A Options History — July 2008 In July 2008, A traded between $24.84 and $26.26. ATM implied volatility averaged 35.1%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 13.0% (HV 20d: 22.1%). Max pain ranged from $25.04 to $25.04. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.48.
Notable Days 2008-07-02 : Highest Volume — 6,217 contracts2008-07-10 : Largest IV spike — 25.6% change2008-07-31 : Highest IV Rank — 30.4%2008-07-31 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $25.42 $24.84 $26.26 $25.44 $25.79 Max Pain $25.04 $25.04 $25.04 $25.04 $25.04 ATM IV 35.1% 26.8% 40.6% 27.0% 40.6% Expected Move 10.3% 7.7% 11.6% 7.7% 11.6% HV 20d 22.1% 19.9% 23.6% 22.5% 22.9% HV 60d 28.9% 26.6% 31.3% 30.9% 26.9% IV Rank 22.3% 11.7% 30.4% 12.3% 30.4% IV Percentile 68.8% 38.9% 81.3% 42.9% 81.3% Term Structure -3.0% -8.0% 6.9% 6.1% -8.0% VWIV 36.1% 27.0% 44.7% 27.0% 39.3% Skew 25d 4.3% 2.4% 5.1% 4.9% 5.1% Skew 10d 9.4% 6.3% 11.7% 9.3% 10.8% Call IV 25d 34.3% 25.2% 37.6% 25.2% 37.6% Put IV 25d 38.6% 30.1% 42.7% 30.1% 42.7% Bid-Ask Spread % 6.07 3.31 9.69 7.37 3.84 Gamma HHI 0.26 0.23 0.28 0.26 0.24 Net GEX 1.6M 1.4M 2.0M 1.8M 1.5M Net DEX -24.5M -38.4M -12.6M -26.9M -28.9M Net VEX -334.0K -366.9K -305.2K -356.1K -305.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.48 0.05 15.57 1.17 0.60 Total Volume 2,121.182 399 6,217 2,948 1,903 Total OI 93,081.045 85,166 97,691 91,557 92,159
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-07-01 $25.44 $25.04 27.0% 7.7% 22.5% 12.3% 27.0% 4.9% 6.1% 1.8M -26.9M -356.1K 1.17 7.37 N/A N/A 1,357 1,591 58,069 33,488 2008-07-02 $25.29 $25.04 28.1% 8.1% 22.5% 13.7% 27.7% 4.6% 6.0% 1.7M -24.2M -355.3K 0.83 8.06 N/A N/A 3,403 2,814 58,733 34,162 2008-07-03 $24.84 $25.04 26.8% 7.7% 21.8% 11.7% 28.2% 2.4% 6.9% 1.4M -12.6M -357.2K 0.57 5.11 N/A N/A 1,359 774 60,563 35,891 2008-07-07 $25.09 $25.04 29.0% 10.0% 19.9% 14.4% 36.7% 3.3% -1.8% 1.6M -19.5M -353.3K 0.77 7.24 N/A N/A 1,275 979 60,626 36,019 2008-07-08 $25.70 $25.04 28.4% 9.9% 21.5% 12.0% 33.1% 4.1% -2.0% 2.0M -32.6M -366.9K 0.77 8.28 N/A N/A 583 449 60,602 36,282 2008-07-09 $25.10 $25.04 29.0% 10.2% 22.9% 12.1% 35.6% 3.0% -2.3% 1.7M -19.9M -357.0K 0.53 5.58 N/A N/A 1,285 677 60,701 36,492 2008-07-10 $25.30 $25.04 36.4% 10.4% 22.8% 23.8% 36.8% 4.7% -3.0% 1.7M -23.8M -356.5K 0.40 6.40 N/A N/A 2,157 864 60,634 36,161 2008-07-11 $25.53 $25.04 36.1% 10.4% 22.0% 23.4% 35.9% 4.2% -2.9% 1.9M -30.8M -359.2K 0.44 8.48 N/A N/A 2,097 923 61,044 36,647 2008-07-14 $25.14 $25.04 37.4% 10.7% 22.0% 25.4% 37.1% 4.4% -3.8% 1.6M -18.7M -340.9K 2.40 9.69 N/A N/A 117 282 59,840 37,004 2008-07-15 $24.91 $25.04 38.1% 10.9% 22.0% 26.4% 38.8% 4.5% -4.2% 1.5M -13.6M -333.2K 0.98 7.74 N/A N/A 271 267 59,848 37,076 2008-07-16 $25.12 $25.04 37.1% 10.6% 22.4% 24.9% 36.9% 4.2% -3.5% 1.7M -17.2M -332.8K 0.97 7.86 N/A N/A 239 232 59,913 37,047 2008-07-17 $25.14 $25.04 37.8% 10.8% 22.4% 25.9% 38.5% 4.6% -4.1% 1.8M -17.7M -328.4K 0.93 8.60 N/A N/A 366 340 59,922 37,114 2008-07-18 $25.44 $25.04 37.2% 10.7% 22.2% 25.1% 36.3% 4.4% -3.9% 1.6M -28.0M -328.0K 0.05 4.61 N/A N/A 2,705 124 60,055 37,131 2008-07-21 $25.27 $25.04 37.5% 10.8% 22.2% 25.6% 37.3% 4.4% -4.8% 1.5M -21.4M -315.6K 0.70 4.63 N/A N/A 1,328 931 51,783 33,383 2008-07-22 $25.13 $25.04 36.7% 10.5% 21.9% 24.3% 37.0% 4.2% -4.6% 1.4M -18.9M -313.7K 1.16 4.49 N/A N/A 761 879 52,544 33,985 2008-07-23 $25.75 $25.04 37.0% 10.6% 23.6% 24.8% 36.3% 4.4% -4.7% 1.7M -30.5M -322.0K 0.69 4.87 N/A N/A 1,738 1,201 52,993 34,437 2008-07-24 $25.53 $25.04 37.8% 10.8% 23.5% 25.9% 36.7% 4.1% -5.4% 1.5M -26.4M -318.3K 0.40 5.34 N/A N/A 1,552 626 52,534 34,651 2008-07-25 $25.90 $25.04 37.5% 10.8% 20.7% 25.6% 37.6% 4.7% -5.1% 1.7M -32.9M -321.3K 1.64 4.03 N/A N/A 161 264 52,422 34,895 2008-07-28 $25.63 $25.04 39.8% 11.4% 21.1% 29.1% 44.7% 4.4% -6.8% 1.5M -26.8M -307.9K 15.57 4.33 N/A N/A 302 4,701 52,484 35,053 2008-07-29 $25.84 $25.04 39.7% 11.4% 21.3% 29.0% 40.2% 4.3% -7.0% 1.5M -29.6M -311.2K 0.75 3.31 N/A N/A 433 327 52,558 39,062 2008-07-30 $26.26 $25.04 37.0% 10.6% 21.9% 24.7% 37.0% 4.8% -6.4% 1.7M -38.4M -306.8K 0.24 3.73 N/A N/A 1,636 393 52,653 39,123 2008-07-31 $25.79 $25.04 40.6% 11.6% 22.9% 30.4% 39.3% 5.1% -8.0% 1.5M -28.9M -305.2K 0.60 3.84 N/A N/A 1,187 716 52,990 39,169
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