A Options History — May 2007

In May 2007, A traded between $25.69 and $27.60. ATM implied volatility averaged 25.0%. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.5% (HV 20d: 26.5%). Max pain ranged from $23.25 to $26.82. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2007-05-14: Highest Volume — 33,289 contracts
  • 2007-05-15: Largest IV drop — 29.4% change
  • 2007-05-14: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.77$25.69$27.60$25.74$27.30
Max Pain$25.69$23.25$26.82$23.25$26.82
ATM IV25.0%20.8%36.3%28.6%21.3%
Expected Move6.8%6.0%8.5%8.2%6.1%
HV 20d26.5%20.7%31.4%21.6%27.0%
HV 60d22.0%21.0%23.2%21.1%21.7%
Term Structure-0.4%-4.6%2.4%-2.8%0.8%
VWIV23.6%20.6%29.0%28.8%21.3%
Skew 25d1.9%1.2%2.7%1.6%2.4%
Skew 10d4.0%2.0%5.4%2.0%4.9%
Call IV 25d22.8%19.9%28.0%27.7%20.2%
Put IV 25d24.8%21.6%30.5%29.3%22.6%
Bid-Ask Spread %4.072.367.112.985.44
Gamma HHI0.380.260.690.290.33
Net GEX3.7M1.6M8.4M2.8M2.2M
Net DEX-90.9M-138.4M-64.4M-73.4M-73.4M
Net VEX-516.1K-576.9K-460.0K-460.9K-556.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.171.490.640.88
Total Volume8,843.63656833,28914,721568
Total OI113,196.59194,101139,37197,790107,825

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$25.74$23.2528.6%8.2%21.6%0.0%28.8%1.6%-2.8%2.8M-73.4M-460.9K0.642.98N/AN/A8,9845,73763,92533,865
2007-05-02$26.02$23.2527.2%7.8%21.1%0.0%27.8%1.3%-3.5%3.3M-86.7M-467.8K0.373.28N/AN/A5,9482,20567,97935,168
2007-05-03$26.07$23.2527.2%7.8%21.1%0.0%28.0%1.6%-3.7%3.6M-89.3M-476.5K0.342.36N/AN/A3,2991,11370,76536,607
2007-05-04$26.47$25.0428.0%6.8%21.4%0.0%24.6%2.4%-0.6%3.8M-99.3M-472.4K0.476.04N/AN/A2,4241,14870,82037,929
2007-05-07$26.63$25.0429.7%6.9%21.3%0.0%24.6%2.2%-0.7%4.0M-105.3M-460.0K0.282.75N/AN/A4,4951,24171,57337,609
2007-05-08$26.71$25.0432.4%7.0%21.1%0.0%24.1%2.2%-0.7%4.1M-108.0M-466.0K0.713.55N/AN/A2,1841,55373,32538,202
2007-05-09$26.78$25.0436.3%7.1%20.7%0.0%25.0%2.7%-0.8%3.9M-109.3M-469.1K1.493.97N/AN/A4,6556,91674,14639,274
2007-05-10$25.76$25.0427.2%7.8%25.6%0.0%26.2%2.4%-1.7%3.2M-72.4M-529.7K0.755.21N/AN/A5,4024,05677,83844,331
2007-05-11$25.90$25.0427.5%7.9%25.2%0.0%26.6%2.6%-1.8%3.5M-79.4M-530.8K1.235.46N/AN/A3,2844,02580,59546,007
2007-05-14$25.69$25.0429.6%8.5%25.0%0.0%29.0%2.5%-4.6%3.2M-69.4M-523.5K0.705.21N/AN/A19,60013,68982,42548,348
2007-05-15$27.02$25.0420.9%6.0%30.2%0.0%21.0%1.7%2.1%8.4M-138.4M-508.2K0.613.99N/AN/A16,80510,31286,87252,499
2007-05-16$27.05$26.8220.8%6.0%30.1%0.0%20.9%2.1%2.2%8.1M-128.6M-515.3K0.394.47N/AN/A5,5362,16083,09251,792
2007-05-17$26.92$26.8221.8%6.2%30.1%0.0%21.8%2.1%2.4%7.8M-118.7M-517.0K0.772.93N/AN/A6,4464,98181,05049,684
2007-05-18$27.18$26.8221.6%6.2%30.1%0.0%21.6%1.4%2.3%5.1M-129.3M-535.2K0.175.64N/AN/A13,2472,28282,05152,064
2007-05-21$27.41$26.8221.3%6.1%30.1%0.0%21.3%1.4%0.2%1.7M-72.0M-531.7K0.543.28N/AN/A2,2661,21855,70838,393
2007-05-22$27.57$26.8221.4%6.2%30.0%0.0%21.4%1.2%0.4%1.7M-76.3M-531.7K0.893.47N/AN/A2,6762,39255,93539,235
2007-05-23$27.60$26.8221.1%6.1%29.9%0.0%20.7%1.4%0.5%1.6M-74.5M-537.9K0.283.29N/AN/A7,6832,12157,36840,960
2007-05-24$26.95$26.8221.1%6.1%31.4%0.0%21.2%1.8%0.7%1.9M-64.4M-576.9K0.647.11N/AN/A1,20277463,72241,413
2007-05-25$27.45$26.8220.8%6.0%31.4%0.0%20.6%1.7%1.1%2.2M-77.7M-567.6K0.183.39N/AN/A5,6691,03563,81941,480
2007-05-29$27.41$26.8221.6%6.2%31.0%0.0%21.2%1.8%0.6%2.3M-77.7M-559.7K1.013.02N/AN/A92493065,16841,537
2007-05-30$27.39$26.8222.0%6.3%27.0%0.0%21.9%1.9%0.0%2.3M-76.5M-560.4K0.992.70N/AN/A69168465,76942,158
2007-05-31$27.30$26.8221.3%6.1%27.0%0.0%21.3%2.4%0.8%2.2M-73.4M-556.2K0.885.44N/AN/A30226665,49442,331