ONEQ Options History — July 2007

In July 2007, ONEQ traded between $9.99 and $10.71. ATM implied volatility averaged 15.6%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.0% (HV 20d: 13.6%). Max pain ranged from $10.20 to $10.40. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.85.

Notable Days

  • 2007-07-16: Highest Volume — 7,810 contracts
  • 2007-07-24: Largest IV spike — 13.8% change
  • 2007-07-31: Highest IV Rank — 35.4%
  • 2007-07-31: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.43$9.99$10.71$10.34$9.99
Max Pain$10.36$10.20$10.40$10.20$10.40
ATM IV15.6%13.8%20.1%14.0%20.1%
Expected Move4.5%4.0%5.7%4.0%5.7%
HV 20d13.6%11.5%16.4%13.9%16.3%
HV 60d12.7%11.8%14.2%12.0%14.2%
IV Rank16.1%7.7%35.4%8.0%35.4%
IV Percentile64.8%25.0%95.8%29.4%95.8%
Term Structure1.4%0.2%2.5%1.4%0.2%
VWIV15.6%14.2%19.0%14.5%19.0%
Skew 25d2.5%0.4%6.0%1.4%4.3%
Skew 10d6.3%3.1%12.4%4.7%8.0%
Call IV 25d15.1%13.8%18.0%14.0%18.0%
Put IV 25d17.6%14.7%22.3%15.4%22.3%
Bid-Ask Spread %42.0916.2488.6636.9652.99
Gamma HHI0.140.120.160.150.13
Net GEX-744.6K-1.1M-246.4K-1.1M-809.8K
Net DEX-1.5M-9.2M4.3M2.4M4.2M
Net VEX-71.4K-100.7K-48.1K-62.3K-100.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.850.0026.550.000.00
Total Volume1,323.8107,810304,130
Total OI51,026.66744,45058,34044,45057,060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$10.34$10.2014.0%4.0%13.9%0.0%14.5%1.4%1.4%-1.1M2.4M-62.3K0.0036.96N/AN/A3007,60036,850
2007-07-03$10.38$10.2013.8%4.0%13.9%0.0%0.0%1.1%0.9%-1.1M1.4M-59.5K0.0055.65N/AN/A007,63036,850
2007-07-05$10.45$10.2014.1%4.0%13.8%8.0%14.2%0.4%0.9%-1.1M580.7K-55.7K0.0087.72N/AN/A5007,63036,850
2007-07-06$10.47$10.3014.3%4.3%11.8%9.3%0.0%1.5%2.5%-932.8K-184.5K-52.9K0.0027.79N/AN/A02507,66036,850
2007-07-09$10.49$10.3015.7%4.4%11.5%15.6%15.4%1.5%2.1%-866.3K-289.8K-52.5K1.3818.87N/AN/A801107,66037,100
2007-07-10$10.37$10.4016.0%4.5%12.4%16.8%0.0%2.2%2.1%-1.1M1.9M-58.8K0.0016.24N/AN/A5007,70037,180
2007-07-11$10.40$10.4016.1%4.4%11.8%17.1%0.0%1.9%2.4%-1.0M994.6K-55.6K0.0017.43N/AN/A007,65037,180
2007-07-12$10.61$10.4016.3%4.7%12.9%18.1%0.0%0.7%1.9%-739.6K-1.4M-48.1K4.0020.11N/AN/A1004007,65037,180
2007-07-13$10.63$10.4014.5%4.2%12.8%10.0%15.9%1.9%1.5%-734.4K-1.2M-48.8K0.1733.41N/AN/A5,0508507,71037,480
2007-07-16$10.60$10.4014.6%4.2%12.5%10.5%0.0%1.8%1.1%-629.8K-5.1M-60.4K0.4730.28N/AN/A5,3102,50012,71038,330
2007-07-17$10.65$10.4014.3%4.1%12.5%9.1%14.4%2.2%1.4%-302.2K-8.9M-73.0K0.0038.11N/AN/A180017,79040,430
2007-07-18$10.59$10.4014.6%4.2%12.7%10.3%0.0%2.7%1.4%-326.6K-8.2M-74.5K0.0035.66N/AN/A0017,88040,430
2007-07-19$10.71$10.4014.0%4.0%12.6%7.7%0.0%2.2%1.6%-246.4K-9.2M-71.0K0.0043.47N/AN/A40017,88040,430
2007-07-20$10.55$10.4014.9%4.3%13.8%11.8%15.8%2.5%1.6%-312.7K-7.6M-76.5K26.5541.34N/AN/A2005,31017,91040,430
2007-07-23$10.57$10.4014.7%4.2%13.0%10.8%15.4%6.0%2.1%-538.8K-4.2M-84.6K0.0088.66N/AN/A20016,74037,310
2007-07-24$10.37$10.4016.7%4.8%14.8%20.1%15.2%3.5%1.0%-690.8K-1.4M-89.5K0.0033.18N/AN/A20016,76037,310
2007-07-25$10.40$10.4016.3%4.7%14.8%18.0%0.0%3.6%1.1%-678.0K-1.9M-88.6K10.0040.03N/AN/A1010016,78037,310
2007-07-26$10.22$10.4017.1%4.9%15.7%22.1%16.1%3.0%0.6%-832.1K1.8M-92.5K0.1748.95N/AN/A3005016,79037,410
2007-07-27$10.09$10.4018.6%5.3%16.3%28.8%0.0%4.3%0.6%-858.4K4.3M-95.8K0.0054.94N/AN/A2,660016,99037,410
2007-07-30$10.13$10.4018.0%5.2%16.4%26.2%0.0%3.8%0.8%-773.0K1.2M-98.6K0.0062.18N/AN/A0019,65037,410
2007-07-31$9.99$10.4020.1%5.7%16.3%35.4%19.0%4.3%0.2%-809.8K4.2M-100.7K0.0052.99N/AN/A04,13019,65037,410