A Options History — July 2007

In July 2007, A traded between $26.92 and $28.90. ATM implied volatility averaged 25.9%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 10.4% (HV 20d: 15.6%). 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 3 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2007-07-06: Highest Volume — 17,211 contracts
  • 2007-07-12: Largest IV spike — 24.4% change
  • 2007-07-31: Highest IV Rank — 91.5%
  • 2007-07-31: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.17$26.92$28.90$28.04$27.29
Max Pain$26.82$26.82$26.82$26.82$26.82
ATM IV25.9%18.9%34.9%18.9%34.9%
Expected Move7.7%5.4%10.0%5.4%10.0%
HV 20d15.6%12.8%19.6%19.2%16.4%
HV 60d21.9%20.6%22.3%22.3%20.9%
IV Rank48.3%8.8%91.5%8.8%91.5%
IV Percentile63.4%9.5%97.9%9.5%97.9%
Term Structure-1.3%-5.6%5.5%5.4%-5.6%
VWIV27.2%19.5%33.9%19.7%33.9%
Skew 25d4.1%2.6%5.4%2.8%3.9%
Skew 10d6.4%-0.0%9.3%-0.0%7.4%
Call IV 25d25.0%18.7%33.0%18.8%33.0%
Put IV 25d29.2%21.6%36.9%21.6%36.9%
Bid-Ask Spread %4.803.379.885.676.52
Gamma HHI0.400.320.470.330.32
Net GEX3.7M2.2M4.9M3.8M2.8M
Net DEX-85.4M-112.7M-42.9M-99.8M-54.7M
Net VEX-534.3K-617.1K-497.5K-617.1K-502.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.110.990.200.63
Total Volume3,766.90577217,2112,2383,056
Total OI114,811.095104,053124,431122,120110,678

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$28.04$26.8218.9%5.4%19.2%0.0%19.7%2.8%5.4%3.8M-99.8M-617.1K0.205.67N/AN/A1,85937978,94843,172
2007-07-03$28.38$26.8219.3%5.5%19.6%0.0%20.3%2.6%5.2%4.2M-112.7M-611.1K0.145.37N/AN/A3,74853180,54943,317
2007-07-05$28.30$26.8219.1%5.5%19.6%8.8%19.5%3.6%5.5%4.2M-108.9M-610.4K0.664.63N/AN/A2,5681,68580,76443,667
2007-07-06$28.48$26.8219.6%7.1%15.9%11.3%23.5%4.7%-0.5%4.1M-109.2M-593.5K0.253.69N/AN/A13,7733,43878,80243,755
2007-07-09$28.53$26.8220.7%7.2%15.9%16.9%26.4%4.7%-0.8%4.1M-96.4M-524.7K0.563.81N/AN/A2,2381,24671,49741,704
2007-07-10$28.40$26.8222.0%7.5%16.1%23.9%26.9%5.0%-1.2%3.9M-92.1M-535.3K0.773.68N/AN/A89168672,45142,520
2007-07-11$28.53$26.8221.4%7.5%15.7%20.9%25.7%4.6%-1.5%4.0M-94.1M-533.7K0.813.49N/AN/A2,3441,90172,58442,495
2007-07-12$28.90$26.8226.7%7.7%13.7%48.4%26.6%4.8%-1.9%4.1M-105.7M-529.1K0.334.51N/AN/A3,4281,11472,53543,046
2007-07-13$28.58$26.8226.2%7.5%14.2%45.9%27.0%4.3%-1.5%4.1M-97.4M-525.6K0.204.03N/AN/A1,36427172,77643,283
2007-07-16$28.50$26.8226.8%7.7%14.2%49.3%28.0%4.8%-1.9%4.3M-94.6M-516.9K0.523.85N/AN/A1,60684073,06543,344
2007-07-17$28.47$26.8227.1%7.8%14.1%50.8%28.0%4.8%-2.1%4.4M-94.2M-523.1K0.653.37N/AN/A1,16976573,79243,418
2007-07-18$28.34$26.8226.9%7.7%13.8%49.7%27.9%4.8%-2.0%4.2M-86.8M-519.4K0.354.71N/AN/A2,15074573,57343,297
2007-07-19$28.53$26.8227.1%7.8%12.8%50.4%28.0%4.6%-2.1%4.9M-94.7M-513.5K0.934.87N/AN/A40037273,60743,271
2007-07-20$28.17$26.8226.7%7.7%13.3%48.7%27.9%4.5%-1.7%3.2M-82.3M-510.3K0.655.89N/AN/A73748273,65943,110
2007-07-23$28.49$26.8227.8%8.0%12.9%54.1%27.9%4.5%-2.9%3.3M-79.5M-502.6K0.124.12N/AN/A4,93960365,16838,885
2007-07-24$28.03$26.8228.5%8.2%14.2%57.9%30.2%5.4%-3.2%3.4M-71.6M-518.4K0.394.25N/AN/A99538469,22138,884
2007-07-25$28.00$26.8228.7%8.2%14.2%59.1%28.6%3.5%-3.1%3.4M-70.9M-520.7K0.815.55N/AN/A87970969,83639,105
2007-07-26$27.50$26.8230.3%8.7%15.7%67.7%29.9%3.5%-2.7%2.9M-56.8M-509.0K0.999.88N/AN/A2,9132,88569,63739,544
2007-07-27$26.92$26.8232.7%9.4%17.4%80.1%31.9%2.8%-3.4%2.2M-42.9M-506.0K0.114.99N/AN/A2,79531569,17440,163
2007-07-30$27.25$26.8233.1%9.5%18.0%82.1%32.8%3.1%-4.3%2.5M-48.3M-497.5K0.163.93N/AN/A5,07283068,69540,042
2007-07-31$27.29$26.8234.9%10.0%16.4%91.5%33.9%3.9%-5.6%2.8M-54.7M-502.8K0.636.52N/AN/A1,8721,18470,61340,065