A Options History — February 2008

In February 2008, A traded between $21.90 and $24.65. ATM implied volatility averaged 43.5%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 12.7% (HV 20d: 30.8%). Max pain ranged from $23.25 to $25.04. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2008-02-13: Highest Volume — 26,874 contracts
  • 2008-02-14: Largest IV drop — 63.3% change
  • 2008-02-12: Highest IV Rank — 94.5%
  • 2008-02-01: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.97$21.90$24.65$24.65$21.90
Max Pain$23.69$23.25$25.04$25.04$23.25
ATM IV43.5%26.0%81.2%47.3%28.4%
Expected Move9.2%7.5%13.6%13.6%8.1%
HV 20d30.8%27.8%35.4%34.8%29.7%
HV 60d31.5%28.9%34.4%34.4%29.6%
IV Rank38.6%12.6%94.5%44.3%16.2%
IV Percentile76.4%49.6%99.6%93.3%67.1%
Term Structure-0.5%-13.0%4.3%-13.0%0.6%
VWIV32.4%26.5%47.9%47.9%28.5%
Skew 25d2.6%0.8%4.7%4.2%2.3%
Skew 10d5.4%2.8%8.8%6.9%2.8%
Call IV 25d31.7%26.5%46.3%46.3%28.1%
Put IV 25d34.3%27.8%50.5%50.5%30.4%
Bid-Ask Spread %5.344.027.375.015.75
Gamma HHI0.260.140.430.240.35
Net GEX120.3K-287.1K439.1K308.1K-98.3K
Net DEX14.3M2.0M30.5M3.4M18.1M
Net VEX-305.1K-347.3K-269.4K-308.8K-302.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.222.190.341.35
Total Volume4,79282926,8742,0821,575
Total OI72,319.262,39987,69066,65870,291

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$24.65$25.0447.3%13.6%34.8%44.3%47.9%4.2%-13.0%308.1K3.4M-308.8K0.345.01N/AN/A1,54953337,37729,281
2008-02-04$24.65$23.2554.3%10.3%32.8%54.7%36.1%3.8%-1.7%346.2K2.0M-308.5K0.595.65N/AN/A1,7361,02138,40729,661
2008-02-05$24.03$25.0458.7%11.2%33.4%61.1%38.1%4.0%-1.8%242.9K9.2M-298.3K0.344.15N/AN/A1,90765438,58230,190
2008-02-06$24.06$25.0459.7%11.3%33.4%62.7%37.2%4.7%-2.1%278.4K9.5M-298.8K0.724.02N/AN/A3,0432,19539,21830,443
2008-02-07$23.19$25.0459.6%11.1%35.4%62.5%37.6%3.6%-1.1%180.3K19.8M-298.8K0.604.84N/AN/A2,7261,64741,29731,876
2008-02-08$22.89$25.0461.1%10.7%30.6%64.7%38.2%3.8%-0.9%354.2K16.5M-347.3K2.194.75N/AN/A8581,88249,27832,738
2008-02-11$22.79$23.2573.4%10.6%29.7%82.9%38.0%3.4%-0.9%109.2K24.3M-283.2K0.814.55N/AN/A2,0631,67842,71933,423
2008-02-12$22.78$23.2581.2%10.4%28.5%94.5%36.7%3.0%-0.6%279.7K20.3M-282.9K0.505.02N/AN/A4,1022,04845,95934,468
2008-02-13$23.38$23.2576.0%10.4%30.4%86.8%36.6%1.8%-1.3%439.1K11.3M-296.2K0.556.91N/AN/A17,3629,51247,82335,077
2008-02-14$22.56$23.2527.9%8.0%32.3%15.4%28.2%2.7%3.4%61.7K27.2M-269.4K2.065.23N/AN/A2,6935,53948,40237,690
2008-02-15$21.92$23.2528.7%8.2%33.3%16.7%28.4%3.6%4.3%-15.3K30.5M-271.7K1.694.09N/AN/A2,9725,03449,55838,132
2008-02-19$22.12$23.2528.3%8.1%29.8%16.0%27.6%2.2%1.1%-287.1K18.5M-297.8K0.266.10N/AN/A2,96276131,84930,550
2008-02-20$22.55$23.2526.2%7.5%29.8%13.0%26.5%1.7%1.2%-58.2K12.9M-312.9K0.227.01N/AN/A1,89340833,88330,788
2008-02-21$22.61$23.2526.8%7.7%29.0%13.9%27.2%1.8%0.7%-3.3K11.5M-320.1K0.387.37N/AN/A1,79968634,87030,964
2008-02-22$22.47$23.2526.9%7.7%28.9%13.9%27.4%1.0%0.5%-20.5K12.3M-314.9K0.516.24N/AN/A2,4631,24635,15030,848
2008-02-25$22.53$23.2526.4%7.6%28.7%13.2%27.3%0.8%1.0%-14.3K12.0M-315.4K0.754.56N/AN/A1,11884336,17931,430
2008-02-26$22.80$23.2526.2%7.5%28.8%12.9%27.3%0.9%0.6%50.8K9.6M-324.2K0.594.75N/AN/A2,5001,47136,40431,765
2008-02-27$22.91$23.2526.4%7.6%29.0%13.3%26.8%1.4%-0.1%147.1K7.1M-327.0K0.426.08N/AN/A1,78774537,28631,880
2008-02-28$22.64$23.2526.0%7.5%27.8%12.6%27.0%0.9%0.6%106.4K9.7M-323.7K0.724.73N/AN/A48134838,75131,897
2008-02-29$21.90$23.2528.4%8.1%29.7%16.2%28.5%2.3%0.6%-98.3K18.1M-302.8K1.355.75N/AN/A67090538,26732,024