OPEN Options History — June 2014

In June 2014, OPEN traded between $68.23 and $105.47. ATM implied volatility averaged 22.5%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 72.9% (HV 20d: 95.4%). Max pain ranged from $80.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2014-06-13: Highest Volume — 39,143 contracts
  • 2014-06-13: Largest IV drop — 70.2% change
  • 2014-06-02: Highest IV Rank — 20.0%
  • 2014-06-04: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.59$68.23$105.47$68.45$103.60
Max Pain$90.48$80.00$100.00$80.00$100.00
ATM IV22.5%10.2%37.6%37.6%11.1%
Expected Move5.5%0.7%11.6%11.3%0.7%
HV 20d95.4%21.4%140.6%43.0%140.2%
HV 60d68.0%38.8%90.1%39.3%89.3%
IV Rank9.0%0.0%20.0%20.0%1.4%
IV Percentile14.6%0.0%51.2%51.2%1.6%
Term Structure-1.6%-6.5%3.9%-1.0%-3.6%
VWIV13.0%2.4%45.4%40.5%2.4%
Skew 25d-1.2%-6.0%3.0%1.7%-6.0%
Skew 10d-1.7%-11.6%6.3%3.0%-11.6%
Call IV 25d23.8%12.5%38.0%38.0%12.5%
Put IV 25d22.6%6.5%39.7%39.7%6.5%
Bid-Ask Spread %39.9011.3566.5311.3555.96
Gamma HHI0.330.090.560.090.56
Net GEX6.1M368.9K13.8M368.9K10.9M
Net DEX-81.8M-181.6M-3.7M-4.2M-114.8M
Net VEX-335.2K-518.2K-28.8K-222.3K-431.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.112.830.110.28
Total Volume4,269.8112139,1439632,683
Total OI37,175.8119,37856,98719,37856,987

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$68.45$80.0037.6%11.3%43.0%20.0%40.5%1.7%-1.0%368.9K-4.2M-222.3K0.1111.358679610,2719,107
2014-06-03$68.53$80.0037.3%11.6%42.6%19.2%0.0%1.3%-1.1%466.2K-5.0M-223.6K0.1613.171041710,7859,131
2014-06-04$68.23$80.0037.2%11.6%40.8%19.1%0.0%2.6%-0.8%438.9K-3.7M-220.5K1.2912.7311715110,7969,121
2014-06-05$69.73$80.0035.6%11.5%38.7%15.8%39.1%2.1%-0.3%555.8K-7.8M-223.4K0.6914.0335024210,7539,165
2014-06-06$70.61$80.0034.8%11.4%38.5%14.1%0.0%2.1%3.9%657.2K-11.3M-224.2K1.2715.9930538610,7169,057
2014-06-09$70.55$80.0037.1%11.5%38.3%19.0%0.0%2.8%3.3%617.0K-9.6M-219.6K0.1816.1973513610,7209,195
2014-06-10$70.31$80.0036.4%11.4%36.4%17.4%45.4%1.8%3.1%597.4K-8.7M-222.1K0.3916.01933610,7539,162
2014-06-11$71.13$80.0035.9%11.5%24.0%16.3%0.0%2.8%3.7%685.9K-11.2M-222.1K0.4314.8025110710,7639,151
2014-06-12$70.43$80.0034.8%11.4%21.4%14.1%39.4%3.0%3.3%637.6K-9.1M-219.7K2.8315.244211910,9069,168
2014-06-13$104.48$80.0010.4%1.2%139.8%0.0%4.1%-1.7%-4.7%564.6K-99.8M-28.8K0.7248.7322,69816,44510,9069,200
2014-06-16$103.90$100.0010.2%1.0%139.9%0.0%3.7%-2.5%-4.1%6.1M-116.5M-301.9K0.7154.455,1163,60924,24620,118
2014-06-17$104.38$100.0013.8%1.3%139.9%5.5%4.6%-4.9%-6.4%7.1M-134.2M-427.6K0.4266.376,3232,63226,65821,978
2014-06-18$105.17$100.0013.6%1.1%139.3%5.2%4.0%-4.4%-6.5%11.9M-170.8M-437.8K0.2566.533,78392830,37423,100
2014-06-19$105.47$100.0013.4%1.1%139.4%4.9%3.9%-4.4%-5.8%13.8M-181.6M-466.4K0.3062.901,99259231,60022,952
2014-06-20$104.67$100.0012.6%1.1%139.6%3.6%3.6%-4.7%-5.7%13.8M-156.6M-484.9K0.6060.061,36782231,54523,166
2014-06-23$105.04$100.0014.3%1.1%139.8%6.2%3.9%-4.4%-3.2%11.3M-153.4M-489.9K0.3361.325,1441,71929,48321,193
2014-06-24$104.27$100.0013.3%0.9%140.2%4.7%3.7%-4.6%-2.7%11.8M-137.8M-478.3K2.5356.656151,55329,86622,413
2014-06-25$104.27$100.0011.5%1.0%140.4%2.0%2.5%-3.5%-1.6%11.2M-131.3M-504.3K0.3958.303,2021,25329,69523,830
2014-06-26$104.20$100.0010.9%0.8%140.6%1.0%3.4%-2.5%-2.5%12.3M-126.1M-518.2K1.3159.289571,25530,70224,973
2014-06-27$104.01$100.0010.3%0.9%139.9%0.2%3.1%-1.7%-1.7%12.4M-124.9M-473.3K0.3957.7859123330,88526,102
2014-06-30$103.60$100.0011.1%0.7%140.2%1.4%2.4%-6.0%-3.6%10.9M-114.8M-431.1K0.2855.962,09059330,88526,102