ONEQ Options History — April 2007

In April 2007, ONEQ traded between $9.52 and $10.06. ATM implied volatility averaged 14.6%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.0% (HV 20d: 10.6%). Max pain ranged from $9.30 to $9.60. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.02.

Notable Days

  • 2007-04-23: Highest Volume — 3,320 contracts
  • 2007-04-27: Largest IV spike — 19.8% change
  • 2007-04-30: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.82$9.52$10.06$9.52$9.93
Max Pain$9.46$9.30$9.60$9.50$9.60
ATM IV14.6%12.8%17.1%14.6%17.1%
Expected Move4.3%3.7%4.9%4.2%4.9%
HV 20d10.6%8.2%13.6%13.6%9.8%
HV 60d14.0%13.6%14.3%14.2%13.9%
Term Structure0.7%-2.7%4.1%2.0%-2.7%
VWIV15.7%15.7%15.7%15.7%15.7%
Skew 25d1.9%-0.3%6.5%1.9%-0.3%
Skew 10d4.8%1.0%9.7%3.6%2.2%
Call IV 25d14.2%9.8%17.3%13.3%17.3%
Put IV 25d16.1%13.9%18.5%15.3%17.0%
Bid-Ask Spread %53.7222.21101.7629.74101.21
Gamma HHI0.170.100.440.100.15
Net GEX50.3K-544.0K720.5K-37.3K-544.0K
Net DEX-29.7M-34.8M-21.4M-21.4M-31.8M
Net VEX-74.4K-97.1K-53.9K-97.1K-57.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.250.000.00
Total Volume246.503,32010050
Total OI92,89886,64095,29094,09089,410

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$9.52$9.5014.6%4.2%13.6%0.0%0.0%1.9%2.0%-37.3K-21.4M-97.1K0.0029.74N/AN/A100050,70043,390
2007-04-03$9.63$9.5014.0%4.0%13.0%0.0%0.0%3.3%2.5%62.7K-24.5M-94.6K0.00101.76N/AN/A30050,80043,390
2007-04-04$9.65$9.5012.8%3.7%12.8%0.0%0.0%1.7%4.1%97.1K-25.0M-93.6K0.0079.44N/AN/A0050,80043,390
2007-04-05$9.70$9.5013.3%3.8%12.9%0.0%0.0%3.0%2.6%128.8K-26.8M-89.1K0.2531.70N/AN/A2005050,80043,390
2007-04-09$9.71$9.3013.1%4.5%12.9%0.0%0.0%1.5%0.1%95.1K-27.0M-85.4K0.0022.21N/AN/A0050,81043,440
2007-04-10$9.73$9.3013.2%4.5%12.8%0.0%0.0%0.7%-0.2%137.5K-27.8M-84.3K0.0023.45N/AN/A140050,81043,440
2007-04-11$9.65$9.3013.1%4.5%10.6%0.0%0.0%1.7%0.5%29.5K-25.6M-84.4K0.0030.14N/AN/A100050,95043,440
2007-04-12$9.74$9.3015.3%4.4%10.7%0.0%0.0%1.7%1.3%119.1K-27.3M-83.5K0.0037.81N/AN/A0051,05043,440
2007-04-13$9.79$9.3015.6%4.5%10.7%0.0%0.0%0.8%-0.5%166.9K-29.1M-78.6K0.0028.22N/AN/A600051,05043,440
2007-04-16$9.89$9.3016.1%4.6%10.7%0.0%0.0%0.2%-1.2%720.5K-33.0M-71.8K0.0042.11N/AN/A0051,65043,440
2007-04-17$9.89$9.3015.8%4.5%10.6%0.0%0.0%0.1%-1.1%700.2K-33.0M-70.8K0.0043.69N/AN/A20051,65043,440
2007-04-18$9.88$9.3015.7%4.5%10.5%0.0%15.7%0.1%-0.9%579.4K-32.1M-69.5K0.0043.80N/AN/A020051,65043,440
2007-04-19$9.84$9.6015.9%4.6%8.6%0.0%0.0%0.4%0.5%416.3K-31.4M-69.9K0.0062.73N/AN/A0051,65043,640
2007-04-20$9.93$9.6015.8%4.5%9.1%0.0%0.0%0.0%-1.3%719.0K-34.8M-61.5K0.0049.93N/AN/A60051,65043,640
2007-04-23$9.92$9.6015.9%4.5%9.1%0.0%0.0%0.3%-1.4%-423.6K-31.4M-61.4K0.0043.81N/AN/A03,32043,45043,190
2007-04-24$9.92$9.6013.9%4.0%9.1%0.0%0.0%2.6%2.7%-491.3K-30.7M-65.9K0.0074.42N/AN/A0043,45045,910
2007-04-25$10.01$9.6013.1%3.8%9.0%0.0%0.0%5.2%3.7%-485.5K-33.0M-59.8K0.0051.00N/AN/A40043,45045,910
2007-04-26$10.05$9.6013.0%3.7%8.3%0.0%0.0%6.5%3.5%-501.4K-34.3M-53.9K0.0085.96N/AN/A20043,49045,910
2007-04-27$10.06$9.6015.6%4.5%8.2%0.0%0.0%5.8%0.4%-483.2K-33.9M-54.9K0.0091.26N/AN/A0043,50045,910
2007-04-30$9.93$9.6017.1%4.9%9.8%0.0%0.0%-0.3%-2.7%-544.0K-31.8M-57.9K0.00101.21N/AN/A50043,50045,910