OPEN Options History — September 2021

In September 2021, OPEN traded between $16.95 and $20.94. ATM implied volatility averaged 61.8%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 5.9% (HV 20d: 67.7%). Max pain ranged from $16.00 to $18.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2021-09-08: Highest Volume — 45,571 contracts
  • 2021-09-20: Largest IV spike — 8.3% change
  • 2021-09-02: Highest IV Rank — 47.7%
  • 2021-09-20: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.02$16.95$20.94$18.45$20.48
Max Pain$17.74$16.00$18.50$16.00$18.50
ATM IV61.8%58.5%63.8%63.3%61.8%
Expected Move17.5%16.6%18.4%17.1%16.9%
HV 20d67.7%47.6%102.6%101.1%50.0%
HV 60d70.8%69.6%72.0%69.7%70.5%
IV Rank46.0%43.4%47.7%47.3%46.1%
IV Percentile48.8%44.4%54.0%53.2%47.6%
Term Structure1.3%-1.7%9.9%-0.0%8.0%
VWIV61.9%58.3%64.6%60.8%59.7%
Skew 25d1.0%-2.3%3.2%2.5%1.9%
Skew 10d3.1%-3.7%10.7%-0.4%10.7%
Call IV 25d62.3%58.6%66.2%63.6%60.7%
Put IV 25d63.4%60.7%66.1%66.1%62.6%
Bid-Ask Spread %21.784.7147.114.7114.30
Gamma HHI0.120.090.210.120.10
Net GEX3.6M1.7M5.1M4.3M3.8M
Net DEX-210.2M-283.7M-115.9M-226.8M-231.6M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.171.380.660.48
Total Volume20,691.7625,47845,57119,09812,386
Total OI404,940.762336,872457,517405,133381,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$18.45$16.0063.3%17.1%101.1%47.3%60.8%2.5%-0.0%4.3M-226.8M-1.6M0.664.7111,4837,615308,55396,580
2021-09-02$18.51$16.0063.8%18.3%100.9%47.7%64.2%-1.0%1.5%4.4M-231.7M-1.6M0.2024.6422,1914,339309,82198,450
2021-09-03$19.18$17.0061.9%17.9%101.2%46.1%62.7%0.4%2.0%5.1M-261.1M-1.6M0.4313.0721,2189,206313,713103,312
2021-09-07$19.66$17.0062.5%18.1%100.8%46.6%63.1%-0.8%-0.0%4.9M-283.7M-1.6M0.2912.8520,6555,946315,494103,922
2021-09-08$18.78$18.0062.9%17.9%102.6%47.0%63.7%2.0%-1.7%4.7M-235.5M-1.6M0.4318.0131,94513,626318,768109,104
2021-09-09$19.09$18.0060.8%17.6%101.8%45.3%61.9%2.0%0.2%5.1M-251.6M-1.6M0.5324.869,5595,055326,312112,643
2021-09-10$18.80$18.0061.7%17.8%65.4%46.0%62.3%-2.3%1.1%4.8M-237.2M-1.6M0.4520.968,7993,982329,800123,424
2021-09-13$17.74$18.0061.8%17.6%68.0%46.1%62.4%1.9%-0.6%3.5M-174.0M-1.5M0.1733.5624,9244,188321,140120,782
2021-09-14$17.02$18.0062.1%17.8%64.6%46.3%62.9%0.2%-0.6%2.4M-127.1M-1.5M0.5615.3315,7168,759321,133125,425
2021-09-15$16.95$18.0060.6%17.4%53.1%45.0%61.2%0.6%0.1%2.4M-115.9M-1.5M0.6847.113,2672,211324,749127,059
2021-09-16$17.85$18.0060.1%17.2%54.1%44.7%60.9%1.2%0.2%3.3M-171.9M-1.5M0.5314.3311,1075,940327,294130,223
2021-09-17$18.27$18.0058.5%16.6%53.6%43.4%58.7%2.1%0.8%1.7M-193.8M-1.5M0.4534.689,5034,302327,258129,976
2021-09-20$18.41$18.0063.3%18.4%53.4%47.3%64.6%2.5%-0.9%1.8M-149.5M-1.6M0.3423.4811,8044,050235,614101,258
2021-09-21$19.30$18.0062.6%18.0%52.2%46.7%63.6%3.2%0.0%2.2M-182.8M-1.6M0.1928.9828,5085,472240,739103,097
2021-09-22$19.49$18.0062.3%17.6%49.6%46.5%61.6%2.0%0.1%2.6M-194.7M-1.6M0.2141.5820,8744,299247,146105,484
2021-09-23$19.99$18.0060.7%16.7%50.1%45.2%60.0%-0.6%-0.3%4.5M-226.9M-1.7M0.3328.7016,8505,627262,881108,647
2021-09-24$20.40$18.0060.3%16.8%48.1%44.9%58.3%1.1%0.9%5.1M-247.2M-1.7M0.1711.6815,9812,650268,220110,277
2021-09-27$20.94$18.0061.3%17.2%47.6%45.7%61.2%2.4%1.7%3.1M-246.2M-1.7M0.2916.4314,1504,090255,455110,264
2021-09-28$20.06$18.0063.3%18.3%51.1%47.3%64.0%0.2%5.3%3.2M-216.7M-1.7M0.2212.6210,1992,238259,900111,525
2021-09-29$19.97$18.0061.3%17.4%51.2%45.7%61.5%0.0%9.9%3.3M-208.1M-1.7M1.3815.444,1265,687263,570113,586
2021-09-30$20.48$18.5061.8%16.9%50.0%46.1%59.7%1.9%8.0%3.8M-231.6M-1.7M0.4814.308,3714,015266,928114,230