ONEQ Options History — August 2007

In August 2007, ONEQ traded between $9.64 and $10.26. ATM implied volatility averaged 22.1%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.7% (HV 20d: 20.4%). Max pain ranged from $10.20 to $10.40. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.92.

Notable Days

  • 2007-08-20: Highest Volume — 650 contracts
  • 2007-08-09: Largest IV spike — 38.1% change
  • 2007-08-15: Highest IV Rank — 83.1%
  • 2007-08-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.98$9.64$10.26$10.04$10.23
Max Pain$10.30$10.20$10.40$10.40$10.30
ATM IV22.1%16.7%30.4%28.1%20.5%
Expected Move6.2%5.1%8.1%8.1%5.9%
HV 20d20.4%16.4%23.5%16.4%21.8%
HV 60d16.3%14.2%18.1%14.2%17.9%
IV Rank44.8%19.9%83.1%72.6%37.3%
IV Percentile91.8%79.6%99.4%99.3%88.6%
Term Structure0.4%-4.4%3.3%0.5%3.0%
VWIV21.3%15.4%29.2%25.6%28.1%
Skew 25d7.2%1.7%26.5%26.5%4.9%
Skew 10d12.0%6.9%34.3%34.3%11.3%
Call IV 25d18.4%14.6%24.9%20.8%18.0%
Put IV 25d25.5%20.4%47.3%47.3%23.0%
Bid-Ask Spread %56.3320.47122.9487.6764.36
Gamma HHI0.140.130.150.140.15
Net GEX-727.8K-975.4K-521.0K-521.0K-765.9K
Net DEX3.3M-1.8M9.5M3.9M-1.8M
Net VEX-86.9K-97.2K-77.0K-97.2K-77.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0010.000.001.00
Total Volume2800650430200
Total OI55,551.73953,85057,49053,85057,490

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$10.04$10.4028.1%8.1%16.4%72.6%25.6%26.5%0.5%-521.0K3.9M-97.2K0.0087.67N/AN/A430019,65034,200
2007-08-02$10.12$10.2018.4%5.3%16.5%28.1%0.0%4.2%0.9%-598.8K533.7K-93.4K0.0039.32N/AN/A020020,08034,200
2007-08-03$9.87$10.2020.1%5.8%18.3%35.6%19.7%4.9%0.6%-676.4K4.9M-94.8K0.00102.30N/AN/A60020,08034,400
2007-08-06$10.00$10.3019.9%5.8%19.2%34.5%0.0%5.7%0.9%-672.0K3.1M-92.2K0.0022.64N/AN/A0020,04034,400
2007-08-07$10.08$10.3020.7%5.4%19.2%38.3%19.0%5.8%0.9%-677.2K1.7M-90.9K0.6787.38N/AN/A30020020,04034,400
2007-08-08$10.26$10.3016.7%5.2%20.3%19.9%15.4%5.6%1.1%-575.2K-1.8M-87.3K0.0049.19N/AN/A220020,04034,600
2007-08-09$10.07$10.3023.0%6.4%19.8%49.1%0.0%7.2%-0.7%-595.9K1.8M-92.0K3.0025.13N/AN/A10030020,26034,600
2007-08-10$10.00$10.3025.4%7.0%19.8%60.1%29.2%8.4%-0.1%-609.3K3.9M-92.8K10.0043.07N/AN/A2020020,36034,900
2007-08-13$10.02$10.3028.6%7.5%19.8%74.7%0.0%8.2%-4.4%-606.5K3.5M-90.7K0.0064.29N/AN/A0020,36034,900
2007-08-14$9.84$10.3025.0%6.5%20.3%58.1%0.0%6.5%-1.2%-737.9K6.6M-88.1K0.0023.95N/AN/A400020,26034,900
2007-08-15$9.66$10.3030.4%7.5%20.9%83.1%0.0%5.8%-2.2%-681.2K8.9M-87.3K0.0072.91N/AN/A0020,66034,790
2007-08-16$9.64$10.3026.3%7.5%20.1%64.3%22.4%8.8%-3.8%-641.4K9.5M-86.4K0.00122.94N/AN/A210020,66034,790
2007-08-17$9.82$10.3024.1%6.9%21.5%54.2%22.6%9.1%-0.2%-645.3K5.8M-88.5K0.3182.65N/AN/A32010020,85034,790
2007-08-20$9.86$10.3022.1%6.3%21.6%44.8%21.2%7.7%0.6%-811.0K5.9M-84.9K1.6030.86N/AN/A25040020,32034,590
2007-08-21$9.91$10.3020.1%5.7%20.9%35.4%19.2%1.7%1.7%-861.0K4.4M-85.3K0.1392.26N/AN/A2403020,57034,990
2007-08-22$10.03$10.3020.6%5.9%21.5%37.8%18.0%6.6%0.4%-800.6K2.6M-84.4K1.5046.23N/AN/A20030020,81034,960
2007-08-23$9.99$10.3018.6%5.3%20.6%28.9%19.6%5.9%1.6%-904.8K3.0M-82.7K1.4038.18N/AN/A25035020,91035,260
2007-08-24$10.13$10.3017.9%5.1%20.8%25.4%20.2%6.1%1.6%-827.1K-90.8K-81.9K1.6726.31N/AN/A9015021,16035,510
2007-08-27$10.07$10.3018.4%5.3%20.9%28.0%15.6%5.9%2.2%-875.8K949.5K-79.9K10.0034.24N/AN/A1010021,20035,560
2007-08-28$9.84$10.3021.8%6.2%21.9%43.4%0.0%7.4%1.7%-975.4K6.1M-81.0K0.0071.51N/AN/A010021,21035,660
2007-08-29$10.07$10.3020.3%5.8%23.5%36.5%23.9%6.3%3.3%-862.4K1.6M-80.0K2.5047.83N/AN/A14035021,21035,760
2007-08-30$10.10$10.3021.3%6.1%23.3%41.1%28.1%5.9%1.0%-817.2K963.9K-79.9K0.8320.47N/AN/A12010021,25036,060
2007-08-31$10.23$10.3020.5%5.9%21.8%37.3%0.0%4.9%3.0%-765.9K-1.8M-77.0K1.0064.36N/AN/A10010021,33036,160