ONEQ Options History — May 2007

In May 2007, ONEQ traded between $9.92 and $10.23. ATM implied volatility averaged 15.7%. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.6% (HV 20d: 11.1%). Max pain ranged from $8.50 to $9.60. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 10.42.

Notable Days

  • 2007-05-22: Highest Volume — 13,750 contracts
  • 2007-05-30: Largest IV spike — 77.8% change
  • 2007-05-30: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.07$9.92$10.23$9.94$10.23
Max Pain$8.68$8.50$9.60$9.60$8.60
ATM IV15.7%12.8%26.0%18.4%14.7%
Expected Move4.4%3.8%7.4%5.3%4.2%
HV 20d11.1%9.0%13.4%9.8%12.4%
HV 60d13.6%11.6%14.4%13.9%11.6%
Term Structure0.0%-8.7%2.2%-3.8%-0.5%
VWIV16.2%13.3%25.7%22.5%15.6%
Skew 25d1.9%-1.8%4.0%-0.7%0.4%
Skew 10d4.9%-0.7%9.2%3.9%3.7%
Call IV 25d15.1%13.3%30.4%18.8%14.9%
Put IV 25d17.0%14.7%28.6%18.1%15.2%
Bid-Ask Spread %52.6921.12122.84102.8121.12
Gamma HHI0.150.110.180.140.14
Net GEX-752.2K-1.3M-488.9K-491.6K-1.2M
Net DEX-34.0M-36.7M-29.3M-31.5M-36.6M
Net VEX-57.3K-84.7K-44.8K-60.5K-72.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.420.0063.001.000.05
Total Volume1,627.727013,7501,090100
Total OI98,309.54589,460117,24089,460117,240

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$9.94$9.6018.4%5.3%9.8%0.0%22.5%-0.7%-3.8%-491.6K-31.5M-60.5K0.00102.81N/AN/A01,09043,55045,910
2007-05-02$10.06$9.6018.3%5.3%9.8%0.0%0.0%4.0%-5.1%-519.8K-33.5M-54.3K1.00109.56N/AN/A606043,55046,910
2007-05-03$10.08$9.6017.6%5.0%9.8%0.0%0.0%3.7%-1.4%-528.7K-34.9M-48.4K6.00102.88N/AN/A5030043,58046,970
2007-05-04$10.10$8.5017.1%4.1%9.8%0.0%0.0%2.0%1.4%-501.8K-35.3M-48.2K0.0067.84N/AN/A0043,63047,060
2007-05-07$10.10$8.5019.1%4.1%9.8%0.0%0.0%1.7%1.4%-524.6K-35.3M-46.8K0.0073.41N/AN/A240043,63047,060
2007-05-08$10.10$8.5012.8%4.0%9.8%0.0%0.0%1.9%1.5%-489.9K-35.5M-47.0K0.0051.04N/AN/A010043,87047,060
2007-05-09$10.12$8.5018.1%4.0%9.0%0.0%0.0%2.7%1.5%-488.9K-36.2M-45.7K0.0076.11N/AN/A0043,87047,160
2007-05-10$9.97$8.5014.6%4.2%10.6%0.0%0.0%2.9%1.5%-585.1K-32.4M-52.3K0.0029.68N/AN/A0043,87047,160
2007-05-11$10.06$8.5013.7%3.9%11.0%0.0%14.9%1.8%1.8%-521.9K-35.4M-44.8K0.0029.43N/AN/A01043,87047,160
2007-05-14$10.01$8.5014.7%4.2%10.7%0.0%15.8%2.4%1.7%-558.0K-33.9M-46.6K2.8631.49N/AN/A4301,23043,87047,170
2007-05-15$9.92$8.5014.7%4.2%11.3%0.0%15.3%2.9%1.8%-627.5K-32.2M-52.0K0.8026.20N/AN/A1008044,30047,970
2007-05-16$10.01$8.5014.0%4.0%11.7%0.0%13.8%2.1%1.6%-584.9K-34.4M-47.5K40.0032.29N/AN/A1305,20044,40047,970
2007-05-17$9.99$8.5014.1%4.1%11.6%0.0%0.0%2.5%1.6%-763.2K-32.4M-57.7K0.0028.95N/AN/A01,20044,49053,230
2007-05-18$10.04$8.5014.2%4.1%11.3%0.0%14.7%2.3%2.2%-743.8K-33.7M-56.0K0.0054.33N/AN/A120044,49054,430
2007-05-21$10.13$8.5013.3%3.8%11.6%0.0%13.3%1.5%1.5%-638.6K-36.7M-48.9K2.3332.51N/AN/A36084044,60052,430
2007-05-22$10.17$8.5013.7%3.9%11.6%0.0%15.1%1.1%-0.1%-635.0K-36.6M-50.8K2.7343.13N/AN/A3,69010,06044,94053,270
2007-05-23$10.15$8.6014.2%4.1%11.3%0.0%14.2%1.6%-0.4%-1.1M-34.7M-70.0K0.8541.19N/AN/A40034047,93061,950
2007-05-24$9.97$8.6014.6%4.2%13.0%0.0%15.4%2.9%0.5%-1.3M-29.3M-78.1K1.9728.68N/AN/A32063047,93062,290
2007-05-25$10.05$8.6013.6%3.9%13.4%0.0%14.2%2.0%0.8%-1.2M-32.3M-73.6K24.2525.73N/AN/A2004,85048,22062,510
2007-05-29$10.11$8.6014.6%4.2%12.7%0.0%0.0%1.6%0.2%-1.3M-33.4M-75.1K63.0027.89N/AN/A503,15048,23065,840
2007-05-30$10.19$8.6026.0%7.4%12.9%0.0%25.7%-1.8%-8.7%-1.2M-30.6M-84.7K0.05122.84N/AN/A4002048,25068,990
2007-05-31$10.23$8.6014.7%4.2%12.4%0.0%15.6%0.4%-0.5%-1.2M-36.6M-72.0K0.0021.12N/AN/A010048,25068,990