A Options History — May 2008

In May 2008, A traded between $22.25 and $26.75. ATM implied volatility averaged 37.1%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.9% (HV 20d: 35.2%). Max pain ranged from $23.25 to $23.25. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2008-05-15: Highest Volume — 25,247 contracts
  • 2008-05-15: Largest IV drop — 66.2% change
  • 2008-05-14: Highest IV Rank — 85.1%
  • 2008-05-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.43$22.25$26.75$22.25$26.75
Max Pain$23.25$23.25$23.25$23.25$23.25
ATM IV37.1%24.3%74.8%39.6%25.2%
Expected Move8.3%7.0%11.3%11.3%7.2%
HV 20d35.2%26.9%38.6%33.1%33.9%
HV 60d31.6%28.5%33.7%30.5%32.8%
IV Rank28.9%9.8%85.1%32.5%11.2%
IV Percentile60.2%25.8%98.8%83.7%29.4%
Term Structure-0.5%-8.2%2.5%-7.8%0.7%
VWIV29.3%23.9%39.1%39.1%23.9%
Skew 25d2.4%1.4%3.6%3.6%2.8%
Skew 10d6.3%4.7%12.1%8.2%5.4%
Call IV 25d28.2%23.2%38.3%38.0%23.2%
Put IV 25d30.6%25.3%41.6%41.6%26.1%
Bid-Ask Spread %5.492.819.844.235.91
Gamma HHI0.340.250.810.290.29
Net GEX1.7M508.4K5.4M508.4K2.1M
Net DEX-30.0M-70.8M10.5M10.5M-70.8M
Net VEX-348.0K-423.0K-301.0K-301.0K-418.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.103.290.140.34
Total Volume6,218.7621,54425,2474,7212,157
Total OI88,979.52471,716100,05087,38692,879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$22.25$23.2539.6%11.3%33.1%32.5%39.1%3.6%-7.8%508.4K10.5M-301.0K0.144.23N/AN/A4,13458748,75238,634
2008-05-02$22.94$23.2538.3%11.0%34.8%30.7%39.1%2.1%-8.2%1.1M-4.8M-327.7K0.342.81N/AN/A1,81561451,84138,664
2008-05-05$22.62$23.2541.7%8.9%35.2%35.7%31.3%3.0%0.3%995.4K200.5K-310.8K1.184.53N/AN/A80294652,19738,713
2008-05-06$22.76$23.2543.1%8.9%35.2%37.8%32.0%3.4%0.1%1.1M-1.8M-317.2K0.714.93N/AN/A2,5281,79552,41438,758
2008-05-07$22.71$23.2543.9%8.9%34.8%39.0%32.0%3.2%-0.1%1.1M-870.3K-307.4K0.364.54N/AN/A2,39587452,78438,561
2008-05-08$22.88$23.2545.7%8.8%34.8%41.6%31.0%2.8%-0.3%1.2M-4.6M-313.8K0.426.05N/AN/A3,1411,33553,37838,592
2008-05-09$22.82$23.2545.4%8.9%33.3%41.3%31.3%2.5%-0.3%1.5M-6.2M-318.0K0.545.63N/AN/A1,00054455,21839,041
2008-05-12$23.15$23.2561.7%9.0%33.5%65.4%30.9%3.0%-0.4%1.5M-10.9M-312.4K3.295.30N/AN/A1,4444,75654,29639,096
2008-05-13$23.05$23.2564.4%9.0%30.1%69.5%31.3%3.1%-0.3%1.3M-7.9M-309.9K0.964.27N/AN/A1,7671,70054,44040,254
2008-05-14$23.27$23.2574.8%9.3%26.9%85.1%32.5%3.1%-0.8%1.4M-12.0M-309.2K0.655.43N/AN/A7,8415,05854,98541,016
2008-05-15$25.28$23.2525.3%7.2%38.4%11.2%26.8%2.4%2.5%3.5M-64.7M-309.1K0.454.82N/AN/A17,4487,79956,53142,235
2008-05-16$25.10$23.2524.8%7.1%38.0%10.5%25.0%1.8%2.5%5.4M-54.5M-322.6K0.123.90N/AN/A20,9242,53755,08344,967
2008-05-19$25.92$23.2524.3%7.0%38.5%9.8%24.6%1.5%0.8%1.4M-47.5M-351.7K0.549.84N/AN/A7,3744,00842,77228,944
2008-05-20$25.48$23.2524.9%7.2%38.6%10.8%25.2%2.4%0.9%1.4M-40.1M-381.5K0.684.00N/AN/A94263746,40231,658
2008-05-21$25.54$23.2525.3%7.3%37.8%11.3%25.3%1.5%1.0%1.4M-41.4M-385.5K0.355.66N/AN/A2,24879546,76932,042
2008-05-22$25.77$23.2525.0%7.2%37.8%10.8%25.9%2.0%1.3%1.3M-44.1M-386.3K0.565.85N/AN/A1,73197646,76032,445
2008-05-23$25.70$23.2525.8%7.4%37.9%12.0%27.1%2.1%0.7%1.3M-44.0M-394.1K0.135.88N/AN/A1,78023847,95833,340
2008-05-27$26.05$23.2526.3%7.5%35.7%12.7%27.0%1.9%-0.8%1.4M-51.5M-388.4K0.108.33N/AN/A9,44298649,11633,379
2008-05-28$26.43$23.2526.9%7.7%35.4%13.7%27.3%1.4%-1.4%2.1M-65.2M-423.0K0.566.49N/AN/A1,24770057,67233,704
2008-05-29$26.56$23.2526.7%7.6%34.6%13.3%26.5%1.4%-1.1%2.1M-67.9M-420.0K1.026.83N/AN/A76878158,22934,051
2008-05-30$26.75$23.2525.2%7.2%33.9%11.2%23.9%2.8%0.7%2.1M-70.8M-418.9K0.345.91N/AN/A1,60555258,54834,331