A Options History — June 2008

In June 2008, A traded between $25.42 and $27.11. ATM implied volatility averaged 26.7%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.2% (HV 20d: 26.9%). Max pain ranged from $23.25 to $26.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2008-06-06: Highest Volume — 12,817 contracts
  • 2008-06-26: Largest IV spike — 19.5% change
  • 2008-06-09: Highest IV Rank — 16.9%
  • 2008-06-11: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.37$25.42$27.11$26.39$25.42
Max Pain$25.80$23.25$26.82$23.25$25.04
ATM IV26.7%23.7%29.1%27.7%27.4%
Expected Move7.6%6.8%8.3%7.9%7.9%
HV 20d26.9%18.8%36.6%33.8%22.5%
HV 60d31.6%30.1%33.1%32.8%30.9%
IV Rank12.5%7.2%16.9%14.8%12.9%
IV Percentile38.9%11.5%56.7%48.0%45.2%
Term Structure3.9%-3.0%6.9%-2.3%5.8%
VWIV26.6%19.9%30.2%27.6%26.9%
Skew 25d3.4%-0.9%5.0%-0.9%4.6%
Skew 10d7.7%4.0%9.8%4.0%7.7%
Call IV 25d25.3%23.1%27.8%27.4%25.4%
Put IV 25d28.8%26.2%30.7%26.5%30.0%
Bid-Ask Spread %5.894.287.565.747.28
Gamma HHI0.340.270.430.280.27
Net GEX2.1M1.6M2.5M2.1M1.8M
Net DEX-57.0M-76.7M-26.1M-65.0M-26.4M
Net VEX-398.4K-441.8K-245.2K-417.8K-359.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.205.850.770.39
Total Volume2,955.71481612,8173,0532,092
Total OI99,472.76282,421108,72993,49091,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$26.39$23.2527.7%7.9%33.8%14.8%27.6%-0.9%-2.3%2.1M-65.0M-417.8K0.775.74N/AN/A1,7281,32559,04034,450
2008-06-03$26.38$23.2527.1%7.8%33.0%14.0%27.0%-0.6%-1.3%2.2M-64.4M-418.3K1.844.75N/AN/A8301,52559,83034,689
2008-06-04$26.46$23.2528.2%8.1%33.1%15.6%28.3%0.4%-3.0%2.2M-63.6M-425.7K0.576.59N/AN/A3,2811,86460,36335,952
2008-06-05$26.93$23.2525.7%7.4%33.0%11.8%30.2%4.2%1.2%2.4M-74.1M-434.1K0.417.56N/AN/A2,5571,06162,38736,861
2008-06-06$26.12$26.8227.3%7.5%35.9%14.3%27.2%2.8%4.5%2.3M-58.1M-441.8K5.854.92N/AN/A1,87210,94564,46937,385
2008-06-09$26.41$26.8229.1%7.6%35.7%16.9%26.4%3.8%4.7%1.9M-60.9M-435.1K0.445.16N/AN/A1,66273163,76044,661
2008-06-10$26.29$26.8227.8%7.5%35.9%15.1%26.0%3.4%4.9%1.9M-59.1M-431.4K2.305.54N/AN/A24756963,71544,848
2008-06-11$25.93$26.8227.3%8.3%36.4%14.2%27.1%3.7%3.7%1.6M-50.6M-425.8K1.285.78N/AN/A1,1311,45063,72844,867
2008-06-12$26.39$26.8226.1%7.5%36.6%12.4%27.3%4.7%5.2%1.9M-60.7M-427.3K0.205.55N/AN/A3,15861763,96844,761
2008-06-13$26.69$26.8226.0%7.5%23.0%11.1%26.6%4.2%4.5%2.1M-64.8M-420.4K1.565.33N/AN/A47874562,97444,821
2008-06-16$26.72$26.8226.0%7.5%22.8%11.2%26.8%3.6%4.8%2.1M-59.6M-245.2K2.536.11N/AN/A7561,91451,11431,307
2008-06-17$26.76$26.8226.4%7.6%20.0%11.8%26.6%3.9%4.9%2.2M-68.7M-406.1K1.417.03N/AN/A53074763,44344,377
2008-06-18$26.74$26.8226.7%7.7%18.8%12.0%26.5%4.3%4.6%2.2M-69.2M-403.0K1.277.26N/AN/A77297963,55944,191
2008-06-19$27.11$26.8225.8%7.4%19.2%10.4%26.5%4.5%5.3%2.5M-76.7M-398.7K0.964.59N/AN/A72870263,48244,263
2008-06-20$26.87$26.8226.8%7.7%19.5%12.0%29.5%4.3%4.6%2.4M-71.5M-396.4K0.216.55N/AN/A3,58474763,77144,428
2008-06-23$26.52$25.0424.7%7.1%20.2%8.8%24.7%3.5%5.9%2.4M-52.5M-385.8K0.615.07N/AN/A1,26077257,94732,564
2008-06-24$26.20$25.0425.2%7.2%20.2%9.5%27.0%4.4%5.8%2.2M-45.0M-384.1K1.026.58N/AN/A67468858,38332,719
2008-06-25$26.42$25.0423.7%6.8%19.8%7.2%19.9%3.9%6.9%2.4M-50.6M-379.0K1.714.28N/AN/A52790258,39732,687
2008-06-26$25.54$26.8228.3%8.1%23.1%14.2%23.7%5.0%5.1%1.8M-29.2M-368.6K0.846.30N/AN/A1,9321,61558,44933,226
2008-06-27$25.46$26.8227.0%7.7%22.8%12.3%26.2%4.5%5.4%1.8M-26.1M-362.4K0.435.75N/AN/A1,65771658,44933,226
2008-06-30$25.42$25.0427.4%7.9%22.5%12.9%26.9%4.6%5.8%1.8M-26.4M-359.1K0.397.28N/AN/A1,50858458,04133,376