A Options History — June 2007

In June 2007, A traded between $26.65 and $28.12. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.9% (HV 20d: 21.8%). Max pain ranged from $26.82 to $26.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2007-06-05: Highest Volume — 9,409 contracts
  • 2007-06-13: Largest IV drop — 20.8% change
  • 2007-06-07: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.48$26.65$28.12$27.38$27.50
Max Pain$26.82$26.82$26.82$26.82$26.82
ATM IV20.9%17.7%22.6%20.7%22.3%
Expected Move6.1%5.3%6.6%5.9%6.4%
HV 20d21.8%18.0%28.7%27.0%18.0%
HV 60d21.8%20.9%22.3%21.7%22.0%
Term Structure3.0%0.9%4.3%0.9%3.9%
VWIV20.9%18.1%23.1%20.3%20.9%
Skew 25d3.3%1.8%3.9%1.8%3.6%
Skew 10d6.0%4.8%7.2%5.1%5.0%
Call IV 25d19.4%18.0%21.7%19.5%19.6%
Put IV 25d22.6%20.9%24.9%21.3%23.2%
Bid-Ask Spread %4.633.076.386.203.48
Gamma HHI0.310.270.330.320.30
Net GEX3.0M1.8M3.7M2.2M3.4M
Net DEX-82.5M-102.3M-37.4M-75.5M-81.2M
Net VEX-594.6K-641.4K-299.6K-553.1K-622.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.113.020.701.06
Total Volume3,214.6195769,4093,5482,248
Total OI117,785.28681,822126,968107,878121,139

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$27.38$26.8220.7%5.9%27.0%0.0%20.3%1.8%0.9%2.2M-75.5M-553.1K0.706.20N/AN/A2,0841,46465,48942,389
2007-06-04$27.53$26.8221.9%6.4%26.6%0.0%22.1%3.3%2.3%2.3M-80.2M-555.1K0.315.38N/AN/A3,10995566,38342,643
2007-06-05$27.52$26.8221.6%6.2%26.6%0.0%19.8%3.6%2.4%2.6M-83.0M-560.1K0.114.62N/AN/A8,46394668,48043,022
2007-06-06$27.45$26.8222.2%6.6%26.6%0.0%22.7%3.9%2.0%2.9M-85.9M-593.9K0.614.04N/AN/A2,0401,23775,34843,613
2007-06-07$26.65$26.8221.6%6.6%28.7%0.0%23.1%3.3%2.2%2.2M-61.1M-595.6K0.533.65N/AN/A1,47578676,51044,298
2007-06-08$26.85$26.8219.2%6.2%24.9%0.0%23.1%3.2%2.5%2.5M-65.9M-589.8K0.654.56N/AN/A3,0921,99877,12944,132
2007-06-11$26.97$26.8221.1%6.3%24.9%0.0%23.0%3.9%2.7%1.8M-37.4M-299.6K3.024.90N/AN/A4771,43949,45132,371
2007-06-12$26.80$26.8222.4%6.4%24.8%0.0%20.9%3.8%2.4%2.6M-66.9M-580.5K1.064.51N/AN/A2,5232,66977,96844,540
2007-06-13$27.52$26.8217.7%6.2%19.4%0.0%21.6%3.2%2.9%3.3M-92.2M-630.9K0.165.33N/AN/A2,18535080,12146,847
2007-06-14$27.79$26.8219.4%5.5%19.6%0.0%20.2%3.5%2.9%3.5M-101.3M-621.2K1.035.47N/AN/A82385079,41946,935
2007-06-15$27.70$26.8221.6%6.2%19.6%0.0%20.8%3.3%2.7%3.3M-97.7M-619.3K0.276.38N/AN/A4,8931,32079,53847,082
2007-06-18$27.83$26.8218.6%5.3%19.3%0.0%19.9%3.0%3.1%3.5M-93.7M-615.0K0.624.65N/AN/A3,1361,93275,17540,071
2007-06-19$28.12$26.8218.7%5.4%19.5%0.0%18.1%2.8%3.8%3.7M-102.3M-623.6K0.583.07N/AN/A4,2572,45576,47141,259
2007-06-20$27.71$26.8221.6%6.2%20.2%0.0%19.7%2.6%3.2%3.4M-87.8M-633.1K1.314.18N/AN/A37048477,13642,639
2007-06-21$28.00$26.8219.0%5.4%20.5%0.0%20.0%3.1%3.8%3.6M-97.7M-641.4K0.564.42N/AN/A1,16665178,11643,026
2007-06-22$27.65$26.8222.4%6.4%19.1%0.0%20.5%2.9%3.4%3.4M-86.5M-641.4K0.414.22N/AN/A73530277,90842,397
2007-06-25$27.53$26.8222.3%6.4%18.1%0.0%21.8%3.5%3.2%3.5M-85.2M-629.9K0.284.35N/AN/A1,76349878,45442,420
2007-06-26$27.47$26.8222.6%6.5%18.1%0.0%21.1%3.6%3.4%3.3M-82.1M-631.5K1.914.09N/AN/A33163378,41542,552
2007-06-27$27.53$26.8221.3%6.1%18.1%0.0%21.1%3.2%4.2%3.5M-84.9M-625.3K2.145.01N/AN/A25254078,53542,709
2007-06-28$27.53$26.8221.0%6.0%18.1%0.0%18.7%3.4%4.3%3.5M-84.3M-622.8K0.374.73N/AN/A41915778,57242,789
2007-06-29$27.50$26.8222.3%6.4%18.0%0.0%20.9%3.6%3.9%3.4M-81.2M-622.7K1.063.48N/AN/A1,0901,15878,53842,601