A Options History — December 2008

In December 2008, A traded between $10.64 and $13.02. ATM implied volatility averaged 58.6%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 10.3% (HV 20d: 68.8%). Max pain ranged from $12.52 to $21.46. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-12-09: Highest Volume — 8,389 contracts
  • 2008-12-22: Largest IV spike — 15.0% change
  • 2008-12-01: Highest IV Rank — 66.1%
  • 2008-12-01: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.91$10.64$13.02$12.35$11.18
Max Pain$16.18$12.52$21.46$14.31$14.31
ATM IV58.6%47.8%76.2%76.2%48.1%
Expected Move16.8%13.7%21.8%21.8%13.8%
HV 20d68.8%37.5%92.1%92.1%41.4%
HV 60d82.1%80.3%83.7%82.6%80.9%
IV Rank44.5%31.2%66.1%66.1%31.6%
IV Percentile77.2%68.7%90.5%90.5%68.7%
Term Structure5.5%-2.7%9.7%-2.7%8.6%
VWIV59.3%47.9%77.2%77.2%47.9%
Skew 25d11.5%8.4%14.8%13.1%8.4%
Skew 10d23.8%16.2%31.9%30.3%16.9%
Call IV 25d54.3%42.7%72.7%72.7%42.7%
Put IV 25d65.9%51.1%85.9%85.9%51.1%
Bid-Ask Spread %3.351.045.204.691.04
Gamma HHI0.290.210.430.360.38
Net GEX-68.7K-181.1K52.9K-164.5K-73.9K
Net DEX17.2M13.1M23.4M23.4M13.1M
Net VEX-55.2K-81.0K-34.4K-58.2K-42.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.073.031.390.34
Total Volume2,837.0912798,3892,5252,269
Total OI78,41867,81987,88967,81977,257

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$12.35$14.3176.2%21.8%92.1%66.1%77.2%13.1%-2.7%-164.5K23.4M-58.2K1.394.69N/AN/A1,0581,46738,46729,352
2008-12-02$12.62$14.3172.6%20.8%91.2%61.8%74.9%14.8%-2.1%-169.1K22.8M-59.4K1.494.11N/AN/A63394439,25029,625
2008-12-03$13.02$14.3168.6%19.7%87.7%56.8%69.9%12.3%1.2%-181.1K21.4M-60.9K0.074.54N/AN/A7,38648939,50229,055
2008-12-04$12.53$12.5268.9%19.8%86.7%57.2%68.2%12.5%1.0%-112.7K18.8M-66.4K0.224.19N/AN/A59112946,62327,518
2008-12-05$12.35$21.4665.3%19.4%82.9%52.7%74.2%12.1%2.7%-125.3K19.2M-62.9K0.645.09N/AN/A1,6441,05346,96927,274
2008-12-08$12.33$21.4666.4%18.7%82.3%54.1%69.1%11.8%2.9%-142.2K19.2M-59.7K1.523.95N/AN/A51978848,31526,965
2008-12-09$12.83$21.4666.3%19.0%84.2%53.9%66.1%10.9%2.7%-123.0K17.2M-64.3K0.103.17N/AN/A7,61977048,63426,826
2008-12-10$13.01$21.4660.7%17.8%84.0%47.1%60.2%11.3%4.7%-28.2K14.0M-76.0K0.623.34N/AN/A3,2942,03355,43826,682
2008-12-11$12.97$17.8862.2%17.8%79.8%48.9%61.5%11.3%5.4%-2.2K13.4M-81.0K0.793.96N/AN/A1,03381258,01328,335
2008-12-12$12.44$17.8860.1%17.2%74.5%46.4%61.0%11.1%6.5%-60.6K16.0M-72.2K0.482.66N/AN/A2,1281,03258,64628,119
2008-12-15$11.79$17.8860.9%17.5%76.2%47.3%59.6%13.3%5.3%-65.1K18.3M-62.3K0.583.79N/AN/A1,16067459,59528,294
2008-12-16$11.67$16.0955.3%15.9%71.5%40.5%55.5%12.7%8.0%-63.9K19.1M-55.6K0.514.34N/AN/A94948759,48927,676
2008-12-17$11.68$16.0952.8%15.1%71.6%37.4%55.5%11.9%8.1%-37.9K17.8M-54.1K3.035.20N/AN/A1,3804,17459,96626,372
2008-12-18$11.65$14.3150.9%14.6%67.1%35.0%53.8%11.8%9.0%52.9K17.4M-52.3K0.843.11N/AN/A75162860,62125,952
2008-12-19$11.65$14.3147.8%13.7%59.8%31.2%53.0%11.4%9.7%40.1K17.3M-49.5K0.582.80N/AN/A1,18067960,80725,470
2008-12-22$11.31$14.3154.9%15.8%55.5%40.0%51.9%11.5%7.0%6.4K14.6M-42.9K0.853.60N/AN/A1,14997452,92021,120
2008-12-23$11.17$14.3151.7%14.8%47.2%36.0%51.2%9.5%7.8%-24.6K15.1M-38.4K2.012.19N/AN/A1,7153,44052,91821,169
2008-12-24$11.14$14.3149.9%14.3%47.2%33.8%48.7%9.4%9.4%-35.2K14.8M-44.1K0.801.94N/AN/A15512454,14922,702
2008-12-26$11.05$14.3149.0%14.0%46.8%32.7%48.7%11.3%9.5%-48.3K15.2M-40.9K0.431.82N/AN/A35415454,21722,674
2008-12-29$10.72$14.3151.1%14.7%46.9%35.3%48.4%11.5%7.5%-64.0K15.8M-36.8K0.892.19N/AN/A49343854,25422,649
2008-12-30$10.64$14.3148.5%13.9%37.5%32.1%48.5%9.9%7.7%-89.6K14.3M-34.4K1.141.97N/AN/A1,7141,95354,17821,139
2008-12-31$11.18$14.3148.1%13.8%41.4%31.6%47.9%8.4%8.6%-73.9K13.1M-42.2K0.341.04N/AN/A1,69357655,16222,095