.91$80.0036.4%11.8%49.7%17.4%0.0%1.9%-0.2%58.7K5.7M-189.1K1.258.9361769,1817,931
2014-05-23$64.73$80.0035.6%11.8%46.1%15.6%39.8%2.4%-0.3%94.6K4.7M-189.5K1.048.951731809,1827,951
2014-05-27$66.55$80.0036.8%11.6%45.6%18.1%43.4%2.0%-0.6%215.1K-311.1K-199.3K0.3110.458022479,3288,037
2014-05-28$68.32$80.0036.5%11.6%46.0%17.6%41.6%1.6%-0.4%375.5K-5.8M-209.3K2.6511.662977869,7688,135
2014-05-29$69.41$80.0035.8%11.4%45.5%16.2%0.0%1.6%-0.1%400.0K-6.9M-226.3K1.3011.442192859,9558,733
2014-05-30$67.75$80.0036.0%11.3%46.1%16.5%40.3%2.2%0.3%295.9K-2.1M-221.2K1.4111.9428239810,0538,954