A Options History — August 2008

In August 2008, A traded between $24.77 and $26.47. ATM implied volatility averaged 37.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 15.7% (HV 20d: 21.5%). Max pain ranged from $25.04 to $26.82. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2008-08-15: Highest Volume — 17,865 contracts
  • 2008-08-14: Largest IV drop — 54.8% change
  • 2008-08-13: Highest IV Rank — 89.3%
  • 2008-08-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.57$24.77$26.47$25.65$24.86
Max Pain$25.63$25.04$26.82$25.04$25.04
ATM IV37.2%22.4%78.1%40.6%22.4%
Expected Move8.1%6.4%11.6%11.6%6.4%
HV 20d21.5%20.4%22.8%21.9%22.8%
HV 60d23.2%20.9%27.7%27.0%22.1%
IV Rank25.0%1.8%89.3%30.4%1.9%
IV Percentile47.4%3.2%99.2%81.3%3.6%
Term Structure0.7%-8.6%3.7%-8.6%2.5%
VWIV28.1%22.2%40.3%40.3%22.2%
Skew 25d4.1%2.9%5.4%4.0%3.0%
Skew 10d7.9%5.4%9.8%8.4%5.6%
Call IV 25d26.7%20.8%39.1%39.1%21.9%
Put IV 25d30.8%24.2%43.1%43.1%24.9%
Bid-Ask Spread %4.543.236.173.524.93
Gamma HHI0.240.200.330.220.21
Net GEX790.9K162.5K1.7M1.4M388.9K
Net DEX-17.5M-41.0M854.6K-25.7M-2.2M
Net VEX-276.6K-302.8K-251.9K-302.8K-270.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.063.420.060.92
Total Volume5,105.57178217,8659,8611,533
Total OI81,981.90558,613114,76092,63968,096

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$25.65$25.0440.6%11.6%21.9%30.4%40.3%4.0%-8.6%1.4M-25.7M-302.8K0.063.52N/AN/A9,32353853,22539,414
2008-08-04$25.28$25.0444.7%9.4%22.4%36.8%30.9%4.9%-0.2%1.1M-17.1M-291.7K3.424.86N/AN/A4431,51453,32739,503
2008-08-05$25.82$25.0446.3%9.3%22.0%39.4%31.7%5.2%-0.1%1.4M-27.7M-294.1K2.524.37N/AN/A8362,10553,55240,395
2008-08-06$26.21$25.0445.4%8.7%20.7%37.9%30.8%4.7%0.5%1.7M-37.3M-292.7K2.003.23N/AN/A1,0752,14653,68641,209
2008-08-07$25.96$25.0446.1%8.8%20.9%39.0%30.6%4.7%0.2%1.4M-31.2M-292.3K1.634.23N/AN/A1,0051,64154,00342,246
2008-08-08$26.47$26.8249.7%8.8%21.8%44.7%31.6%4.8%0.2%1.7M-41.0M-296.7K2.154.48N/AN/A2,9576,35354,36042,947
2008-08-11$26.47$26.8261.1%9.0%20.8%62.7%32.1%4.7%-0.0%1.3M-37.7M-290.3K1.434.12N/AN/A2,1753,11355,36146,804
2008-08-12$26.44$26.8270.0%9.1%20.4%76.6%31.9%4.5%-0.1%1.5M-39.3M-286.6K0.585.07N/AN/A4,5742,66655,80447,114
2008-08-13$26.14$26.8278.1%9.0%20.9%89.3%32.9%5.0%-0.2%981.3K-28.9M-283.4K1.974.70N/AN/A2,6035,11755,83348,741
2008-08-14$25.88$26.8235.3%10.1%21.3%22.1%34.8%5.4%-1.8%725.3K-20.7M-279.9K2.095.28N/AN/A5,56811,63657,87351,648
2008-08-15$26.02$26.8224.9%7.1%21.0%5.7%25.7%3.9%3.7%253.0K-27.0M-251.9K0.353.25N/AN/A13,2464,61959,41955,341
2008-08-18$25.59$26.8225.7%7.4%21.8%6.9%24.8%3.8%1.6%411.5K-9.3M-268.6K0.594.08N/AN/A2,5711,51431,85926,754
2008-08-19$25.21$25.0425.4%7.3%22.4%6.6%25.2%3.5%1.1%294.9K-4.7M-265.2K0.934.02N/AN/A1,1761,08932,20227,198
2008-08-20$24.89$25.0423.9%6.9%20.9%4.2%23.8%3.3%2.1%171.4K-661.3K-262.2K0.493.79N/AN/A98148032,74427,680
2008-08-21$24.77$25.0424.0%6.9%20.7%4.3%24.2%3.4%2.1%162.5K854.6K-263.3K1.045.36N/AN/A87891633,11027,836
2008-08-22$25.31$25.0423.4%6.7%21.6%3.3%23.3%3.3%2.7%376.8K-6.1M-269.0K0.676.17N/AN/A80854433,48127,679
2008-08-25$24.88$25.0424.1%6.9%22.1%4.5%24.4%2.9%2.3%261.8K-1.8M-261.1K1.756.03N/AN/A28449833,92527,768
2008-08-26$24.83$25.0423.6%6.8%21.8%3.7%23.4%3.5%2.2%215.4K-625.0K-257.1K0.854.41N/AN/A50242534,01327,813
2008-08-27$24.85$25.0423.2%6.7%20.8%3.1%22.9%3.6%2.3%220.4K-636.8K-256.0K0.114.41N/AN/A4,07946034,11827,880
2008-08-28$25.40$25.0422.4%6.4%21.7%1.8%22.5%3.4%2.4%641.4K-8.6M-273.4K0.495.04N/AN/A2,1611,06537,71927,940
2008-08-29$24.86$25.0422.4%6.4%22.8%1.9%22.2%3.0%2.5%388.9K-2.2M-270.7K0.924.93N/AN/A79873539,35528,741