A Options History — September 2008

In September 2008, A traded between $20.79 and $24.67. ATM implied volatility averaged 33.3%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 2.2% (HV 20d: 35.6%). Max pain ranged from $23.25 to $25.04. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.44.

Notable Days

  • 2008-09-08: Highest Volume — 5,896 contracts
  • 2008-09-29: Largest IV spike — 27.5% change
  • 2008-09-29: Highest IV Rank — 39.8%
  • 2008-09-29: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.60$20.79$24.67$24.67$21.22
Max Pain$24.35$23.25$25.04$25.04$23.25
ATM IV33.3%24.0%46.6%24.0%40.3%
Expected Move9.5%6.9%13.4%6.9%11.5%
HV 20d35.6%21.8%50.9%22.5%50.9%
HV 60d27.4%21.3%34.4%21.3%34.4%
IV Rank19.0%4.4%39.8%4.4%29.9%
IV Percentile59.2%11.9%87.7%11.9%79.8%
Term Structure1.6%-0.4%2.8%1.4%1.5%
VWIV33.1%24.3%47.5%24.3%40.9%
Skew 25d4.6%2.1%7.1%2.5%7.1%
Skew 10d7.2%3.7%14.3%5.4%14.3%
Call IV 25d31.4%24.4%45.6%24.4%37.9%
Put IV 25d36.1%26.8%51.9%26.8%45.0%
Bid-Ask Spread %6.703.2813.934.5413.60
Gamma HHI0.220.180.270.200.19
Net GEX-54.5K-250.0K233.1K233.1K-98.9K
Net DEX19.0M1.8M32.0M1.8M25.7M
Net VEX-214.6K-257.4K-179.9K-257.4K-179.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.066.450.230.21
Total Volume2,548.2385265,8961,7434,864
Total OI75,118.09568,18783,03568,18774,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$24.67$25.0424.0%6.9%22.5%4.4%24.3%2.5%1.4%233.1K1.8M-257.4K0.234.54N/AN/A1,42032339,18529,002
2008-09-03$24.18$25.0424.8%7.1%21.8%5.6%25.2%2.1%1.5%73.3K8.3M-244.2K1.114.22N/AN/A1,4891,65040,05428,986
2008-09-04$23.02$25.0428.2%8.1%26.2%10.9%28.3%3.7%0.1%-86.5K19.6M-211.0K1.053.35N/AN/A2,0452,13840,67828,651
2008-09-05$23.45$25.0428.0%8.2%27.6%10.6%28.5%3.6%2.8%-50.7K14.6M-233.4K1.693.50N/AN/A6771,14441,53329,299
2008-09-08$23.58$25.0429.8%8.4%26.4%13.4%28.6%4.1%2.7%-47.5K13.5M-235.8K0.063.59N/AN/A5,57931741,96229,968
2008-09-09$22.93$25.0431.1%8.6%27.4%15.4%30.1%3.5%2.2%34.9K18.4M-225.8K1.883.41N/AN/A9721,82746,87429,987
2008-09-10$22.81$25.0430.3%8.6%27.3%14.2%29.0%3.1%2.3%-116.1K22.0M-222.4K0.763.28N/AN/A1,28597247,08731,146
2008-09-11$22.85$25.0429.9%8.6%27.5%13.6%30.0%3.7%2.3%-109.5K20.9M-221.5K1.693.31N/AN/A39666747,20230,927
2008-09-12$22.93$25.0429.7%8.5%27.7%13.3%28.2%3.7%2.5%-128.1K20.6M-222.1K4.935.47N/AN/A4262,10447,26531,224
2008-09-15$22.05$25.0433.9%9.7%29.6%19.8%33.0%4.0%1.8%-250.0K30.3M-196.2K2.135.58N/AN/A8431,79447,50332,343
2008-09-16$22.33$25.0434.6%9.9%30.4%21.0%34.3%4.8%1.5%-210.9K26.6M-202.5K0.715.60N/AN/A1,6021,13247,58831,412
2008-09-17$21.28$25.0437.5%10.7%33.7%25.5%38.8%4.9%1.0%-119.8K32.0M-182.1K0.7011.49N/AN/A2,3651,64848,28031,435
2008-09-18$22.44$25.0433.2%9.5%40.0%18.7%35.5%5.7%1.4%-197.6K22.6M-217.2K0.7313.93N/AN/A1,7251,26748,66632,407
2008-09-19$23.54$23.2533.8%9.7%44.3%19.7%33.5%5.2%1.3%-16.8K5.1M-251.9K2.838.27N/AN/A1,2853,63149,63033,405
2008-09-22$22.26$23.2537.3%10.7%47.1%25.2%35.8%4.8%1.7%88.7K16.0M-212.5K0.787.79N/AN/A74558443,43328,856
2008-09-23$22.07$23.2537.4%10.7%47.0%25.4%34.6%5.7%1.4%-7.1K18.8M-205.6K0.588.84N/AN/A89852343,66529,629
2008-09-24$21.99$23.2537.0%10.6%46.9%24.8%36.9%5.4%1.7%-17.3K19.2M-201.2K0.246.52N/AN/A42410243,73229,621
2008-09-25$22.02$23.2536.4%10.4%47.0%23.8%35.9%5.8%1.2%-74.3K20.0M-198.3K0.285.64N/AN/A59316443,71429,584
2008-09-26$22.12$23.2536.5%10.5%46.0%24.0%36.6%7.1%1.2%20.4K17.9M-204.4K6.456.54N/AN/A12480243,97729,491
2008-09-29$20.79$23.2546.6%13.4%49.8%39.8%47.5%6.3%-0.4%-63.1K25.1M-182.2K1.2012.27N/AN/A44052743,91530,009
2008-09-30$21.22$23.2540.3%11.5%50.9%29.9%40.9%7.1%1.5%-98.9K25.7M-179.9K0.2113.60N/AN/A4,00885644,14630,009