A Options History — December 2007

In December 2007, A traded between $25.11 and $27.19. ATM implied volatility averaged 24.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 7.9% (HV 20d: 32.8%). Max pain ranged from $26.82 to $26.82. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.85.

Notable Days

  • 2007-12-13: Highest Volume — 7,987 contracts
  • 2007-12-17: Largest IV spike — 10.3% change
  • 2007-12-17: Highest IV Rank — 15.3%
  • 2007-12-17: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.44$25.11$27.19$27.00$26.28
Max Pain$26.82$26.82$26.82$26.82$26.82
ATM IV24.9%23.2%27.8%25.3%24.9%
Expected Move7.2%6.8%8.0%7.2%7.1%
HV 20d32.8%24.1%42.1%42.1%25.4%
HV 60d29.6%28.5%31.0%28.5%31.0%
IV Rank11.0%8.5%15.3%11.5%11.0%
IV Percentile44.7%34.0%66.0%45.9%44.8%
Term Structure4.7%1.4%7.1%1.7%7.1%
VWIV25.6%23.6%28.1%26.2%26.1%
Skew 25d2.4%1.1%3.9%3.5%1.3%
Skew 10d4.6%1.2%8.2%8.2%4.8%
Call IV 25d24.7%22.2%26.6%23.6%26.2%
Put IV 25d27.2%25.9%29.8%27.1%27.5%
Bid-Ask Spread %5.353.307.747.496.19
Gamma HHI0.320.230.390.300.29
Net GEX1.2M337.9K2.1M1.6M822.5K
Net DEX-18.1M-41.5M14.1M-34.4M-8.8M
Net VEX-373.5K-439.9K-342.6K-439.9K-342.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.202.641.601.75
Total Volume1,983.254337,9871,0572,955
Total OI97,67893,256103,18198,66494,667

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$27.00$26.8225.3%7.2%42.1%11.5%26.2%3.5%1.7%1.6M-34.4M-439.9K1.607.49N/AN/A40765059,52439,140
2007-12-04$26.81$26.8225.7%7.4%42.0%12.2%25.7%2.9%1.4%1.6M-30.3M-394.7K0.367.45N/AN/A50618057,99735,259
2007-12-05$27.07$26.8224.7%7.1%42.0%10.7%28.1%3.5%1.5%1.8M-36.3M-389.3K1.137.74N/AN/A82192858,17135,326
2007-12-06$27.15$26.8223.6%6.8%40.3%9.2%23.6%3.9%1.8%1.8M-36.2M-388.8K0.207.16N/AN/A2,82056558,47735,484
2007-12-07$27.19$26.8223.2%7.3%40.2%8.5%23.8%3.3%4.0%2.1M-41.5M-387.6K0.244.62N/AN/A1,39133659,32835,677
2007-12-10$27.10$26.8224.3%7.3%35.6%10.0%25.5%2.9%4.3%2.1M-39.1M-382.6K2.645.44N/AN/A5491,45060,06135,706
2007-12-11$26.09$26.8224.9%7.2%39.0%10.9%25.4%2.5%4.3%1.0M-11.5M-360.0K0.575.01N/AN/A81446360,31036,674
2007-12-12$26.53$26.8224.4%7.2%39.2%10.3%25.1%2.9%4.5%1.3M-20.6M-370.0K0.975.91N/AN/A87784760,51036,783
2007-12-13$26.44$26.8225.0%7.2%39.2%11.1%25.5%2.4%5.3%1.2M-18.5M-368.4K1.085.46N/AN/A3,8494,13860,35736,872
2007-12-14$25.97$26.8225.2%7.2%39.4%11.5%26.0%2.2%5.2%913.2K-7.8M-387.7K0.433.97N/AN/A1,42361563,15240,029
2007-12-17$25.35$26.8227.8%8.0%26.2%15.3%27.5%3.2%4.5%499.7K8.9M-359.3K0.503.73N/AN/A1,72785762,74440,106
2007-12-18$25.11$26.8226.9%7.7%24.8%13.9%26.7%2.6%5.1%337.9K14.1M-345.2K1.073.77N/AN/A79184962,83540,197
2007-12-19$25.39$26.8226.7%7.7%24.1%13.7%27.6%1.4%5.1%529.6K8.1M-354.8K0.403.30N/AN/A1,40656362,87540,172
2007-12-20$26.05$26.8225.0%7.2%25.8%11.1%26.0%1.3%5.8%831.1K-7.5M-366.2K1.475.78N/AN/A62591662,69140,146
2007-12-21$26.60$26.8224.4%7.0%26.9%10.2%25.3%1.1%6.0%1.1M-19.8M-379.9K1.114.87N/AN/A78487462,51640,473
2007-12-24$26.45$26.8223.9%6.9%26.7%9.6%25.1%1.9%6.6%1.0M-15.6M-365.6K0.395.20N/AN/A56822458,09936,326
2007-12-26$26.80$26.8224.1%6.9%26.9%9.9%24.5%2.5%6.4%1.2M-23.7M-365.7K0.224.41N/AN/A3567758,43236,531
2007-12-27$26.57$26.8223.9%6.9%24.8%9.6%24.1%1.8%6.4%1.1M-18.8M-362.1K0.444.69N/AN/A1,38560858,49736,554
2007-12-28$26.82$26.8223.8%6.8%24.7%9.4%24.5%2.0%6.8%1.3M-23.3M-359.8K0.444.78N/AN/A32714458,57136,291
2007-12-31$26.28$26.8224.9%7.1%25.4%11.0%26.1%1.3%7.1%822.5K-8.8M-342.6K1.756.19N/AN/A1,0751,88058,36736,300