A Options History — November 2007

In November 2007, A traded between $23.88 and $27.15. ATM implied volatility averaged 41.9%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.4% (HV 20d: 33.5%). Max pain ranged from $25.04 to $26.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2007-11-15: Highest Volume — 16,692 contracts
  • 2007-11-15: Largest IV drop — 55.3% change
  • 2007-11-12: Highest IV Rank — 100.0%
  • 2007-11-01: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.62$23.88$27.15$25.94$27.06
Max Pain$26.57$25.04$26.82$25.04$26.82
ATM IV41.9%24.3%84.9%45.1%24.7%
Expected Move9.3%7.0%12.9%12.9%7.1%
HV 20d33.5%22.3%43.3%23.2%42.2%
HV 60d27.2%20.5%34.0%34.0%28.6%
IV Rank44.1%10.1%100.0%56.9%10.7%
IV Percentile76.5%41.0%100.0%98.1%43.5%
Term Structure-1.1%-10.7%2.2%-10.7%1.9%
VWIV32.5%24.2%45.7%45.1%25.6%
Skew 25d3.5%2.4%4.9%2.7%3.1%
Skew 10d6.6%3.4%10.6%3.4%8.6%
Call IV 25d30.8%22.9%44.7%44.7%22.9%
Put IV 25d34.3%26.0%47.3%47.3%26.0%
Bid-Ask Spread %6.033.808.066.607.02
Gamma HHI0.300.180.540.300.38
Net GEX1.5M401.4K4.4M2.4M1.9M
Net DEX-11.7M-40.0M25.2M-29.0M-39.6M
Net VEX-400.9K-460.3K-351.9K-460.3K-432.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.199.420.379.42
Total Volume5,541.66748216,6925,7115,533
Total OI105,335.38182,255126,196112,13394,419

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$25.94$25.0445.1%12.9%23.2%56.9%45.1%2.7%-10.7%2.4M-29.0M-460.3K0.376.60N/AN/A4,1551,55674,00738,126
2007-11-02$25.77$25.0444.4%12.7%22.3%55.4%45.7%2.6%-9.2%2.4M-23.8M-456.2K1.193.80N/AN/A1,1111,32175,11738,662
2007-11-05$25.53$26.8248.3%10.1%22.4%63.4%32.6%4.3%-2.0%2.1M-17.4M-441.0K0.275.55N/AN/A2,94679374,82139,211
2007-11-06$25.84$26.8248.2%9.8%22.7%63.2%33.1%3.9%-1.4%2.5M-24.5M-446.7K1.383.92N/AN/A7661,05776,50839,566
2007-11-07$25.10$26.8251.8%10.1%24.6%70.6%36.1%4.9%-1.5%1.7M-5.3M-419.6K1.545.01N/AN/A1,0971,69076,49240,104
2007-11-08$25.02$26.8253.3%10.5%24.2%73.7%36.8%4.5%-1.5%1.6M-2.0M-415.2K2.124.42N/AN/A2,0404,31676,86140,912
2007-11-09$23.88$26.8258.5%11.3%28.2%84.4%38.2%2.6%-2.0%669.7K23.9M-367.4K0.836.11N/AN/A4,4463,71077,63742,302
2007-11-12$23.97$26.8272.9%11.4%27.4%100.0%38.5%4.0%-2.2%636.6K22.5M-364.0K0.646.15N/AN/A2,1001,35076,98543,795
2007-11-13$24.26$26.8272.9%10.5%27.9%100.0%37.6%4.2%-2.3%706.8K20.5M-365.9K0.593.84N/AN/A3,8172,25477,43444,177
2007-11-14$24.46$26.8284.9%10.1%28.3%100.0%35.5%4.0%-1.6%896.1K15.4M-368.6K0.776.54N/AN/A3,9273,01077,94544,237
2007-11-15$24.11$26.8237.9%10.9%28.3%30.3%36.4%4.6%-2.5%401.4K25.2M-351.9K0.706.27N/AN/A9,8456,84779,20645,178
2007-11-16$26.27$25.0426.3%7.5%42.1%13.1%27.6%3.9%1.4%4.4M-33.2M-401.7K0.535.77N/AN/A9,8815,27580,96245,234
2007-11-19$25.61$26.8228.5%8.2%42.5%16.3%27.5%3.8%1.0%624.9K-7.7M-379.3K0.417.52N/AN/A2,01782949,34532,910
2007-11-20$26.12$26.8225.8%7.4%42.5%12.4%27.5%3.8%0.9%798.2K-14.8M-380.0K0.418.00N/AN/A3,4501,41849,99532,743
2007-11-21$26.25$26.8226.5%7.6%42.4%13.4%27.4%2.6%1.6%990.7K-20.3M-391.1K0.797.02N/AN/A2,0221,60151,24633,003
2007-11-23$26.40$26.8226.7%7.7%41.9%13.7%28.2%2.9%1.5%1.1M-23.2M-392.8K0.856.66N/AN/A26022252,06932,915
2007-11-26$26.14$26.8227.7%7.9%42.0%15.1%28.2%2.6%0.7%1.0M-18.4M-380.6K0.228.06N/AN/A7,3051,64152,09632,903
2007-11-27$26.34$26.8225.9%7.4%42.1%12.6%26.2%2.4%1.5%1.4M-23.2M-395.9K0.846.30N/AN/A1,1951,00057,65132,898
2007-11-28$27.15$26.8225.4%7.3%43.3%11.7%24.9%3.5%1.4%2.0M-40.0M-410.1K0.195.81N/AN/A3,05257357,93333,465
2007-11-29$26.80$26.8224.3%7.0%42.6%10.1%24.2%3.2%2.2%1.7M-31.8M-397.8K0.856.26N/AN/A2,6672,28057,53033,443
2007-11-30$27.06$26.8224.7%7.1%42.2%10.7%25.6%3.1%1.9%1.9M-39.6M-432.2K9.427.02N/AN/A5315,00259,39135,028