OPK Options History — November 2011

In November 2011, OPK traded between $4.77 and $5.66. ATM implied volatility averaged 49.4%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 5.0% (HV 20d: 44.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-11-30: Highest Volume — 1,402 contracts
  • 2011-11-10: Largest IV spike — 26.2% change
  • 2011-11-17: Highest IV Rank — 17.5%
  • 2011-11-17: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.15$4.77$5.66$5.16$4.96
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV49.4%38.0%57.0%42.3%48.9%
Expected Move14.7%12.1%16.3%12.1%14.0%
HV 20d44.4%37.7%47.8%44.2%47.7%
HV 60d45.4%43.3%49.3%49.3%46.8%
IV Rank13.0%6.3%17.5%8.8%12.7%
IV Percentile19.4%2.0%35.2%5.0%18.1%
Term Structure6.4%1.1%16.3%16.3%7.8%
VWIV51.8%42.3%65.7%42.3%48.9%
Skew 25d9.5%3.5%15.0%3.5%5.3%
Skew 10d14.5%-0.5%24.1%-0.5%9.1%
Call IV 25d45.2%41.2%48.0%41.3%43.5%
Put IV 25d54.8%44.9%62.4%44.9%48.8%
Bid-Ask Spread %43.1417.4483.1156.7566.31
Gamma HHI0.840.620.900.780.90
Net GEX75.0K20.9K120.6K47.7K120.6K
Net DEX-3.2M-5.4M-1.6M-2.9M-2.4M
Net VEX-12.7K-14.2K-11.1K-14.2K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.003.210.013.21
Total Volume473.048501,4027981,402
Total OI19,030.90517,41319,89118,52119,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$5.16$5.0042.3%12.1%44.2%8.8%42.3%0.0%16.3%47.7K-2.9M-14.2K0.0156.75N/AN/A7881013,4765,045
2011-11-02$5.28$5.0046.2%13.2%43.7%11.1%46.2%0.0%8.1%61.9K-3.4M-14.2K0.3473.65N/AN/A1515213,9375,055
2011-11-03$5.20$5.0048.6%13.9%44.3%12.6%0.0%0.0%3.7%65.7K-3.1M-14.2K0.0078.08N/AN/A50013,9655,097
2011-11-04$5.18$5.0045.3%14.7%44.5%10.6%51.4%0.0%6.5%65.7K-3.0M-14.0K0.0017.44N/AN/A63013,9715,097
2011-11-07$5.20$5.0038.0%14.5%44.2%6.3%50.6%0.0%6.8%63.6K-3.3M-13.6K0.0923.50N/AN/A3092914,0055,097
2011-11-08$5.23$5.0038.2%15.7%44.1%6.3%54.9%0.0%2.6%63.0K-3.4M-13.5K0.0838.84N/AN/A97814,1875,114
2011-11-09$5.16$5.0043.0%14.5%40.7%9.2%50.5%0.0%9.5%69.8K-3.3M-13.5K0.0222.09N/AN/A212414,2315,106
2011-11-10$5.10$5.0054.2%15.6%37.7%15.9%54.2%0.0%4.5%66.8K-3.0M-13.4K0.0022.76N/AN/A119014,3295,106
2011-11-11$5.37$5.0053.3%15.3%41.2%15.4%53.3%0.0%7.8%73.8K-4.2M-12.7K0.0223.61N/AN/A332714,2655,106
2011-11-14$5.62$5.0050.7%14.5%44.0%13.8%50.2%0.0%7.6%70.9K-5.3M-11.4K0.1535.30N/AN/A68010514,3245,099
2011-11-15$5.66$5.0050.1%14.4%42.2%13.4%50.4%0.0%10.5%80.6K-5.4M-11.3K0.0032.34N/AN/A213014,4915,160
2011-11-16$5.32$5.0051.6%14.8%46.4%14.3%51.7%0.0%6.5%76.9K-4.1M-12.2K0.2132.52N/AN/A4198814,3715,160
2011-11-17$5.14$5.0057.0%16.3%47.8%17.5%57.1%0.0%1.9%63.8K-3.2M-12.4K0.2418.23N/AN/A46511214,4015,195
2011-11-18$5.04$5.0050.6%14.5%47.1%13.7%50.6%0.0%7.9%20.9K-3.0M-12.5K0.8919.50N/AN/A33029414,5845,307
2011-11-21$4.98$5.0053.9%15.5%47.2%15.7%53.6%3.5%1.1%90.7K-2.6M-11.9K2.2418.55N/AN/A35779813,5123,901
2011-11-22$4.99$5.0050.2%14.4%44.8%13.5%50.2%7.1%6.7%92.5K-2.5M-12.2K0.2959.85N/AN/A34310013,6644,448
2011-11-23$4.88$5.0056.0%16.1%45.0%16.9%47.0%9.5%1.6%85.7K-2.1M-12.0K0.5437.02N/AN/A814413,9604,533
2011-11-25$4.82$5.0053.1%15.2%43.5%15.2%53.1%14.3%5.5%92.1K-2.0M-11.8K0.0383.11N/AN/A90314,0034,557
2011-11-28$5.00$5.0055.0%15.8%45.0%16.3%55.0%15.0%5.5%100.0K-2.5M-11.7K0.0281.05N/AN/A5881214,0494,560
2011-11-29$4.77$5.0050.5%14.5%47.1%13.7%65.7%11.8%5.2%101.4K-1.6M-11.1K1.7565.42N/AN/A42975014,3484,569
2011-11-30$4.96$5.0048.9%14.0%47.7%12.7%48.9%5.3%7.8%120.6K-2.4M-11.5K3.2166.31N/AN/A3331,06914,7204,544