A Options History — August 2007 In August 2007, A traded between $23.17 and $27.63. ATM implied volatility averaged 35.7%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 3.1% (HV 20d: 38.8%). Max pain ranged from $25.04 to $26.82. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.83.
Notable Days 2007-08-09 : Highest Volume — 17,071 contracts2007-08-15 : Largest IV drop — 42.3% change2007-08-03 : Highest IV Rank — 100.0%2007-08-03 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $25.58 $23.17 $27.63 $27.30 $26.04 Max Pain $25.58 $25.04 $26.82 $26.82 $25.04 ATM IV 35.7% 22.9% 66.0% 36.3% 25.8% Expected Move 8.6% 6.6% 12.3% 10.4% 7.4% HV 20d 38.8% 15.6% 53.1% 15.6% 53.1% HV 60d 27.7% 19.7% 33.5% 20.9% 33.2% IV Rank 53.4% 11.1% 100.0% 98.8% 17.1% IV Percentile 75.5% 42.0% 100.0% 98.6% 56.3% Term Structure -0.8% -12.0% 4.5% -6.2% 0.0% VWIV 29.7% 22.2% 42.5% 34.8% 26.5% Skew 25d 3.5% 0.1% 5.1% 4.0% 1.5% Skew 10d 6.1% -0.0% 10.4% 7.5% 4.0% Call IV 25d 28.4% 22.6% 39.7% 34.2% 26.0% Put IV 25d 31.8% 24.8% 44.3% 38.2% 27.4% Bid-Ask Spread % 6.28 3.81 9.90 6.38 3.81 Gamma HHI 0.24 0.18 0.34 0.32 0.22 Net GEX 1.6M -121.2K 3.2M 2.7M 1.7M Net DEX -21.6M -61.8M 39.0M -54.1M -34.7M Net VEX -447.4K -505.8K -356.2K -505.3K -459.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.23 3.88 0.63 0.79 Total Volume 4,947.087 545 17,071 3,917 3,201 Total OI 104,385.261 76,443 124,652 111,700 89,790
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $27.30 $26.82 36.3% 10.4% 15.6% 98.8% 34.8% 4.0% -6.2% 2.7M -54.1M -505.3K 0.63 6.38 N/A N/A 2,406 1,511 70,862 40,838 2007-08-02 $27.63 $26.82 35.4% 10.1% 16.4% 94.2% 33.2% 5.1% -5.5% 3.0M -59.8M -505.8K 0.54 7.05 N/A N/A 773 419 70,872 41,152 2007-08-03 $27.17 $26.82 42.8% 12.3% 17.0% 100.0% 42.5% 4.6% -12.0% 2.6M -51.8M -504.5K 0.32 9.90 N/A N/A 5,665 1,794 71,034 41,091 2007-08-06 $27.40 $26.82 44.6% 8.9% 17.4% 100.0% 30.5% 3.9% -0.8% 3.1M -59.4M -500.9K 1.99 5.23 N/A N/A 1,302 2,586 74,525 42,143 2007-08-07 $27.40 $26.82 42.3% 8.7% 17.4% 91.7% 30.0% 4.0% -0.7% 3.1M -57.5M -496.5K 1.07 5.39 N/A N/A 670 714 75,127 43,132 2007-08-08 $27.53 $26.82 44.9% 8.5% 17.4% 100.0% 27.5% 4.1% -0.1% 3.2M -61.8M -493.9K 0.76 8.84 N/A N/A 1,226 930 74,986 42,952 2007-08-09 $25.67 $26.82 50.1% 9.9% 29.0% 100.0% 34.1% 3.5% -1.8% 1.7M -17.4M -456.7K 0.42 4.75 N/A N/A 12,047 5,024 74,894 42,875 2007-08-10 $25.57 $25.04 51.3% 10.2% 28.9% 100.0% 33.7% 3.0% -2.9% 1.6M -13.7M -476.7K 0.42 8.90 N/A N/A 4,138 1,734 77,427 45,517 2007-08-13 $25.99 $25.04 60.7% 9.8% 29.9% 100.0% 35.1% 4.1% -2.8% 1.9M -25.6M -479.7K 0.29 6.98 N/A N/A 2,835 809 77,493 46,075 2007-08-14 $25.99 $25.04 66.0% 10.5% 30.0% 100.0% 37.3% 4.7% -3.8% 1.8M -24.5M -477.7K 0.58 6.74 N/A N/A 5,363 3,108 76,789 46,121 2007-08-15 $23.17 $25.04 38.1% 9.5% 49.3% 42.5% 32.9% 0.1% -0.2% -121.2K 39.0M -356.2K 1.73 6.57 N/A N/A 4,811 8,311 78,257 46,395 2007-08-16 $23.45 $25.04 34.5% 9.9% 49.6% 35.1% 34.6% 3.9% -1.1% 17.0K 22.5M -383.8K 0.86 8.36 N/A N/A 1,854 1,587 79,090 44,368 2007-08-17 $24.20 $25.04 25.3% 7.3% 51.7% 16.1% 25.6% 3.4% 4.5% 450.2K 13.1M -395.8K 0.32 6.99 N/A N/A 7,271 2,291 79,316 43,901 2007-08-20 $24.03 $25.04 27.7% 8.0% 51.2% 21.1% 26.2% 4.5% 1.5% 430.4K 3.9M -374.5K 0.40 5.50 N/A N/A 2,381 958 47,605 28,838 2007-08-21 $24.28 $25.04 24.4% 7.0% 51.5% 14.3% 24.9% 4.5% 1.9% 553.4K 480.2K -384.3K 0.86 5.39 N/A N/A 2,865 2,476 48,530 28,694 2007-08-22 $24.59 $25.04 23.7% 6.8% 52.0% 12.7% 22.2% 4.1% 1.9% 721.1K -4.2M -391.6K 0.23 6.03 N/A N/A 9,527 2,228 50,348 28,902 2007-08-23 $24.78 $25.04 23.5% 6.7% 52.0% 12.3% 24.1% 3.2% 1.9% 1.1M -11.6M -433.1K 0.67 4.78 N/A N/A 1,225 819 56,738 30,502 2007-08-24 $25.18 $25.04 22.9% 6.6% 52.2% 11.1% 23.6% 2.2% 2.5% 1.3M -18.0M -445.7K 0.27 4.71 N/A N/A 1,999 544 56,738 30,755 2007-08-27 $25.14 $25.04 23.8% 6.8% 51.9% 12.9% 23.7% 2.2% 2.3% 1.3M -18.2M -442.1K 0.34 5.54 N/A N/A 407 138 57,996 30,957 2007-08-28 $24.80 $25.04 24.6% 7.0% 51.9% 14.6% 27.2% 2.3% 1.8% 1.1M -11.7M -428.7K 3.88 5.77 N/A N/A 278 1,081 57,995 31,038 2007-08-29 $25.48 $25.04 25.6% 7.3% 53.1% 16.7% 26.1% 4.0% 1.2% 1.4M -23.0M -444.3K 0.81 3.87 N/A N/A 661 533 58,072 30,802 2007-08-30 $25.63 $25.04 26.2% 7.5% 52.9% 18.0% 25.9% 2.6% 1.2% 1.5M -27.7M -452.8K 0.82 6.86 N/A N/A 706 577 58,348 30,981 2007-08-31 $26.04 $25.04 25.8% 7.4% 53.1% 17.1% 26.5% 1.5% 0.0% 1.7M -34.7M -459.6K 0.79 3.81 N/A N/A 1,789 1,412 58,531 31,259
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