A Options History — April 2008

In April 2008, A traded between $20.85 and $22.68. ATM implied volatility averaged 32.9%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 1.6% (HV 20d: 31.2%). Max pain ranged from $21.46 to $23.25. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2008-04-02: Highest Volume — 13,342 contracts
  • 2008-04-10: Largest IV spike — 14.1% change
  • 2008-04-28: Highest IV Rank — 31.7%
  • 2008-04-28: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.03$20.85$22.68$22.10$21.61
Max Pain$23.00$21.46$23.25$21.46$23.25
ATM IV32.9%25.9%39.0%30.6%37.6%
Expected Move9.7%7.4%11.2%8.8%10.8%
HV 20d31.2%28.6%33.8%30.8%31.4%
HV 60d29.8%28.4%31.3%31.3%30.2%
IV Rank22.7%12.4%31.7%19.5%29.6%
IV Percentile70.2%41.3%82.9%72.6%80.6%
Term Structure-2.5%-6.8%5.3%5.1%-6.5%
VWIV34.2%26.8%39.2%31.0%37.9%
Skew 25d2.9%1.3%4.4%4.4%3.0%
Skew 10d5.4%1.2%7.3%6.7%6.7%
Call IV 25d33.1%26.2%38.4%28.4%38.1%
Put IV 25d36.1%28.2%41.3%32.8%41.1%
Bid-Ask Spread %5.182.818.495.313.20
Gamma HHI0.290.270.320.320.28
Net GEX182.6K-303.7K652.0K-183.5K62.1K
Net DEX13.8M2.8M33.3M17.9M20.9M
Net VEX-310.8K-358.3K-266.3K-358.0K-274.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.625.741.521.58
Total Volume3,559.0911,20413,3422,3122,297
Total OI87,218.63681,02293,01992,46787,042

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$22.10$21.4630.6%8.8%30.8%19.5%31.0%4.4%5.1%-183.5K17.9M-358.0K1.525.31N/AN/A9181,39445,96846,499
2008-04-02$22.34$21.4629.3%8.4%30.9%17.5%29.1%2.2%3.1%-74.6K12.8M-358.3K5.745.97N/AN/A1,98011,36246,45646,563
2008-04-03$22.51$21.4625.9%7.4%31.0%12.4%26.8%2.0%5.3%411.0K6.4M-345.9K1.946.02N/AN/A6071,17446,60441,286
2008-04-04$22.68$23.2526.2%9.1%30.4%12.9%31.9%2.4%-1.0%508.3K2.8M-343.6K1.028.49N/AN/A59660846,65541,140
2008-04-07$22.58$23.2526.0%9.2%30.4%12.6%32.7%1.3%-1.7%474.9K4.4M-339.8K2.177.42N/AN/A44797346,89041,097
2008-04-08$22.54$23.2526.2%9.1%29.6%12.6%32.4%2.6%-1.3%429.3K6.8M-334.3K0.715.84N/AN/A71950747,00641,276
2008-04-09$22.22$23.2528.3%9.4%28.8%15.7%33.0%2.7%-0.9%255.3K12.0M-324.6K0.625.62N/AN/A1,59898747,22941,252
2008-04-10$22.13$23.2532.3%9.2%28.9%21.7%32.3%2.8%-0.9%217.3K13.1M-317.6K1.446.70N/AN/A2,2843,29147,24840,492
2008-04-11$21.55$23.2532.2%9.2%30.4%21.5%32.6%2.9%-0.9%-147.8K24.9M-324.5K3.746.47N/AN/A5031,88249,30342,607
2008-04-14$21.64$23.2533.8%9.7%28.6%24.0%33.5%3.4%-2.1%-216.1K22.2M-290.1K0.745.33N/AN/A1,8271,35346,78440,345
2008-04-15$20.85$23.2535.1%10.1%31.6%25.9%35.7%4.0%-3.1%-303.7K33.3M-266.3K1.044.44N/AN/A3,7273,86547,51140,163
2008-04-16$21.75$23.2534.6%9.9%33.8%25.2%34.4%3.3%-3.3%-160.7K16.0M-295.2K0.784.83N/AN/A5,2544,07248,23840,253
2008-04-17$21.52$23.2534.3%9.8%31.1%24.7%35.0%3.7%-3.0%-108.3K20.1M-288.0K1.183.10N/AN/A55265448,87739,445
2008-04-18$22.15$23.2534.1%9.8%32.5%24.5%34.0%2.9%-3.1%428.4K6.2M-303.5K1.476.14N/AN/A9101,33848,97639,115
2008-04-21$21.93$23.2535.6%10.2%31.8%26.7%34.9%3.4%-4.8%256.2K14.2M-289.8K0.974.26N/AN/A1,4401,39244,56836,454
2008-04-22$21.57$23.2535.8%10.3%32.3%27.0%36.0%2.8%-4.6%93.6K19.3M-277.8K1.413.36N/AN/A1,0991,54644,56836,454
2008-04-23$22.20$23.2537.7%10.8%33.7%29.8%37.2%2.7%-6.0%371.9K10.0M-304.7K0.794.78N/AN/A2,1051,66645,65437,403
2008-04-24$22.49$23.2535.9%10.3%32.2%27.1%36.8%3.0%-5.9%511.1K5.4M-309.0K0.725.15N/AN/A2,7111,94045,79337,473
2008-04-25$22.55$23.2535.2%10.1%32.1%26.1%36.5%3.6%-5.5%652.0K4.2M-309.4K1.295.10N/AN/A1,1071,42747,24437,780
2008-04-28$21.93$23.2539.0%11.2%33.8%31.7%39.2%3.0%-6.8%300.6K14.1M-292.8K1.493.60N/AN/A8441,26047,91538,273
2008-04-29$21.86$23.2538.1%10.9%31.5%30.3%38.9%2.7%-6.2%240.1K15.9M-289.6K2.552.81N/AN/A5871,49748,21338,698
2008-04-30$21.61$23.2537.6%10.8%31.4%29.6%37.9%3.0%-6.5%62.1K20.9M-274.5K1.583.20N/AN/A8921,40548,59338,449