ONEQ Options History — March 2007

In March 2007, ONEQ traded between $9.21 and $9.64. ATM implied volatility averaged 17.3%. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.6% (HV 20d: 17.9%). Max pain ranged from $9.00 to $9.60. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.58.

Notable Days

  • 2007-03-22: Highest Volume — 3,960 contracts
  • 2007-03-13: Largest IV spike — 64.5% change
  • 2007-03-02: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.44$9.21$9.64$9.45$9.51
Max Pain$9.50$9.00$9.60$9.00$9.50
ATM IV17.3%13.4%26.2%18.7%14.8%
Expected Move4.7%3.8%6.5%5.4%4.2%
HV 20d17.9%14.2%20.4%15.9%14.2%
HV 60d14.9%14.5%15.3%14.7%14.5%
Term Structure0.5%-4.0%1.8%-1.4%1.6%
VWIV15.6%10.6%26.5%26.5%12.3%
Skew 25d2.7%1.1%8.4%5.3%1.8%
Skew 10d4.8%1.4%11.5%11.5%5.0%
Call IV 25d14.4%11.2%19.8%17.6%13.5%
Put IV 25d17.1%14.8%24.5%23.0%15.3%
Bid-Ask Spread %54.2220.35129.0358.6836.06
Gamma HHI0.140.090.240.120.10
Net GEX737.1K-16.5K2.1M1.2M-16.5K
Net DEX-34.1M-57.8M-16.9M-52.3M-21.2M
Net VEX-122.4K-169.9K-95.4K-168.0K-101.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.0022.501.511.11
Total Volume90503,9603,0100
Total OI151,699.09187,930207,640199,38094,090

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$9.45$9.0018.7%5.4%15.9%0.0%26.5%5.3%-1.4%1.2M-52.3M-168.0K1.5158.68N/AN/A1,2001,810117,71081,670
2007-03-02$9.30$9.0022.6%6.5%16.5%0.0%21.0%4.7%-4.0%1.2M-41.0M-169.9K7.8769.54N/AN/A1501,180119,01083,280
2007-03-05$9.21$9.6022.6%5.4%16.7%0.0%15.0%1.3%-0.0%1.2M-34.1M-162.3K4.3056.46N/AN/A200860119,01084,260
2007-03-06$9.37$9.6017.9%5.1%18.1%0.0%0.0%1.9%-0.0%1.1M-46.6M-150.7K0.0020.35N/AN/A2900119,11084,830
2007-03-07$9.34$9.6019.1%5.1%18.1%0.0%0.0%2.0%-0.5%1.0M-43.1M-147.6K0.0563.42N/AN/A75040119,40084,830
2007-03-08$9.38$9.6016.6%4.9%17.9%0.0%14.5%2.1%0.3%1.1M-48.9M-141.7K0.0037.88N/AN/A8300119,83084,830
2007-03-09$9.39$9.6015.7%4.8%18.0%0.0%15.7%1.1%0.2%1.1M-49.9M-136.3K0.1665.06N/AN/A1,280200120,03084,830
2007-03-12$9.44$9.6015.9%4.6%17.7%0.0%13.6%2.1%0.6%753.6K-57.8M-120.0K0.3426.98N/AN/A290100121,14085,030
2007-03-13$9.25$9.6026.2%5.2%19.0%0.0%14.5%1.5%0.4%1.5M-38.8M-134.2K0.00104.73N/AN/A0180121,37085,130
2007-03-14$9.32$9.6025.9%4.7%19.2%0.0%16.2%1.7%1.3%1.4M-44.3M-122.9K5.7683.77N/AN/A2101,210121,37085,190
2007-03-15$9.36$9.6015.9%4.5%18.7%0.0%0.0%1.6%1.1%1.9M-50.7M-119.1K0.0024.40N/AN/A1000121,58086,060
2007-03-16$9.31$9.6016.2%4.6%18.5%0.0%13.3%1.8%1.6%2.1M-16.9M-116.7K0.0076.01N/AN/A1,030089,92086,060
2007-03-19$9.39$9.5015.5%4.4%19.0%0.0%15.6%2.2%1.3%28.8K-18.9M-104.9K0.0623.01N/AN/A1601048,70039,230
2007-03-20$9.45$9.5014.7%4.2%19.0%0.0%13.3%2.4%1.0%35.8K-20.3M-101.9K0.6435.91N/AN/A78050048,78039,230
2007-03-21$9.64$9.5015.3%4.4%20.4%0.0%0.0%8.4%0.1%149.8K-24.7M-102.2K0.20129.03N/AN/A501049,46039,730
2007-03-22$9.63$9.5014.5%4.2%20.4%0.0%10.6%3.3%0.5%137.5K-25.2M-96.4K1.0221.46N/AN/A1,9602,00049,46039,740
2007-03-23$9.63$9.5013.4%3.8%20.4%0.0%12.3%3.4%1.8%122.0K-24.9M-98.0K0.0053.82N/AN/A70050,47041,740
2007-03-26$9.64$9.5014.3%4.1%20.3%0.0%0.0%4.1%1.0%143.2K-25.4M-95.4K2.4381.64N/AN/A14034050,48041,740
2007-03-27$9.58$9.5014.1%4.1%15.2%0.0%0.0%2.2%1.3%108.1K-23.9M-98.6K3.5775.88N/AN/A14050050,51041,880
2007-03-28$9.52$9.5015.5%4.4%15.5%0.0%0.0%2.1%0.9%31.6K-21.1M-102.7K22.5024.42N/AN/A4090050,54042,380
2007-03-29$9.50$9.5015.1%4.3%15.4%0.0%0.0%2.0%1.4%-3.7K-20.9M-102.8K1.1124.44N/AN/A19021050,56043,180
2007-03-30$9.51$9.5014.8%4.2%14.2%0.0%0.0%1.8%1.6%-16.5K-21.2M-101.2K0.0036.06N/AN/A0050,70043,390