A Options History — April 2007

In April 2007, A traded between $24.29 and $25.44. ATM implied volatility averaged 23.0%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 9.0% (HV 20d: 14.1%). Max pain ranged from $21.46 to $23.25. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2007-04-10: Highest Volume — 9,727 contracts
  • 2007-04-12: Largest IV spike — 31.4% change
  • 2007-04-26: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.99$24.29$25.44$24.29$24.59
Max Pain$22.89$21.46$23.25$21.46$23.25
ATM IV23.0%17.5%26.7%18.8%26.5%
Expected Move6.8%5.0%7.7%5.4%7.6%
HV 20d14.1%12.6%16.4%15.8%14.6%
HV 60d19.7%19.1%20.2%19.8%19.4%
Term Structure-0.2%-3.0%4.9%4.6%-3.0%
VWIV24.4%17.6%26.9%19.9%26.9%
Skew 25d3.1%1.4%4.6%3.6%1.4%
Skew 10d6.1%3.2%10.3%5.4%3.8%
Call IV 25d22.8%18.2%26.6%18.2%26.6%
Put IV 25d25.9%20.5%28.3%21.8%28.0%
Bid-Ask Spread %4.112.636.234.973.45
Gamma HHI0.310.250.380.310.25
Net GEX3.1M2.2M3.9M3.0M2.2M
Net DEX-76.7M-101.9M-44.3M-67.5M-44.3M
Net VEX-468.7K-486.4K-451.3K-464.1K-451.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.121.360.831.25
Total Volume4,290.37739,7271,0662,357
Total OI105,076.493,540114,10899,13098,052

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$24.29$21.4618.8%5.4%15.8%0.0%19.9%3.6%4.6%3.0M-67.5M-464.1K0.834.97N/AN/A58448267,24231,888
2007-04-03$24.71$21.4618.4%5.3%16.4%0.0%19.6%2.5%4.6%3.1M-77.6M-459.7K0.162.83N/AN/A3,78262467,29031,824
2007-04-04$24.90$21.4618.1%5.2%16.2%0.0%19.2%2.8%4.9%3.2M-82.6M-454.6K0.583.16N/AN/A5,5603,22968,00031,936
2007-04-05$24.83$21.4617.5%5.0%13.6%0.0%17.6%2.3%4.8%3.3M-81.5M-482.6K1.313.05N/AN/A7811,02372,28534,872
2007-04-09$25.08$23.2518.5%6.6%13.7%0.0%21.9%3.5%0.6%3.4M-88.5M-478.8K0.293.03N/AN/A5,3211,53872,57235,037
2007-04-10$24.97$23.2518.9%6.7%13.8%0.0%26.3%4.6%0.3%3.6M-86.1M-483.0K0.382.63N/AN/A7,0742,65375,44735,610
2007-04-11$24.76$23.2518.7%7.0%12.8%0.0%24.9%4.5%-0.4%3.5M-83.2M-486.4K0.544.35N/AN/A2,7691,48277,30135,951
2007-04-12$24.94$23.2524.6%7.0%12.6%0.0%25.2%4.3%-0.6%3.5M-88.3M-481.7K0.613.45N/AN/A1,24475877,23436,148
2007-04-13$24.66$23.2524.5%7.0%13.0%0.0%26.1%4.0%-0.8%3.4M-77.8M-477.3K0.175.46N/AN/A5,50091477,47636,491
2007-04-16$25.02$23.2525.2%7.2%13.4%0.0%25.8%4.2%-1.3%3.7M-89.6M-473.5K0.303.94N/AN/A1,56346777,13636,972
2007-04-17$25.44$23.2524.6%7.1%14.0%0.0%26.7%2.9%-1.0%3.7M-101.9M-466.8K0.244.26N/AN/A6,3691,55776,88736,941
2007-04-18$25.38$23.2525.1%7.2%14.3%0.0%24.9%2.7%-1.5%3.5M-97.6M-464.1K0.563.79N/AN/A1,28271975,47136,791
2007-04-19$25.21$23.2526.5%7.6%14.8%0.0%26.5%3.1%-2.6%3.9M-92.5M-468.4K0.383.42N/AN/A3,0641,15375,76637,019
2007-04-20$25.38$23.2525.7%7.4%14.3%0.0%26.0%3.5%-2.0%3.3M-97.2M-462.3K0.123.25N/AN/A7,41687075,41137,552
2007-04-23$25.32$23.2525.4%7.3%13.3%0.0%25.0%3.0%-1.9%2.7M-61.0M-466.6K0.185.10N/AN/A2,28041061,94831,592
2007-04-24$25.28$23.2525.4%7.3%13.4%0.0%25.8%2.5%-1.5%2.7M-59.8M-468.0K0.345.54N/AN/A57719662,08031,770
2007-04-25$25.16$23.2526.3%7.5%13.5%0.0%26.3%2.5%-2.6%2.7M-56.9M-460.4K1.084.93N/AN/A70376162,26731,749
2007-04-26$25.09$23.2526.7%7.7%13.4%0.0%26.3%2.5%-2.7%2.5M-53.9M-463.0K1.365.33N/AN/A1,2361,68362,67132,411
2007-04-27$24.83$23.2525.4%7.3%14.0%0.0%26.4%1.5%-2.2%2.2M-45.6M-462.3K0.416.23N/AN/A4,1381,68762,90033,538
2007-04-30$24.59$23.2526.5%7.6%14.6%0.0%26.9%1.4%-3.0%2.2M-44.3M-451.3K1.253.45N/AN/A1,0461,31164,53633,516