A Options History — January 2008

In January 2008, A traded between $23.49 and $26.44. ATM implied volatility averaged 39.0%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 7.8% (HV 20d: 31.2%). 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 2 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2008-01-18: Highest Volume — 7,204 contracts
  • 2008-01-10: Largest IV spike — 22.6% change
  • 2008-01-22: Highest IV Rank — 47.1%
  • 2008-01-22: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.91$23.49$26.44$25.97$24.22
Max Pain$26.31$25.04$26.82$26.82$25.04
ATM IV39.0%26.4%49.2%26.4%48.3%
Expected Move11.5%7.6%14.1%7.6%13.8%
HV 20d31.2%25.7%34.9%25.7%34.1%
HV 60d33.2%30.9%34.6%30.9%34.3%
IV Rank32.0%13.3%47.1%13.3%45.7%
IV Percentile85.6%57.4%96.0%57.4%95.2%
Term Structure-5.5%-12.9%6.8%6.4%-12.9%
VWIV39.9%26.4%49.2%28.5%48.5%
Skew 25d3.3%0.4%4.9%0.4%3.8%
Skew 10d6.2%1.6%9.5%1.6%6.5%
Call IV 25d38.8%25.7%47.8%27.8%47.8%
Put IV 25d42.0%28.2%51.6%28.2%51.6%
Bid-Ask Spread %4.603.025.925.113.02
Gamma HHI0.180.130.340.280.23
Net GEX242.5K17.2K734.7K508.4K264.4K
Net DEX9.8M-15.2M34.0M-1.7M7.4M
Net VEX-307.0K-350.9K-277.7K-331.0K-303.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.421.800.470.58
Total Volume2,571.5246297,2041,6901,795
Total OI85,103.57158,919102,71195,91166,384

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$25.97$26.8226.4%7.6%25.7%13.3%28.5%0.4%6.4%508.4K-1.7M-331.0K0.475.11N/AN/A1,15353758,54537,366
2008-01-03$25.71$26.8226.7%7.7%25.8%13.7%26.4%2.9%6.8%259.6K7.5M-316.4K1.793.31N/AN/A22540458,55437,314
2008-01-04$24.87$26.8227.9%9.9%27.6%15.5%34.0%2.1%-3.0%164.2K20.7M-294.0K0.484.97N/AN/A1,88389958,54337,065
2008-01-07$25.28$26.8228.7%10.0%28.5%16.6%34.8%2.4%-2.6%271.5K14.4M-299.3K1.803.94N/AN/A55199059,20137,258
2008-01-08$25.24$26.8229.9%10.2%28.4%18.4%34.7%2.8%-3.4%269.5K16.4M-295.6K0.935.14N/AN/A46743259,19037,352
2008-01-09$25.31$26.8228.3%10.1%28.5%16.1%35.6%2.6%-3.1%307.7K13.7M-291.6K1.063.74N/AN/A3,1433,32459,16836,766
2008-01-10$26.44$26.8234.7%10.0%30.1%25.6%35.0%3.7%-3.1%734.7K-15.2M-350.9K0.614.46N/AN/A2,2841,39261,65239,288
2008-01-11$25.75$26.8237.3%10.7%30.9%29.5%36.1%3.4%-4.1%328.2K3.1M-336.6K0.554.41N/AN/A1,61588261,65239,535
2008-01-14$26.21$26.8236.1%10.3%31.6%27.6%35.7%4.0%-3.9%361.7K-7.6M-336.6K0.634.30N/AN/A1,05466061,61839,555
2008-01-15$25.74$26.8238.3%11.0%31.6%30.9%37.2%3.1%-4.9%264.5K5.2M-325.7K0.965.12N/AN/A1,2221,17361,83439,431
2008-01-16$25.52$26.8239.0%11.2%30.6%32.0%38.6%2.5%-5.0%251.8K11.1M-322.8K1.124.04N/AN/A57564362,27740,109
2008-01-17$25.29$26.8240.6%11.6%30.5%34.3%40.5%2.4%-6.1%244.6K15.5M-316.0K0.625.34N/AN/A96759762,41240,299
2008-01-18$24.08$26.8244.9%12.9%34.9%40.7%44.0%4.4%-8.7%38.4K34.0M-288.3K0.825.19N/AN/A3,9683,23662,18040,095
2008-01-22$23.49$26.8249.2%14.1%34.0%47.1%49.2%3.4%-9.5%17.2K16.0M-277.7K0.594.77N/AN/A1,8691,10231,87727,042
2008-01-23$23.91$26.8248.7%14.0%33.7%46.4%48.5%4.2%-9.1%59.6K11.9M-290.9K0.534.39N/AN/A2,0801,10332,20627,142
2008-01-24$24.03$25.0446.8%13.4%33.9%43.5%45.3%4.6%-8.3%112.0K10.5M-294.6K0.655.05N/AN/A1,25381533,45327,720
2008-01-25$23.74$25.0445.8%13.1%33.3%42.1%45.6%3.9%-8.0%113.7K13.4M-290.2K0.894.48N/AN/A90981134,01327,875
2008-01-28$23.98$25.0447.5%13.6%33.8%44.6%47.0%4.2%-10.3%121.4K12.0M-290.9K0.424.35N/AN/A1,19449634,50328,333
2008-01-29$23.95$25.0447.7%13.7%33.4%44.8%46.1%4.9%-11.1%133.9K12.1M-291.0K0.585.45N/AN/A1,44783935,13028,557
2008-01-30$24.45$25.0447.1%13.5%34.2%44.0%47.6%3.4%-11.5%266.1K5.3M-303.0K0.655.92N/AN/A2,4301,58336,06128,620
2008-01-31$24.22$25.0448.3%13.8%34.1%45.7%48.5%3.8%-12.9%264.4K7.4M-303.3K0.583.02N/AN/A1,13466137,26529,119