A Options History — March 2007

In March 2007, A traded between $21.95 and $24.11. ATM implied volatility averaged 24.6%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.1% (HV 20d: 23.5%). Max pain ranged from $21.46 to $23.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2007-03-27: Highest Volume — 26,932 contracts
  • 2007-03-02: Largest IV spike — 20.9% change
  • 2007-03-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.98$21.95$24.11$22.49$24.10
Max Pain$22.35$21.46$23.25$23.25$21.46
ATM IV24.6%21.5%30.2%24.3%21.6%
Expected Move6.7%6.2%8.4%7.0%6.2%
HV 20d23.5%15.9%26.9%24.1%15.9%
HV 60d20.4%19.8%20.9%20.9%19.8%
Term Structure2.6%-3.2%4.3%-1.2%3.8%
VWIV23.2%19.4%28.4%25.9%19.8%
Skew 25d2.9%2.2%4.9%4.2%3.3%
Skew 10d6.8%4.5%11.8%6.8%11.0%
Call IV 25d22.2%18.4%26.4%24.5%18.4%
Put IV 25d25.1%21.7%31.3%28.6%21.7%
Bid-Ask Spread %5.513.1325.984.873.88
Gamma HHI0.370.250.560.260.30
Net GEX1.8M769.5K2.9M1.4M2.9M
Net DEX-22.5M-63.0M7.8M-7.8M-62.6M
Net VEX-304.6K-473.2K-241.6K-255.5K-472.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.113.310.970.51
Total Volume4,557.27395126,9325,3301,702
Total OI79,319.45562,79499,08174,53399,081

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$22.49$23.2524.3%7.0%24.1%0.0%25.9%4.2%-1.2%1.4M-7.8M-255.5K0.974.87N/AN/A2,7002,63049,77424,759
2007-03-02$21.97$23.2529.3%8.4%25.2%0.0%28.4%4.9%-3.2%1.2M3.5M-241.6K1.295.41N/AN/A4,0055,15650,42425,409
2007-03-05$21.95$23.2530.2%7.6%24.5%0.0%25.5%3.3%2.0%1.1M7.8M-259.1K2.835.52N/AN/A6721,90051,72529,769
2007-03-06$22.05$23.2528.8%7.3%24.4%0.0%25.4%2.7%2.5%1.4M364.6K-258.3K1.765.19N/AN/A9831,72849,74826,626
2007-03-07$22.02$23.2527.1%7.0%24.3%0.0%24.4%2.6%3.1%1.3M1.4M-257.3K2.294.50N/AN/A7511,71749,87427,734
2007-03-08$22.70$23.2525.7%6.8%26.1%0.0%23.7%2.2%3.2%1.8M-14.4M-282.7K0.144.52N/AN/A8,1141,14150,22929,022
2007-03-09$22.72$23.2523.8%6.5%26.0%0.0%22.7%2.5%3.5%2.0M-15.7M-288.6K1.404.98N/AN/A40857251,78529,189
2007-03-12$22.99$23.2525.3%6.6%26.4%0.0%23.0%2.5%3.4%2.3M-22.5M-285.9K1.874.25N/AN/A47889651,89729,496
2007-03-13$22.65$23.2529.3%6.8%26.9%0.0%23.8%2.3%2.8%1.8M-11.5M-274.7K1.174.54N/AN/A43951251,94129,667
2007-03-14$22.89$23.2527.2%6.7%26.8%0.0%24.0%2.6%2.9%2.5M-18.7M-278.5K0.734.93N/AN/A1,26592852,07029,450
2007-03-15$22.68$23.2523.2%6.7%26.9%0.0%24.4%2.4%3.1%1.8M-10.4M-269.9K3.315.64N/AN/A4351,43752,20129,870
2007-03-16$22.71$21.4622.4%6.4%24.8%0.0%22.3%2.8%3.8%2.1M-19.3M-280.0K0.783.41N/AN/A1,4361,12457,03830,523
2007-03-19$22.78$21.4621.5%6.2%22.4%0.0%23.6%2.8%4.3%770.5K-13.0M-274.5K1.323.25N/AN/A1,0861,43438,10024,694
2007-03-20$22.93$21.4623.3%6.7%22.4%0.0%23.3%2.5%3.0%769.5K-15.5M-280.5K0.115.04N/AN/A7,00479738,43525,530
2007-03-21$22.95$21.4623.0%6.6%22.2%0.0%22.9%2.4%3.0%1.5M-21.4M-292.6K0.433.53N/AN/A1,50764443,69225,582
2007-03-22$23.31$21.4622.1%6.3%22.8%0.0%22.4%2.4%2.9%1.7M-28.8M-295.0K0.356.52N/AN/A2,81697644,57925,803
2007-03-23$23.76$21.4622.5%6.4%23.7%0.0%21.9%3.0%2.9%1.8M-38.8M-299.5K0.354.23N/AN/A5,3381,85045,82926,414
2007-03-26$23.85$21.4622.6%6.5%23.7%0.0%21.9%3.2%3.0%1.9M-40.1M-302.9K0.194.61N/AN/A2,42447347,30127,151
2007-03-27$24.06$21.4622.6%6.5%19.7%0.0%19.9%3.1%2.5%2.1M-46.5M-307.6K0.293.38N/AN/A20,9535,97949,10127,311
2007-03-28$23.95$21.4622.7%6.5%19.2%0.0%21.6%3.3%2.8%2.7M-58.4M-471.9K0.743.13N/AN/A1,11682266,45031,291
2007-03-29$24.11$21.4622.3%6.4%18.7%0.0%19.4%3.1%2.9%2.8M-63.0M-473.2K0.3025.98N/AN/A1,47244066,80131,663
2007-03-30$24.10$21.4621.6%6.2%15.9%0.0%19.8%3.3%3.8%2.9M-62.6M-472.1K0.513.88N/AN/A1,13057267,33231,749