A Options History — March 2008

In March 2008, A traded between $20.90 and $21.99. ATM implied volatility averaged 29.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.5% (HV 20d: 27.4%). Max pain ranged from $21.46 to $23.25. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2008-03-04: Highest Volume — 20,155 contracts
  • 2008-03-10: Largest IV spike — 7.8% change
  • 2008-03-17: Highest IV Rank — 23.9%
  • 2008-03-17: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.49$20.90$21.99$21.99$21.34
Max Pain$22.62$21.46$23.25$23.25$21.46
ATM IV29.9%27.4%33.6%29.3%30.5%
Expected Move8.7%8.0%9.6%8.4%8.7%
HV 20d27.4%23.2%30.0%28.7%28.0%
HV 60d29.7%28.9%30.3%29.6%30.3%
IV Rank18.4%14.8%23.9%17.5%19.3%
IV Percentile70.2%61.5%77.4%70.6%72.2%
Term Structure4.8%0.2%7.2%0.2%5.2%
VWIV30.3%28.3%33.1%29.3%31.3%
Skew 25d3.0%-0.6%4.4%2.3%3.0%
Skew 10d5.8%-4.2%10.6%3.0%7.2%
Call IV 25d29.9%28.2%32.5%29.3%30.8%
Put IV 25d32.9%30.5%36.4%31.5%33.7%
Bid-Ask Spread %7.104.779.884.779.07
Gamma HHI0.430.320.540.360.35
Net GEX-722.5K-1.2M-112.6K-112.6K-554.6K
Net DEX30.9M17.4M42.2M17.4M31.7M
Net VEX-336.5K-362.1K-302.5K-304.2K-329.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.235.170.320.23
Total Volume3,750.180320,1551,3294,898
Total OI88,384.270,61396,32470,61389,651

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$21.99$23.2529.3%8.4%28.7%17.5%29.3%2.3%0.2%-112.6K17.4M-304.2K0.324.77N/AN/A1,00932038,32132,292
2008-03-04$21.82$23.2529.5%8.4%28.7%17.8%30.1%0.9%2.3%-193.4K18.3M-302.5K3.256.27N/AN/A4,73915,41638,46732,294
2008-03-05$21.89$23.2528.0%8.0%27.9%15.6%28.3%1.7%2.3%-681.9K25.9M-346.5K5.175.30N/AN/A8374,32839,46142,653
2008-03-06$21.56$23.2528.7%8.2%28.0%16.6%31.1%-0.6%1.8%-868.2K31.9M-349.7K3.305.21N/AN/A5241,73239,80945,878
2008-03-07$21.51$23.2527.4%8.7%25.5%14.8%30.1%2.3%5.5%-1.0M33.5M-347.9K0.347.15N/AN/A4,4861,51040,07246,797
2008-03-10$21.13$23.2529.6%8.9%25.8%18.0%31.1%3.5%5.5%-992.0K38.6M-335.7K1.095.90N/AN/A81588543,54847,395
2008-03-11$21.70$23.2528.0%8.6%28.0%15.5%29.4%3.9%5.7%-932.7K31.1M-351.5K0.718.83N/AN/A2,3701,67843,99247,205
2008-03-12$21.77$23.2529.4%8.9%28.0%17.7%30.6%3.8%5.6%-745.2K25.7M-362.1K0.695.02N/AN/A1,9681,35645,71947,360
2008-03-13$21.82$23.2530.2%8.7%26.1%18.9%29.8%3.4%6.0%-863.6K28.7M-360.7K1.594.78N/AN/A1,2041,91046,55248,108
2008-03-14$21.20$23.2531.7%9.1%25.1%21.1%32.2%3.4%5.0%-957.5K37.2M-350.1K1.459.36N/AN/A1,1811,70746,85348,778
2008-03-17$21.22$23.2533.6%9.6%23.2%23.9%33.1%3.9%4.1%-1.0M36.9M-344.8K1.806.81N/AN/A6321,13547,16349,161
2008-03-18$21.80$23.2531.3%9.0%25.0%20.5%30.5%4.4%4.9%-1.1M29.4M-350.4K1.826.25N/AN/A5611,02147,04548,913
2008-03-19$20.99$23.2532.3%9.3%27.0%22.0%32.0%3.1%4.5%-1.2M42.2M-326.0K1.219.88N/AN/A76392447,08049,066
2008-03-20$21.22$21.4630.1%8.6%27.4%18.7%30.1%4.0%5.9%-1.0M42.0M-327.6K0.807.86N/AN/A1,7451,39747,32948,929
2008-03-24$21.71$21.4630.3%8.7%28.9%19.0%30.0%4.4%5.7%-336.0K24.3M-337.3K1.057.32N/AN/A1,3831,45841,10343,153
2008-03-25$21.69$21.4629.4%8.4%28.9%17.8%28.8%4.3%6.2%-358.7K25.5M-333.5K0.527.81N/AN/A73038041,52843,713
2008-03-26$21.45$21.4628.7%8.2%28.6%16.6%28.5%3.3%7.2%-404.6K28.9M-326.1K1.077.19N/AN/A1,2301,31341,90143,859
2008-03-27$20.90$21.4630.2%8.7%29.5%18.9%30.3%2.0%6.1%-519.5K35.8M-314.7K1.587.52N/AN/A1,8012,85342,33744,676
2008-03-28$21.16$21.4629.2%8.4%30.0%17.3%29.3%3.3%6.7%-566.3K32.9M-329.0K0.409.60N/AN/A57522843,40946,114
2008-03-31$21.34$21.4630.5%8.7%28.0%19.3%31.3%3.0%5.2%-554.6K31.7M-329.4K0.239.07N/AN/A3,96893043,61546,036