A Options History — February 2007 In February 2007, A traded between $22.61 and $24.20. ATM implied volatility averaged 27.7%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 8.9% (HV 20d: 18.9%). Max pain ranged from $23.25 to $23.25. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.80.
Notable Days 2007-02-15 : Highest Volume — 25,064 contracts2007-02-08 : Largest IV drop — 23.0% change2007-02-14 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $23.31 $22.61 $24.20 $23.03 $22.71 Max Pain $23.25 $23.25 $23.25 $23.25 $23.25 ATM IV 27.7% 20.7% 36.5% 30.7% 25.0% Expected Move 7.6% 5.9% 9.5% 8.8% 7.2% HV 20d 18.9% 15.0% 23.9% 15.0% 23.9% Term Structure -1.5% -5.5% 1.8% -4.0% -1.3% VWIV 26.7% 19.9% 32.9% 30.4% 25.1% Skew 25d 4.3% 3.0% 5.8% 3.0% 4.3% Skew 10d 9.4% 4.3% 16.3% 4.3% 8.6% Call IV 25d 24.7% 18.9% 30.1% 30.1% 25.0% Put IV 25d 29.0% 22.8% 34.6% 33.1% 29.3% Bid-Ask Spread % 9.00 3.31 21.90 19.77 4.58 Gamma HHI 0.42 0.26 0.70 0.70 0.27 Net GEX 2.2M 792.2K 4.9M 1.8M 1.6M Net DEX -23.5M -57.6M -6.6M -8.0M -14.4M Net VEX -237.4K -266.4K -186.6K -186.6K -258.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.80 0.03 2.86 0.10 2.86 Total Volume 7,858.263 1,031 25,064 12,232 6,900 Total OI 74,101.789 59,895 101,146 61,521 73,067
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $23.03 $23.25 30.7% 8.8% 15.0% 0.0% 30.4% 3.0% -4.0% 1.8M -8.0M -186.6K 0.10 19.77 N/A N/A 11,146 1,086 48,831 12,690 2007-02-02 $22.61 $23.25 30.7% 7.9% 15.7% 0.0% 27.7% 3.8% -0.7% 1.6M -6.6M -197.3K 0.26 18.82 N/A N/A 3,141 823 56,362 13,245 2007-02-05 $22.77 $23.25 33.1% 8.3% 16.1% 0.0% 29.5% 3.3% -1.5% 1.8M -9.6M -203.3K 2.16 18.96 N/A N/A 394 850 57,579 13,860 2007-02-06 $22.89 $23.25 35.3% 8.3% 16.3% 0.0% 28.4% 3.6% -1.8% 2.2M -12.6M -214.7K 0.46 21.90 N/A N/A 1,529 710 57,670 14,422 2007-02-07 $23.30 $23.25 36.5% 8.2% 17.9% 0.0% 28.6% 4.8% -1.4% 2.8M -19.2M -222.6K 0.71 7.17 N/A N/A 906 644 58,235 14,857 2007-02-08 $23.37 $23.25 28.1% 8.1% 17.8% 0.0% 27.5% 4.8% -1.3% 3.0M -21.4M -223.0K 0.03 10.80 N/A N/A 4,599 120 58,113 15,082 2007-02-09 $23.36 $23.25 29.2% 8.4% 17.8% 0.0% 28.6% 3.7% -1.7% 3.0M -22.6M -229.5K 2.66 5.02 N/A N/A 1,381 3,677 59,095 15,107 2007-02-12 $23.31 $23.25 29.9% 8.6% 17.8% 0.0% 30.0% 3.5% -2.5% 2.6M -19.3M -222.7K 1.69 4.77 N/A N/A 1,404 2,367 59,244 17,275 2007-02-13 $23.59 $23.25 31.4% 9.0% 18.4% 0.0% 31.0% 5.1% -4.2% 3.1M -25.7M -230.6K 0.24 5.02 N/A N/A 8,887 2,159 59,716 19,006 2007-02-14 $23.56 $23.25 33.3% 9.5% 16.9% 0.0% 32.9% 5.0% -5.5% 3.5M -33.2M -246.5K 0.38 3.91 N/A N/A 8,374 3,206 66,165 19,583 2007-02-15 $24.20 $23.25 28.8% 8.2% 17.8% 0.0% 31.4% 5.8% -2.8% 4.9M -57.6M -258.2K 1.04 4.53 N/A N/A 12,304 12,760 70,279 21,778 2007-02-16 $23.44 $23.25 22.5% 6.5% 20.7% 0.0% 22.8% 4.9% 1.8% 792.2K -22.1M -248.6K 0.56 8.42 N/A N/A 12,678 7,155 71,445 29,701 2007-02-20 $23.24 $23.25 22.4% 6.4% 20.8% 0.0% 23.8% 5.6% -0.6% 1.2M -14.1M -247.0K 0.17 3.31 N/A N/A 19,234 3,173 37,823 22,072 2007-02-21 $23.43 $23.25 21.4% 6.2% 20.9% 0.0% 21.7% 4.6% -0.1% 1.6M -29.6M -260.9K 0.46 5.70 N/A N/A 3,146 1,454 44,809 21,760 2007-02-22 $23.61 $23.25 20.9% 6.0% 21.1% 0.0% 20.5% 4.6% 0.1% 1.7M -33.3M -266.4K 0.43 3.67 N/A N/A 721 310 46,017 22,555 2007-02-23 $23.80 $23.25 20.7% 5.9% 20.1% 0.0% 19.9% 3.9% 0.1% 1.8M -38.2M -262.7K 0.52 6.77 N/A N/A 2,153 1,113 46,088 22,681 2007-02-26 $23.81 $23.25 21.6% 6.2% 19.9% 0.0% 21.2% 3.9% -0.2% 1.8M -38.6M -265.6K 0.14 7.05 N/A N/A 1,293 178 47,189 23,256 2007-02-27 $22.97 $23.25 25.3% 7.3% 23.5% 0.0% 26.1% 3.1% -0.7% 1.5M -20.0M -265.8K 0.41 10.75 N/A N/A 5,182 2,150 47,893 23,384 2007-02-28 $22.71 $23.25 25.0% 7.2% 23.9% 0.0% 25.1% 4.3% -1.3% 1.6M -14.4M -258.4K 2.86 4.58 N/A N/A 1,789 5,111 49,361 23,706
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