OPK Options History — December 2011

In December 2011, OPK traded between $4.72 and $5.10. ATM implied volatility averaged 42.0%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 1.4% (HV 20d: 40.5%). 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 20 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2011-12-01: Highest Volume — 1,355 contracts
  • 2011-12-02: Largest IV drop — 35.2% change
  • 2011-12-01: Highest IV Rank — 16.3%
  • 2011-12-01: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.86$4.72$5.10$5.10$4.90
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV42.0%35.6%54.9%54.9%38.9%
Expected Move12.5%10.2%15.7%15.7%11.1%
HV 20d40.5%26.7%49.0%48.0%26.7%
HV 60d45.0%40.6%46.9%46.6%40.6%
IV Rank8.6%4.8%16.3%16.3%6.7%
IV Percentile8.6%0.4%33.3%33.3%4.1%
Term Structure9.3%-2.0%15.4%-2.0%8.1%
VWIV44.2%35.8%54.8%54.8%39.1%
Skew 25d5.1%-11.4%24.5%24.5%-2.3%
Skew 10d7.2%-19.8%40.7%40.7%-4.3%
Call IV 25d39.1%32.5%50.4%39.8%41.0%
Put IV 25d44.2%32.6%64.3%64.3%38.6%
Bid-Ask Spread %95.2016.11119.1977.1016.78
Gamma HHI0.640.260.950.860.31
Net GEX111.5K11.3K315.2K110.7K11.3K
Net DEX-1.4M-3.3M-338.7K-3.3M-743.6K
Net VEX-8.3K-11.6K-6.3K-11.6K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.001.821.610.00
Total Volume306.429281,3551,355185
Total OI15,264.3339,03920,09319,1749,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$5.10$5.0054.9%15.7%48.0%16.3%54.8%24.5%-2.0%110.7K-3.3M-11.6K1.6177.10N/AN/A51983614,7434,431
2011-12-02$5.10$5.0035.6%10.2%47.8%4.8%35.8%-1.1%2.3%194.6K-3.2M-11.3K0.0977.44N/AN/A1,0739814,9434,441
2011-12-05$5.00$5.0037.7%12.5%48.2%6.1%0.0%13.8%15.4%186.8K-2.6M-11.0K0.00110.50N/AN/A175015,1454,506
2011-12-06$4.99$5.0043.3%13.7%48.2%9.4%49.3%15.5%11.3%168.4K-2.7M-10.8K0.68111.52N/AN/A775215,2244,506
2011-12-07$4.87$5.0038.7%13.8%48.7%6.7%48.3%4.4%12.9%178.9K-1.9M-10.2K0.09102.64N/AN/A1711515,2734,536
2011-12-08$4.78$5.0044.3%14.4%48.9%10.0%50.3%0.5%8.5%139.8K-1.5M-9.7K0.06106.83N/AN/A84515,2484,536
2011-12-09$4.82$5.0041.9%13.0%49.0%8.5%45.3%1.7%10.6%163.7K-1.7M-9.5K0.3582.31N/AN/A1736015,2794,529
2011-12-12$4.89$5.0040.0%13.6%45.1%7.4%43.2%6.7%10.9%219.5K-2.1M-9.2K1.01105.78N/AN/A15916015,3394,549
2011-12-13$4.79$5.0044.2%13.6%41.3%9.9%47.6%1.9%7.5%171.1K-870.5K-8.3K0.01108.63N/AN/A155215,4214,672
2011-12-14$4.72$5.0046.3%12.5%41.0%11.2%0.0%-2.9%12.3%115.0K-338.7K-7.5K0.32110.54N/AN/A1244015,4044,671
2011-12-15$4.87$5.0045.1%12.9%38.3%10.5%45.1%11.2%12.6%270.7K-889.1K-8.0K0.44113.50N/AN/A1536815,3254,691
2011-12-16$4.90$5.0039.8%11.4%36.8%7.3%39.2%15.2%14.4%315.2K-1.2M-7.8K0.3694.24N/AN/A973515,1934,678
2011-12-19$4.75$5.0041.7%12.0%37.7%8.4%41.8%-3.3%9.9%12.2K-644.6K-6.7K0.24110.38N/AN/A109266,4192,699
2011-12-20$4.83$5.0040.6%11.6%38.2%7.8%39.4%1.0%9.3%12.7K-690.0K-6.6K0.06101.74N/AN/A929576,4572,700
2011-12-21$4.84$5.0044.2%12.7%38.2%9.9%44.1%13.7%8.8%11.9K-672.9K-6.3K1.30105.71N/AN/A1241616,3812,658
2011-12-22$4.77$5.0042.0%12.0%37.7%8.6%0.0%13.5%7.1%11.7K-656.4K-6.7K0.14119.19N/AN/A181256,4842,778
2011-12-23$4.79$5.0039.7%11.4%37.5%7.3%0.0%-11.4%11.0%11.8K-653.2K-6.6K1.82117.99N/AN/A11206,5602,803
2011-12-27$4.85$5.0042.6%12.2%35.3%9.0%0.0%4.9%6.8%11.6K-725.6K-6.5K0.00111.25N/AN/A11906,5492,823
2011-12-28$4.80$5.0039.6%11.4%31.1%7.2%39.7%4.6%8.5%11.6K-674.8K-6.3K0.1899.10N/AN/A109206,4942,823
2011-12-29$4.80$5.0040.5%11.6%27.6%7.7%0.0%-5.6%8.1%11.7K-628.2K-6.3K0.0016.11N/AN/A2806,5112,823
2011-12-30$4.90$5.0038.9%11.1%26.7%6.7%39.1%-2.3%8.1%11.3K-743.6K-6.3K0.0016.78N/AN/A18506,4832,823