A Options History — November 2008

In November 2008, A traded between $11.59 and $17.63. ATM implied volatility averaged 78.8%, placing in the 75.0% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 15.2% (HV 20d: 94.0%). Max pain ranged from $14.31 to $17.88. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.54.

Notable Days

  • 2008-11-13: Highest Volume — 10,882 contracts
  • 2008-11-13: Largest IV drop — 27.1% change
  • 2008-11-11: Highest IV Rank — 100.0%
  • 2008-11-20: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.38$11.59$17.63$16.45$13.47
Max Pain$15.25$14.31$17.88$16.09$14.31
ATM IV78.8%58.5%103.7%77.0%58.5%
Expected Move21.4%16.8%26.3%22.1%16.8%
HV 20d94.0%86.4%103.5%101.0%87.8%
HV 60d74.7%66.2%81.6%66.2%81.2%
IV Rank75.0%44.3%100.0%82.0%44.3%
IV Percentile92.8%79.8%100.0%94.4%79.8%
Term Structure-4.4%-17.6%3.8%-12.2%3.8%
VWIV75.3%62.5%87.1%82.3%64.2%
Skew 25d12.9%3.2%16.4%12.7%12.1%
Skew 10d23.3%4.5%32.4%29.5%24.3%
Call IV 25d68.8%57.6%86.2%71.8%57.6%
Put IV 25d81.8%69.7%97.2%84.5%69.7%
Bid-Ask Spread %7.444.9510.639.376.78
Gamma HHI0.260.150.610.210.34
Net GEX-103.1K-371.4K148.3K77.3K-168.1K
Net DEX27.2M13.1M36.7M19.3M22.6M
Net VEX-94.3K-143.8K-58.2K-122.3K-66.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.157.780.150.49
Total Volume3,556.15838010,8821,859380
Total OI94,256.26366,635107,87691,48067,849

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$16.45$16.0977.0%22.1%101.0%82.0%82.3%12.7%-12.2%77.3K19.3M-122.3K0.159.37N/AN/A1,61924059,07032,410
2008-11-04$17.63$17.8873.4%21.1%101.5%76.6%77.3%11.8%-14.0%148.3K13.1M-143.8K1.148.66N/AN/A4,2494,83458,69632,390
2008-11-05$16.64$17.8881.1%23.3%103.5%88.2%80.5%5.6%-15.7%51.1K18.6M-139.4K2.2110.63N/AN/A8391,85261,84335,656
2008-11-06$15.33$17.8886.2%24.7%102.3%95.7%87.1%3.2%-17.6%-60.8K26.3M-122.1K0.619.86N/AN/A2,4601,50661,96937,037
2008-11-07$15.62$16.0983.0%19.3%102.5%91.0%62.5%13.8%-3.0%-94.7K27.2M-121.6K2.836.19N/AN/A7132,01961,36737,430
2008-11-10$15.53$16.0986.6%19.4%90.0%96.5%66.3%13.0%-2.8%-125.0K27.8M-118.0K0.447.41N/AN/A2,07290561,46338,031
2008-11-11$14.98$16.0993.9%21.3%89.8%100.0%72.7%14.0%-3.7%-128.4K30.2M-108.1K0.414.95N/AN/A1,93278762,20038,200
2008-11-12$13.86$14.31103.7%22.0%86.4%100.0%82.0%13.0%-4.1%-104.4K32.8M-91.5K3.368.31N/AN/A7942,66963,68338,417
2008-11-13$15.00$14.3175.6%21.7%89.7%65.4%74.1%15.9%-3.3%-89.6K29.4M-107.0K1.745.44N/AN/A3,9796,90364,04038,968
2008-11-14$14.84$14.3171.0%20.3%89.4%59.7%72.0%13.5%-2.7%-53.0K27.5M-104.0K1.966.39N/AN/A1,8653,65466,94939,583
2008-11-17$13.68$14.3173.5%21.1%90.7%62.9%74.2%15.5%-3.3%-216.3K34.3M-79.5K1.296.12N/AN/A76198467,45139,932
2008-11-18$13.59$14.3171.0%20.4%89.6%59.8%79.2%15.8%-1.1%-122.7K32.5M-74.2K1.727.06N/AN/A6431,10367,46036,924
2008-11-19$12.62$14.3177.5%22.2%90.2%67.7%77.7%13.0%0.7%-143.0K34.4M-64.8K7.785.46N/AN/A5864,55767,66637,350
2008-11-20$11.59$14.3191.8%26.3%94.1%85.3%83.8%14.7%-4.3%-105.7K35.8M-58.2K0.379.55N/AN/A3,5131,29067,80239,891
2008-11-21$12.37$14.3180.1%23.0%96.9%71.0%82.9%16.4%-0.7%-371.4K36.7M-62.8K0.769.08N/AN/A2,4301,85868,11339,763
2008-11-24$13.31$14.3174.9%21.5%99.9%64.5%73.0%13.6%-1.7%-138.8K22.3M-70.4K0.446.57N/AN/A99744337,49429,141
2008-11-25$13.27$14.3171.7%20.5%90.7%60.6%70.4%15.2%0.6%-149.4K22.4M-69.3K0.687.16N/AN/A63943838,02029,267
2008-11-26$13.37$14.3166.8%19.1%90.7%54.5%69.2%13.1%2.2%-164.4K22.8M-67.5K0.836.35N/AN/A57747738,00729,337
2008-11-28$13.47$14.3158.5%16.8%87.8%44.3%64.2%12.1%3.8%-168.1K22.6M-66.7K0.496.78N/AN/A25412638,30829,541