A Options History — September 2007

In September 2007, A traded between $25.77 and $26.65. ATM implied volatility averaged 25.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 4.6% (HV 20d: 29.6%). Max pain ranged from $25.04 to $26.82. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.90.

Notable Days

  • 2007-09-11: Highest Volume — 6,353 contracts
  • 2007-09-18: Largest IV drop — 16.2% change
  • 2007-09-10: Highest IV Rank — 23.7%
  • 2007-09-10: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.17$25.77$26.65$26.08$26.38
Max Pain$26.35$25.04$26.82$25.04$26.82
ATM IV25.0%22.1%29.0%26.0%23.0%
Expected Move7.2%6.3%8.2%7.4%6.6%
HV 20d29.6%15.5%53.2%53.0%15.5%
HV 60d32.9%32.5%33.2%33.2%32.8%
IV Rank15.5%9.6%23.7%17.5%11.4%
IV Percentile50.3%29.5%77.9%56.5%39.2%
Term Structure2.6%-0.6%5.0%-0.6%5.0%
VWIV25.6%23.3%29.5%29.5%23.3%
Skew 25d3.4%1.3%4.4%1.3%3.3%
Skew 10d7.5%3.8%11.1%3.8%6.6%
Call IV 25d23.9%21.6%26.8%26.8%22.5%
Put IV 25d27.3%24.8%29.9%28.1%25.8%
Bid-Ask Spread %5.043.767.024.494.54
Gamma HHI0.270.250.340.260.28
Net GEX1.6M1.4M2.0M1.7M1.4M
Net DEX-33.0M-44.8M-26.1M-34.8M-29.9M
Net VEX-443.6K-461.4K-430.6K-449.5K-435.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.103.053.050.10
Total Volume1,987.9473886,3532,8842,619
Total OI92,163.89583,77097,41891,28585,585

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$26.08$25.0426.0%7.4%53.0%17.5%29.5%1.3%-0.6%1.7M-34.8M-449.5K3.054.49N/AN/A7132,17159,11432,171
2007-09-05$25.87$25.0427.8%8.0%53.0%21.3%26.4%2.2%-0.2%1.5M-28.9M-445.0K0.433.82N/AN/A76133059,18232,522
2007-09-06$26.17$25.0425.1%7.2%53.2%15.6%26.1%1.5%0.6%1.7M-35.3M-451.0K0.314.51N/AN/A63019959,10732,572
2007-09-07$25.95$26.8225.9%7.6%47.0%17.2%27.5%4.4%1.9%1.6M-32.1M-446.7K0.565.40N/AN/A80544959,36532,622
2007-09-10$25.82$26.8229.0%8.2%47.1%23.7%27.7%4.1%1.6%1.4M-27.4M-437.9K1.555.44N/AN/A53883359,17732,924
2007-09-11$25.97$26.8226.0%7.4%46.7%17.6%27.2%4.0%2.2%1.5M-31.4M-437.7K0.866.33N/AN/A3,4102,94359,38633,012
2007-09-12$25.96$26.8226.4%7.4%46.7%18.3%26.2%3.9%2.5%1.5M-31.0M-461.4K1.836.62N/AN/A39873062,13134,989
2007-09-13$25.99$26.8225.1%7.2%18.7%15.6%0.0%4.3%2.6%1.6M-32.2M-456.8K1.306.41N/AN/A16921962,11534,954
2007-09-14$25.87$26.8227.5%7.9%18.9%20.6%25.6%4.2%2.1%1.5M-28.8M-452.5K1.047.02N/AN/A9671,00462,14035,112
2007-09-17$25.77$26.8228.4%8.2%16.3%22.5%27.5%4.3%1.3%1.5M-26.2M-443.0K1.746.40N/AN/A31054062,01035,025
2007-09-18$26.61$26.8223.8%6.8%18.8%13.1%24.8%4.3%3.1%2.0M-44.8M-449.3K0.854.95N/AN/A90677261,97335,272
2007-09-19$26.65$26.8223.7%6.8%18.7%12.9%23.7%3.7%3.3%2.0M-44.8M-445.1K0.305.05N/AN/A3,3571,01961,66735,348
2007-09-20$26.48$26.8223.6%6.8%18.8%12.7%24.8%3.7%3.5%1.8M-41.1M-444.5K0.284.76N/AN/A91125762,00535,136
2007-09-21$26.40$26.8222.4%6.4%18.9%10.1%24.5%3.9%3.8%1.8M-38.2M-436.4K0.703.84N/AN/A95666562,17635,242
2007-09-24$26.15$26.8222.5%6.5%18.8%10.4%24.9%2.9%4.3%1.4M-26.1M-430.6K0.314.25N/AN/A1,71052851,81332,025
2007-09-25$26.30$25.0422.1%6.3%18.8%9.6%23.4%2.9%4.7%1.4M-30.2M-434.0K0.283.76N/AN/A1,66847351,62732,143
2007-09-26$26.42$25.0423.4%6.7%17.8%12.3%23.4%3.3%4.1%1.4M-31.0M-435.4K1.484.01N/AN/A1,0461,54951,69432,427
2007-09-27$26.45$26.8223.2%6.6%15.5%11.7%24.0%2.9%4.1%1.5M-32.0M-436.7K0.124.18N/AN/A1,09012652,06633,285
2007-09-28$26.38$26.8223.0%6.6%15.5%11.4%23.3%3.3%5.0%1.4M-29.9M-435.1K0.104.54N/AN/A2,37024952,27833,307