A Options History — October 2008

In October 2008, A traded between $13.53 and $21.22. ATM implied volatility averaged 72.9%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 4.6% (HV 20d: 77.4%). Max pain ranged from $17.88 to $23.25. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.63.

Notable Days

2008-10-30: Highest Volume — 9,759 contracts
2008-10-06: Largest IV spike — 29.1% change
2008-10-10: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 24.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.82	$13.53	$21.22	$21.22	$15.87
Max Pain	$22.39	$17.88	$23.25	$23.25	$17.88
ATM IV	72.9%	42.7%	89.0%	42.7%	77.9%
Expected Move	20.0%	12.2%	24.7%	12.2%	22.3%
HV 20d	77.4%	50.4%	100.7%	50.7%	100.5%
HV 60d	51.6%	34.0%	65.9%	34.0%	65.9%
IV Rank	77.7%	33.7%	100.0%	33.7%	83.4%
IV Percentile	96.0%	81.7%	100.0%	81.7%	94.8%
Term Structure	-10.0%	-16.9%	0.4%	0.2%	-11.7%
VWIV	70.2%	46.2%	87.3%	46.2%	83.8%
Skew 25d	10.2%	3.7%	15.7%	5.6%	14.5%
Skew 10d	19.5%	4.6%	34.9%	7.9%	24.2%
Call IV 25d	65.3%	40.8%	84.0%	40.8%	73.8%
Put IV 25d	75.5%	46.4%	94.4%	46.4%	88.3%
Bid-Ask Spread %	11.76	6.73	37.38	6.93	10.83
Gamma HHI	0.24	0.16	0.44	0.20	0.21
Net GEX	-137.1K	-367.7K	43.9K	-78.4K	43.9K
Net DEX	32.5M	21.4M	38.5M	24.1M	21.4M
Net VEX	-113.9K	-190.2K	-71.3K	-190.2K	-118.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.63	0.09	33.30	2.22	0.33
Total Volume	2,787.478	464	9,759	1,672	2,430
Total OI	78,235.087	74,052	90,307	74,106	90,307

Daily Data (23 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
2008-10-01	$21.22	$23.25	42.7%	12.2%	50.7%	33.7%	46.2%	5.6%	0.2%	-78.4K	24.1M	-190.2K	2.22	6.93	N/A	N/A	519	1,153	43,630	30,476
2008-10-02	$20.13	$23.25	54.2%	15.5%	51.1%	51.8%	53.3%	4.6%	-2.2%	-106.6K	29.5M	-171.6K	0.94	9.26	N/A	N/A	575	538	43,953	30,815
2008-10-03	$20.23	$23.25	48.9%	14.0%	50.4%	43.5%	48.8%	3.7%	0.4%	-107.3K	29.1M	-172.6K	1.16	6.73	N/A	N/A	842	980	44,462	30,929
2008-10-06	$19.31	$23.25	63.2%	15.9%	52.0%	65.9%	60.0%	10.1%	-8.4%	-138.8K	33.5M	-155.3K	1.04	7.29	N/A	N/A	935	974	44,825	31,680
2008-10-07	$17.96	$23.25	64.8%	17.3%	56.3%	68.1%	59.4%	7.8%	-9.5%	-125.3K	37.2M	-125.3K	1.17	14.38	N/A	N/A	808	946	44,922	31,621
2008-10-08	$17.87	$23.25	67.8%	18.1%	56.3%	72.8%	61.4%	9.4%	-10.5%	-143.7K	35.6M	-126.1K	1.91	17.21	N/A	N/A	628	1,199	44,983	31,185
2008-10-09	$16.28	$23.25	79.8%	20.6%	62.8%	91.9%	68.3%	8.8%	-15.7%	-118.6K	37.1M	-100.3K	1.89	37.38	N/A	N/A	161	303	45,422	31,686
2008-10-10	$16.08	$23.25	85.7%	20.8%	62.4%	100.0%	72.8%	10.7%	-14.5%	-111.9K	37.2M	-96.0K	2.41	15.88	N/A	N/A	544	1,309	45,448	31,455
2008-10-13	$18.31	$23.25	73.9%	18.1%	80.9%	81.3%	65.6%	12.0%	-10.5%	-191.2K	35.5M	-125.3K	0.37	14.43	N/A	N/A	1,153	429	45,698	32,193
2008-10-14	$17.60	$23.25	70.1%	17.9%	81.1%	75.4%	64.8%	9.4%	-10.7%	-186.9K	36.5M	-116.0K	1.06	8.68	N/A	N/A	1,385	1,465	46,233	32,407
2008-10-15	$15.84	$23.25	89.0%	20.6%	86.8%	100.0%	71.3%	8.3%	-13.0%	-132.9K	38.5M	-92.3K	1.75	16.48	N/A	N/A	544	951	46,242	33,061
2008-10-16	$16.61	$23.25	80.2%	23.0%	86.2%	86.8%	79.0%	13.0%	-16.9%	-176.0K	36.0M	-112.5K	0.93	8.76	N/A	N/A	2,568	2,395	46,555	33,324
2008-10-17	$16.17	$23.25	76.1%	21.8%	83.0%	80.6%	77.0%	11.1%	-16.1%	-367.7K	36.4M	-102.4K	1.60	12.92	N/A	N/A	709	1,131	48,537	34,222
2008-10-20	$17.06	$23.25	66.2%	19.0%	85.6%	65.7%	66.8%	9.8%	-7.9%	-120.3K	31.5M	-102.5K	0.34	6.79	N/A	N/A	2,051	693	44,101	29,951
2008-10-21	$16.26	$23.25	67.2%	19.3%	86.4%	67.3%	66.2%	6.4%	-7.8%	-112.4K	31.9M	-90.9K	33.30	8.51	N/A	N/A	157	5,215	44,635	29,667
2008-10-22	$15.19	$23.25	77.0%	22.1%	88.3%	81.9%	74.5%	12.4%	-8.1%	-154.5K	34.3M	-86.8K	1.13	11.61	N/A	N/A	1,602	1,813	44,651	32,838
2008-10-23	$14.82	$21.46	82.0%	23.5%	88.0%	89.5%	77.9%	12.3%	-10.7%	-143.1K	33.6M	-87.8K	1.95	11.13	N/A	N/A	657	1,279	46,004	33,773
2008-10-24	$14.13	$21.46	83.5%	23.9%	88.0%	91.8%	82.7%	14.0%	-10.2%	-145.2K	33.5M	-84.8K	0.63	9.20	N/A	N/A	734	464	45,976	34,512
2008-10-27	$13.53	$21.46	86.0%	24.7%	87.1%	95.5%	87.3%	10.4%	-12.2%	-134.3K	32.1M	-71.3K	1.75	8.38	N/A	N/A	352	615	46,548	32,945
2008-10-28	$15.13	$21.46	83.0%	23.8%	98.2%	91.0%	81.3%	15.7%	-10.9%	-149.1K	30.3M	-89.1K	2.35	9.67	N/A	N/A	626	1,471	46,555	32,420
2008-10-29	$15.24	$19.67	78.3%	22.5%	98.4%	84.0%	79.7%	10.8%	-10.9%	-142.5K	27.7M	-96.1K	0.09	8.50	N/A	N/A	8,322	728	46,853	32,055
2008-10-30	$16.12	$19.67	78.8%	22.6%	100.7%	84.7%	86.1%	14.0%	-12.1%	-111.1K	25.3M	-107.1K	0.11	9.52	N/A	N/A	8,827	932	47,740	31,912
2008-10-31	$15.87	$17.88	77.9%	22.3%	100.5%	83.4%	83.8%	14.5%	-11.7%	43.9K	21.4M	-118.7K	0.33	10.83	N/A	N/A	1,827	603	58,084	32,223