OPK Options History — March 2011

In March 2011, OPK traded between $3.53 and $4.74. ATM implied volatility averaged 86.1%. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 18.7% (HV 20d: 67.4%). Max pain ranged from $2.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 2.44.

Notable Days

  • 2011-03-03: Highest Volume — 11,329 contracts
  • 2011-03-28: Largest IV spike — 108.4% change
  • 2011-03-31: Largest Expected Move — 36.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.85$3.53$4.74$4.74$3.73
Max Pain$5.43$2.50$10.00$5.00$5.00
ATM IV86.1%55.3%143.4%65.5%127.5%
Expected Move21.7%13.8%36.5%18.8%36.5%
HV 20d67.4%55.8%77.2%56.7%55.8%
HV 60d62.5%60.7%64.2%64.2%60.7%
Term Structure-13.4%-57.3%11.0%1.5%-57.3%
VWIV79.9%51.5%172.0%68.4%51.5%
Bid-Ask Spread %66.0120.34106.2395.3654.66
Gamma HHI0.970.910.980.930.97
Net GEX40.6K4.1K51.3K8.7K42.2K
Net DEX-1.3M-2.0M21.9K-134.2K-2.0M
Net VEX-13.9K-17.7K-1.9K-2.2K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.0032.000.000.00
Total Volume927.478011,32910915
Total OI15,943.6092,44520,2252,44517,797

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$4.74$5.0065.5%18.8%56.7%0.0%68.4%0.0%1.5%8.7K-134.2K-2.2K0.0095.36N/AN/A10901,470975
2011-03-02$4.60$5.0066.0%18.9%58.4%0.0%66.0%0.0%-0.9%9.6K-123.4K-2.2K1.00106.23N/AN/A10101,572975
2011-03-03$4.25$5.0081.2%23.3%65.9%0.0%172.0%0.0%-20.4%4.1K21.9K-1.9K0.0560.55N/AN/A10,8195101,572975
2011-03-04$3.97$10.0090.8%13.8%70.2%0.0%0.0%0.0%9.6%34.8K-987.7K-12.2K0.0375.61N/AN/A5,76617511,6771,485
2011-03-07$3.69$10.00135.6%22.6%74.8%0.0%0.0%0.0%-15.0%48.0K-1.0M-14.2K0.3877.33N/AN/A803016,6731,660
2011-03-08$3.84$10.00125.3%15.2%72.8%0.0%54.8%0.0%11.0%51.0K-1.5M-16.8K15.6252.45N/AN/A1131,76516,6831,690
2011-03-09$3.59$10.00143.4%21.1%75.8%0.0%0.0%0.0%-16.6%40.2K-738.5K-15.0K2.8052.38N/AN/A15944516,7903,435
2011-03-10$3.53$2.5073.7%21.1%72.3%0.0%0.0%0.0%-17.3%38.6K-1.5M-15.1K0.0476.65N/AN/A51216,8721,596
2011-03-11$3.75$2.5073.9%21.2%76.8%0.0%0.0%0.0%-19.3%45.5K-1.4M-16.0K0.4278.62N/AN/A32313516,9231,598
2011-03-14$3.79$2.5062.8%18.0%76.7%0.0%65.4%0.0%3.7%46.5K-1.4M-15.7K32.0077.39N/AN/A13217,1441,472
2011-03-15$3.66$2.5089.9%25.8%77.2%0.0%0.0%0.0%-34.1%44.1K-1.4M-15.2K1.2578.08N/AN/A81017,1191,503
2011-03-16$3.64$5.0071.4%20.5%66.3%0.0%0.0%0.0%0.5%44.0K-1.4M-15.2K0.0275.34N/AN/A106217,1241,513
2011-03-17$3.65$5.0083.6%24.0%66.5%0.0%0.0%0.0%-17.4%43.9K-1.5M-15.2K0.0077.39N/AN/A65017,2241,341
2011-03-18$3.67$5.0088.8%25.5%66.8%0.0%0.0%0.0%-38.1%43.9K-1.6M-16.2K0.1578.01N/AN/A1001517,2341,341
2011-03-21$3.70$5.0078.2%22.4%65.9%0.0%0.0%0.0%3.8%47.3K-1.4M-15.2K0.0053.10N/AN/A10016,2381,246
2011-03-22$3.73$5.0090.6%26.0%66.1%0.0%81.4%0.0%-21.2%43.5K-1.8M-16.2K0.0052.82N/AN/A133016,2421,246
2011-03-23$3.84$5.0063.3%18.2%67.4%0.0%0.0%0.0%-3.9%46.3K-1.9M-17.0K0.0053.74N/AN/A50016,3411,246
2011-03-24$3.89$5.0062.6%18.0%67.6%0.0%51.5%0.0%-4.2%51.3K-2.0M-17.7K0.0057.25N/AN/A215016,3861,246
2011-03-25$3.82$5.0055.3%15.9%67.3%0.0%0.0%0.0%-5.5%50.9K-1.9M-16.7K0.0056.41N/AN/A20016,4991,246
2011-03-28$3.75$5.00115.3%33.0%60.5%0.0%0.0%0.0%-46.9%49.4K-1.6M-15.1K0.0054.66N/AN/A27016,5091,246
2011-03-29$3.83$5.0072.8%20.9%61.6%0.0%0.0%0.0%-9.4%49.3K-1.9M-16.2K0.0053.74N/AN/A21016,5361,246
2011-03-30$3.82$5.0062.9%18.0%61.2%0.0%0.0%0.0%-10.8%50.1K-1.8M-16.2K0.0020.34N/AN/A0016,5511,246
2011-03-31$3.73$5.00127.5%36.5%55.8%0.0%0.0%0.0%-57.3%42.2K-2.0M-16.7K0.0054.66N/AN/A15016,5511,246