ONEQ Options History — June 2007

In June 2007, ONEQ traded between $10.01 and $10.34. ATM implied volatility averaged 15.8%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.5% (HV 20d: 13.3%). Max pain ranged from $8.50 to $10.20. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 5.54.

Notable Days

  • 2007-06-28: Highest Volume — 5,100 contracts
  • 2007-06-13: Largest IV spike — 90.9% change
  • 2007-06-13: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.20$10.01$10.34$10.28$10.22
Max Pain$10.12$8.50$10.20$8.50$10.20
ATM IV15.8%13.3%34.1%14.6%14.6%
Expected Move4.3%3.8%6.2%4.2%4.2%
HV 20d13.3%12.5%14.3%12.5%13.2%
HV 60d11.6%11.4%12.0%11.6%11.8%
Term Structure1.2%-5.7%3.8%-0.8%1.5%
VWIV15.9%13.9%22.4%15.5%17.3%
Skew 25d2.9%0.2%11.4%0.2%2.7%
Skew 10d5.1%2.7%8.0%2.7%6.5%
Call IV 25d14.5%13.5%22.4%14.6%14.0%
Put IV 25d17.4%14.7%27.8%14.8%16.7%
Bid-Ask Spread %35.0213.90117.8622.4330.70
Gamma HHI0.150.130.170.160.15
Net GEX-1.2M-1.6M-928.1K-963.9K-1.3M
Net DEX-14.5M-38.2M5.4M-37.8M5.0M
Net VEX-64.3K-79.5K-56.3K-67.0K-68.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.540.0050.000.000.25
Total Volume534.28605,100120250
Total OI77,712.85738,450117,540113,93044,200

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$10.28$8.5014.6%4.2%12.5%0.0%15.5%0.2%-0.8%-963.9K-37.8M-67.0K0.0022.43N/AN/A120047,85066,080
2007-06-04$10.29$10.2015.0%4.0%12.5%0.0%0.0%1.7%2.3%-955.8K-38.2M-64.8K0.0017.88N/AN/A010047,85066,080
2007-06-05$10.27$10.2015.1%3.9%12.5%0.0%17.0%1.9%2.5%-1.0M-37.5M-65.3K0.0018.07N/AN/A02,56047,85066,180
2007-06-06$10.19$10.2014.8%4.1%12.8%0.0%13.9%2.7%2.1%-1.3M-34.7M-71.1K0.9313.90N/AN/A15014047,85068,680
2007-06-07$10.01$10.2016.5%4.7%14.3%0.0%15.2%3.8%1.2%-1.6M-27.9M-79.5K0.0018.00N/AN/A700047,86068,820
2007-06-08$10.11$10.2014.6%4.2%13.6%0.0%15.2%3.4%1.6%-1.4M-33.0M-73.1K0.0020.89N/AN/A057047,96068,820
2007-06-11$10.11$10.2015.8%4.2%13.2%0.0%17.7%3.0%1.7%-1.4M-33.2M-70.8K0.0024.20N/AN/A027047,96069,390
2007-06-12$10.02$10.2017.9%4.5%13.4%0.0%14.1%3.6%1.3%-1.6M-29.6M-73.6K0.0016.41N/AN/A40047,96069,580
2007-06-13$10.14$10.2034.1%6.2%13.6%0.0%22.4%5.4%-5.7%-1.3M-31.9M-70.9K0.00117.86N/AN/A170047,95069,580
2007-06-14$10.21$10.2014.2%4.1%13.4%0.0%14.1%2.1%3.8%-1.1M-37.9M-62.5K0.1867.69N/AN/A1102047,93069,580
2007-06-15$10.32$10.2013.8%4.0%13.8%0.0%0.0%1.9%2.9%-957.1K2.1M-59.2K0.0021.03N/AN/A0107,36069,600
2007-06-18$10.34$10.2013.9%4.0%13.7%0.0%17.1%1.0%1.2%-928.1K1.8M-56.3K0.0061.51N/AN/A0107,27031,180
2007-06-19$10.32$10.2013.5%3.9%13.5%0.0%14.4%1.1%1.4%-948.3K1.6M-56.5K0.0025.68N/AN/A0607,27031,190
2007-06-20$10.23$10.2014.7%4.2%13.9%0.0%0.0%2.1%1.4%-1.0M3.2M-59.5K0.0025.49N/AN/A007,27031,250
2007-06-21$10.28$10.2013.9%4.0%14.0%0.0%0.0%1.8%1.5%-999.8K2.3M-56.9K0.0025.62N/AN/A02007,27031,250
2007-06-22$10.16$10.2014.8%4.3%13.0%0.0%14.4%2.3%1.2%-1.1M3.8M-60.3K6.2518.96N/AN/A402507,27031,450
2007-06-25$10.11$10.2015.6%4.5%12.9%0.0%14.4%2.7%1.0%-1.2M4.7M-59.8K0.0016.70N/AN/A2007,30031,700
2007-06-26$10.11$10.2016.3%4.7%12.8%0.0%17.3%2.8%1.2%-1.2M5.4M-61.2K3.3320.18N/AN/A301007,31031,700
2007-06-27$10.25$10.2015.2%4.4%13.3%0.0%0.0%3.2%0.9%-1.1M3.6M-57.7K0.0046.70N/AN/A02007,31031,800
2007-06-28$10.26$10.2013.3%3.8%13.2%0.0%0.0%11.4%0.9%-1.1M3.1M-56.4K50.00105.60N/AN/A1005,0007,31031,900
2007-06-29$10.22$10.2014.6%4.2%13.2%0.0%0.0%2.7%1.5%-1.3M5.0M-68.4K0.2530.70N/AN/A200507,40036,800