A Options History — January 2007

In January 2007, A traded between $22.88 and $24.61. ATM implied volatility averaged 26.4%. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 10.9% (HV 20d: 15.5%). Max pain ranged from $23.25 to $23.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2007-01-16: Highest Volume — 7,452 contracts
  • 2007-01-11: Largest IV spike — 29.5% change
  • 2007-01-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.66$22.88$24.61$24.54$22.89
Max Pain$23.25$23.25$23.25$23.25$23.25
ATM IV26.4%20.0%30.4%20.8%29.4%
Expected Move7.9%5.9%8.7%5.9%8.4%
HV 20d15.5%15.0%15.9%15.4%15.0%
Term Structure-0.4%-3.1%5.6%5.6%-3.0%
VWIV27.4%20.7%30.1%20.8%29.5%
Skew 25d3.1%1.7%5.4%4.8%2.7%
Skew 10d7.0%1.7%11.8%7.4%3.8%
Call IV 25d26.1%17.7%29.0%18.5%29.0%
Put IV 25d29.2%23.2%31.8%23.2%31.8%
Bid-Ask Spread %14.9510.3424.1113.9811.87
Gamma HHI0.710.680.750.680.68
Net GEX2.6M1.5M3.6M3.4M1.5M
Net DEX-20.6M-41.0M-6.1M-38.3M-6.1M
Net VEX-210.3K-249.4K-179.0K-249.0K-184.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.062.260.610.78
Total Volume1,380.62247,4527191,370
Total OI60,729.9555,85267,24360,08861,375

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$24.54$23.2520.8%5.9%0.0%0.0%20.8%4.8%5.6%3.4M-38.3M-249.0K0.6113.98N/AN/A44627346,74813,340
2007-01-04$24.61$23.2520.7%5.9%0.0%0.0%20.7%5.4%5.5%3.6M-41.0M-249.4K0.8723.05N/AN/A25622446,82913,331
2007-01-05$24.38$23.2520.5%7.6%0.0%0.0%26.6%2.7%0.3%3.4M-34.3M-243.4K0.2311.84N/AN/A3277446,91013,453
2007-01-08$24.30$23.2520.8%7.8%0.0%0.0%28.1%3.0%-0.4%3.4M-32.3M-233.2K0.2418.10N/AN/A2115046,83013,417
2007-01-09$24.33$23.2520.0%7.6%0.0%0.0%27.3%2.5%0.4%3.5M-32.4M-231.0K0.7418.72N/AN/A1299546,93613,410
2007-01-10$24.11$23.2522.1%8.2%0.0%0.0%27.0%3.2%-0.4%3.2M-27.0M-223.4K0.2416.51N/AN/A97423547,03413,404
2007-01-11$24.11$23.2528.6%8.2%0.0%0.0%27.4%2.6%-0.2%3.1M-27.1M-223.1K0.2820.46N/AN/A61217147,49713,404
2007-01-12$24.03$23.2528.3%8.1%0.0%0.0%27.2%3.0%-0.2%3.1M-25.3M-221.5K0.7012.59N/AN/A1349447,79313,439
2007-01-16$23.99$23.2528.6%8.2%0.0%0.0%27.1%2.9%-0.6%2.6M-23.8M-206.7K0.0624.11N/AN/A7,01443847,84813,485
2007-01-17$23.51$23.2528.3%8.1%0.0%0.0%27.6%2.8%-0.3%2.6M-19.0M-210.6K1.4514.70N/AN/A28040453,21613,540
2007-01-18$23.07$23.2529.9%8.6%0.0%0.0%30.1%2.9%-2.1%2.0M-8.7M-193.2K1.7510.34N/AN/A8321,46053,28813,721
2007-01-19$23.46$23.2529.2%8.4%0.0%0.0%29.2%2.6%-1.2%2.6M-19.6M-205.4K0.2611.65N/AN/A1,04227453,54813,695
2007-01-22$23.30$23.2529.2%8.4%0.0%0.0%28.7%3.4%-1.7%2.3M-13.8M-195.2K0.3010.83N/AN/A97429245,44810,404
2007-01-23$23.40$23.2528.2%8.1%0.0%0.0%28.0%3.6%-0.8%2.6M-15.6M-198.2K0.6411.00N/AN/A83753446,11610,558
2007-01-24$23.33$23.2527.9%8.0%0.0%0.0%28.2%4.9%-0.7%2.4M-13.1M-191.8K0.4615.85N/AN/A93543546,71310,860
2007-01-25$22.93$23.2528.2%8.1%15.4%0.0%28.2%1.7%-1.2%1.9M-9.1M-189.4K0.3112.77N/AN/A82525347,28911,100
2007-01-26$23.15$23.2527.8%8.0%15.9%0.0%28.0%2.2%-1.1%2.2M-11.5M-192.4K0.4017.43N/AN/A40316247,73311,192
2007-01-29$22.88$23.2529.5%8.5%15.8%0.0%28.8%2.2%-2.0%1.7M-7.2M-179.0K1.3911.48N/AN/A1,2081,67847,96411,253
2007-01-30$22.89$23.2530.4%8.7%15.4%0.0%30.0%2.5%-3.1%1.7M-7.1M-185.1K2.2611.71N/AN/A5091,14848,38512,093
2007-01-31$22.89$23.2529.4%8.4%15.0%0.0%29.5%2.7%-3.0%1.5M-6.1M-184.2K0.7811.87N/AN/A77060048,75712,618