A Options History — October 2007 In October 2007, A traded between $25.65 and $27.49. ATM implied volatility averaged 31.4%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 14.9% (HV 20d: 16.5%). Max pain ranged from $25.04 to $26.82. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.70.
Notable Days 2007-10-09 : Highest Volume — 7,870 contracts2007-10-11 : Largest IV spike — 38.8% change2007-10-30 : Highest IV Rank — 55.6%2007-10-30 : Largest Expected Move — 12.7%Monthly Statistics Metric Avg Min Max Open Close Price $26.66 $25.65 $27.49 $26.47 $26.36 Max Pain $25.35 $25.04 $26.82 $26.82 $25.04 ATM IV 31.4% 21.3% 44.5% 23.6% 42.3% Expected Move 9.4% 6.3% 12.7% 6.8% 12.1% HV 20d 16.5% 12.3% 22.8% 14.5% 22.8% HV 60d 33.1% 32.8% 33.8% 32.8% 33.8% IV Rank 28.6% 7.8% 55.6% 12.6% 51.1% IV Percentile 71.3% 17.3% 97.1% 42.2% 95.2% Term Structure -3.4% -10.0% 6.4% 4.9% -10.0% VWIV 32.5% 21.9% 44.4% 23.6% 41.7% Skew 25d 3.0% 1.5% 4.0% 3.4% 2.1% Skew 10d 5.1% 0.8% 7.0% 6.4% 3.4% Call IV 25d 31.3% 21.0% 43.3% 22.8% 41.6% Put IV 25d 34.2% 25.0% 46.5% 26.3% 43.7% Bid-Ask Spread % 5.17 2.80 6.56 3.81 6.41 Gamma HHI 0.30 0.25 0.38 0.30 0.31 Net GEX 2.6M 1.7M 4.0M 1.7M 2.8M Net DEX -45.1M -69.6M -22.2M -35.0M -39.2M Net VEX -462.2K -488.5K -436.2K -436.2K -466.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.02 1.76 0.04 1.00 Total Volume 3,383.174 505 7,870 5,886 2,017 Total OI 101,371.913 87,250 111,542 87,250 111,542
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 2007-10-01 $26.47 $26.82 23.6% 6.8% 14.5% 12.6% 23.6% 3.4% 4.9% 1.7M -35.0M -436.2K 0.04 3.81 N/A N/A 5,637 249 53,880 33,370 2007-10-02 $26.47 $26.82 23.8% 6.8% 14.5% 13.0% 24.2% 3.0% 4.8% 1.9M -37.3M -442.0K 0.52 4.43 N/A N/A 333 172 56,537 33,435 2007-10-03 $26.34 $26.82 22.4% 6.4% 14.3% 10.1% 22.4% 3.2% 6.0% 1.9M -34.5M -438.1K 0.36 4.85 N/A N/A 2,599 925 56,633 33,429 2007-10-04 $26.61 $26.82 21.9% 6.3% 14.2% 9.1% 21.9% 4.0% 6.4% 2.3M -42.5M -445.9K 0.36 5.49 N/A N/A 698 250 58,491 33,562 2007-10-05 $27.03 $25.04 21.3% 8.0% 14.7% 7.8% 28.0% 3.1% -2.1% 2.5M -51.9M -443.9K 1.25 5.43 N/A N/A 1,897 2,379 58,569 33,482 2007-10-08 $27.10 $25.04 22.4% 8.5% 14.4% 10.1% 27.4% 3.6% -3.2% 2.5M -55.1M -453.8K 0.05 5.95 N/A N/A 2,119 96 59,934 35,048 2007-10-09 $27.30 $25.04 22.1% 8.5% 14.5% 9.4% 30.5% 3.6% -3.3% 2.6M -60.0M -452.9K 0.02 5.45 N/A N/A 7,751 119 60,058 35,066 2007-10-10 $27.09 $25.04 22.0% 8.5% 14.9% 9.2% 29.4% 2.6% -3.5% 3.0M -59.1M -477.6K 0.74 5.95 N/A N/A 534 396 67,001 35,151 2007-10-11 $26.67 $25.04 30.5% 8.7% 16.1% 26.8% 30.5% 2.7% -3.8% 2.8M -47.3M -472.2K 1.47 5.10 N/A N/A 797 1,172 67,174 35,270 2007-10-12 $26.90 $25.04 30.2% 8.7% 16.2% 26.2% 30.6% 2.7% -3.6% 3.0M -51.8M -476.4K 1.00 5.09 N/A N/A 315 315 67,263 35,919 2007-10-15 $27.31 $25.04 32.4% 9.3% 16.7% 30.6% 31.8% 3.5% -4.5% 3.1M -65.7M -474.6K 0.74 5.92 N/A N/A 2,764 2,037 67,385 36,081 2007-10-16 $27.40 $25.04 33.4% 9.6% 12.6% 32.7% 32.2% 3.4% -4.9% 3.1M -68.8M -486.9K 0.44 5.69 N/A N/A 4,250 1,866 68,864 37,027 2007-10-17 $27.45 $25.04 33.0% 9.5% 12.7% 32.0% 32.4% 3.3% -4.5% 3.0M -68.1M -488.5K 0.61 5.73 N/A N/A 1,076 660 69,078 37,817 2007-10-18 $27.49 $25.04 33.0% 9.5% 12.3% 31.9% 33.4% 3.1% -4.5% 3.0M -69.6M -484.7K 0.49 6.28 N/A N/A 1,306 640 69,443 37,802 2007-10-19 $26.68 $25.04 34.9% 10.0% 16.6% 35.9% 35.0% 3.5% -5.7% 4.0M -43.8M -477.1K 1.35 6.15 N/A N/A 2,136 2,880 69,551 37,982 2007-10-22 $26.18 $25.04 33.6% 9.6% 17.7% 33.1% 34.5% 3.1% -3.9% 2.2M -30.9M -458.8K 1.01 3.26 N/A N/A 1,387 1,398 67,202 35,108 2007-10-23 $26.70 $25.04 35.1% 10.1% 18.9% 36.3% 35.3% 2.9% -5.4% 2.5M -43.7M -467.6K 0.41 6.56 N/A N/A 2,487 1,028 67,789 35,463 2007-10-24 $26.39 $25.04 37.1% 10.6% 19.4% 40.4% 37.7% 2.5% -6.3% 2.4M -39.0M -474.0K 1.76 5.72 N/A N/A 1,630 2,867 69,163 35,825 2007-10-25 $25.92 $25.04 40.1% 11.5% 20.4% 46.6% 39.6% 1.5% -6.8% 2.1M -26.1M -457.3K 0.52 4.47 N/A N/A 3,354 1,736 68,986 35,765 2007-10-26 $25.77 $25.04 39.3% 11.3% 20.5% 44.8% 38.8% 1.9% -5.8% 2.1M -23.6M -455.3K 1.10 2.95 N/A N/A 1,216 1,334 70,627 35,861 2007-10-29 $25.77 $25.04 43.0% 12.3% 20.4% 52.5% 42.6% 2.2% -9.0% 2.1M -23.1M -447.4K 0.53 2.80 N/A N/A 4,646 2,442 70,651 35,861 2007-10-30 $25.65 $25.04 44.5% 12.7% 20.4% 55.6% 44.4% 3.3% -9.8% 2.2M -22.2M -451.4K 0.43 5.29 N/A N/A 1,331 572 73,817 37,592 2007-10-31 $26.36 $25.04 42.3% 12.1% 22.8% 51.1% 41.7% 2.1% -10.0% 2.8M -39.2M -466.9K 1.00 6.41 N/A N/A 1,009 1,008 73,985 37,557
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