ONEQ Options History — January 2007

In January 2007, ONEQ traded between $9.52 and $9.84. ATM implied volatility averaged 14.8%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.4% (HV 20d: 13.4%). Max pain ranged from $9.60 to $9.80. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2007-01-23: Highest Volume — 12,020 contracts
  • 2007-01-04: Largest IV drop — 9.0% change
  • 2007-01-08: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.64$9.52$9.84$9.52$9.68
Max Pain$9.76$9.60$9.80$9.70$9.80
ATM IV14.8%13.5%15.6%14.8%14.5%
Expected Move4.3%3.9%4.6%4.2%4.2%
HV 20d13.4%12.8%14.2%14.2%12.8%
Term Structure0.5%-0.0%1.4%0.8%0.2%
VWIV14.5%13.1%15.6%14.4%14.0%
Skew 25d2.3%1.3%4.1%2.6%2.3%
Skew 10d2.8%2.2%3.7%3.3%3.0%
Call IV 25d13.9%12.6%14.8%13.1%13.4%
Put IV 25d16.1%14.6%17.5%15.8%15.7%
Bid-Ask Spread %23.518.98116.9033.8125.40
Gamma HHI0.210.130.360.130.28
Net GEX798.5K-1.8M3.3M-234.8K1.4M
Net DEX-64.7M-79.5M-53.0M-53.0M-70.3M
Net VEX-189.8K-219.5K-167.7K-219.5K-177.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.007.660.000.00
Total Volume2,2833012,0201003,430
Total OI191,541174,260204,010187,870196,490

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$9.52$9.7014.8%4.2%0.0%0.0%0.0%2.6%0.8%-234.8K-53.0M-219.5K0.0033.81N/AN/A1000107,53080,340
2007-01-04$9.65$9.7013.5%3.9%0.0%0.0%0.0%2.1%1.4%265.2K-62.3M-204.1K0.0017.22N/AN/A01,500107,63080,340
2007-01-05$9.57$9.8014.1%4.5%0.0%0.0%14.4%2.4%0.7%-273.0K-54.5M-216.2K0.008.98N/AN/A6400107,63081,700
2007-01-08$9.59$9.8014.6%4.6%0.0%0.0%14.9%2.3%0.6%-247.1K-56.4M-208.4K0.009.73N/AN/A4,6500107,99081,700
2007-01-09$9.62$9.8014.4%4.5%0.0%0.0%0.0%2.1%0.4%31.3K-59.4M-207.4K0.0011.75N/AN/A01,300111,84081,200
2007-01-10$9.66$9.8015.4%4.4%0.0%0.0%15.6%4.1%0.8%506.3K-60.8M-210.5K0.00116.90N/AN/A2500111,84082,400
2007-01-11$9.77$9.6014.8%4.2%0.0%0.0%15.2%1.8%0.6%1.5M-71.9M-185.7K0.0036.51N/AN/A1300112,09082,400
2007-01-12$9.84$9.6014.8%4.2%0.0%0.0%14.5%1.3%0.7%2.7M-79.5M-171.3K0.0415.00N/AN/A2,800120112,14082,400
2007-01-16$9.82$9.8015.0%4.3%0.0%0.0%0.0%1.6%0.6%3.3M-79.5M-167.7K0.0018.96N/AN/A300114,80082,500
2007-01-17$9.75$9.8015.0%4.3%0.0%0.0%14.7%2.0%0.4%1.5M-72.9M-168.3K0.6016.76N/AN/A4,0002,400114,81082,500
2007-01-18$9.61$9.8015.6%4.5%0.0%0.0%14.9%2.5%-0.0%-1.8M-60.3M-189.1K0.0016.14N/AN/A5500118,81084,800
2007-01-19$9.63$9.7014.7%4.2%0.0%0.0%13.4%2.4%0.5%-1.4M-64.3M-178.2K0.3314.97N/AN/A300100119,21084,800
2007-01-22$9.56$9.7015.0%4.3%0.0%0.0%0.0%2.2%0.6%1.3M-62.9M-181.5K0.1216.45N/AN/A860100105,77068,490
2007-01-23$9.56$9.7014.6%4.2%0.0%0.0%14.3%2.3%0.5%1.3M-62.8M-179.7K1.2817.04N/AN/A5,2806,740106,19068,590
2007-01-24$9.69$9.8014.1%4.0%0.0%0.0%13.1%2.3%0.6%1.3M-70.5M-177.3K0.0020.48N/AN/A5800111,47075,330
2007-01-25$9.56$9.8015.1%4.3%14.2%0.0%15.0%2.4%0.3%1.1M-61.7M-191.2K1.5117.74N/AN/A1,2001,810111,97075,330
2007-01-26$9.58$9.8014.5%4.2%13.8%0.0%0.0%2.2%0.8%1.1M-61.6M-189.3K0.6717.82N/AN/A1,5001,000113,17076,730
2007-01-29$9.58$9.8015.5%4.4%13.3%0.0%0.0%2.0%0.2%1.2M-64.0M-185.7K7.6619.51N/AN/A3802,910114,67077,730
2007-01-30$9.62$9.8015.5%4.4%13.0%0.0%0.0%2.1%0.0%1.2M-65.1M-186.9K0.0019.06N/AN/A1,0000114,94080,550
2007-01-31$9.68$9.8014.5%4.2%12.8%0.0%14.0%2.3%0.2%1.4M-70.3M-177.8K0.0025.40N/AN/A3,4300115,94080,550