ONEQ Options History — September 2007

In September 2007, ONEQ traded between $10.09 and $10.64. ATM implied volatility averaged 21.1%, placing in the 40.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.0% (HV 20d: 19.1%). Max pain ranged from $10.00 to $10.40. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 20.20.

Notable Days

  • 2007-09-07: Highest Volume — 3,060 contracts
  • 2007-09-24: Largest IV spike — 37.6% change
  • 2007-09-17: Highest IV Rank — 58.4%
  • 2007-09-07: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.36$10.09$10.64$10.35$10.60
Max Pain$10.27$10.00$10.40$10.30$10.40
ATM IV21.1%16.2%25.0%20.3%17.4%
Expected Move6.2%4.6%7.6%5.8%5.0%
HV 20d19.1%14.5%21.8%21.7%14.7%
HV 60d18.3%17.9%18.7%17.9%18.4%
IV Rank40.5%17.8%58.4%36.8%23.2%
IV Percentile84.9%63.9%94.9%88.1%70.4%
Term Structure0.2%-10.3%4.0%2.2%1.3%
VWIV21.9%17.4%31.2%19.6%22.1%
Skew 25d6.9%3.8%22.1%5.8%6.0%
Skew 10d10.2%5.0%25.4%9.6%12.7%
Call IV 25d19.8%15.6%24.3%17.4%15.8%
Put IV 25d26.7%19.7%38.4%23.1%21.8%
Bid-Ask Spread %41.4610.32123.8938.2038.51
Gamma HHI0.180.130.320.170.13
Net GEX-533.8K-1.1M16.8K-583.4K5.6K
Net DEX-4.4M-10.2M1.5M-5.2M-7.3M
Net VEX-63.2K-76.9K-48.6K-71.4K-48.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.200.00158.0025.004.60
Total Volume496.84203,0602,600280
Total OI52,351.05331,26060,83057,69031,430

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$10.35$10.3020.3%5.8%21.7%36.8%19.6%5.8%2.2%-583.4K-5.2M-71.4K25.0038.20N/AN/A1002,50021,43036,260
2007-09-05$10.27$10.3020.9%6.0%21.8%39.5%22.9%5.9%3.5%-829.9K-2.0M-76.1K158.0039.27N/AN/A101,58021,48038,760
2007-09-06$10.28$10.3020.4%5.8%20.9%36.9%0.0%5.4%3.6%-719.6K-3.5M-73.0K0.0049.67N/AN/A800021,49037,640
2007-09-07$10.09$10.0023.0%7.6%20.9%48.9%31.2%7.4%-2.0%-892.9K551.4K-76.9K29.6010.32N/AN/A1002,96022,29037,640
2007-09-10$10.09$10.0023.6%7.6%20.7%51.6%0.0%8.1%-1.8%-982.7K1.5M-75.4K0.0015.14N/AN/A0022,39038,050
2007-09-11$10.21$10.0022.4%7.2%21.1%46.2%0.0%6.7%-1.1%-897.8K-1.9M-72.5K0.0016.78N/AN/A0022,39038,050
2007-09-12$10.19$10.0022.1%7.1%19.9%45.1%0.0%7.2%-1.1%-889.2K-2.0M-70.2K0.0017.86N/AN/A0022,39038,050
2007-09-13$10.23$10.0024.9%7.1%18.6%57.9%23.1%6.9%-0.9%-953.0K-2.4M-69.2K0.0020.27N/AN/A010022,39038,050
2007-09-14$10.24$10.4024.6%7.1%18.5%56.6%0.0%6.5%-1.1%-920.4K-2.7M-67.9K0.0018.44N/AN/A100022,39038,150
2007-09-17$10.17$10.4025.0%7.2%17.8%58.4%0.0%7.2%-1.1%-1.1M-616.2K-65.6K0.0021.65N/AN/A0022,29038,150
2007-09-18$10.43$10.4022.3%6.4%19.7%45.6%0.0%7.7%1.2%-592.7K-6.6M-61.4K0.0091.32N/AN/A0022,29038,150
2007-09-19$10.48$10.4020.2%5.8%19.7%36.0%21.5%4.1%0.5%-187.4K-10.2M-56.3K0.0033.83N/AN/A560022,29038,150
2007-09-20$10.45$10.3020.9%6.0%19.5%39.2%18.6%5.7%1.6%-562.9K-9.2M-57.2K0.0053.45N/AN/A010022,68038,150
2007-09-21$10.49$10.4018.2%5.2%19.4%26.9%0.0%5.7%4.0%-1.4K-6.2M-55.3K0.0041.46N/AN/A40018,38038,250
2007-09-24$10.48$10.4025.0%7.2%18.9%58.3%0.0%22.1%-10.3%-49.5K-5.0M-54.9K0.00123.89N/AN/A0014,88016,380
2007-09-25$10.52$10.4016.2%4.6%18.7%17.8%0.0%3.9%1.8%-2.1K-6.6M-51.2K0.0073.89N/AN/A40014,88016,380
2007-09-26$10.60$10.4016.9%4.8%16.2%21.0%17.4%3.8%1.5%11.3K-7.2M-49.5K0.0046.52N/AN/A50014,92016,380
2007-09-27$10.64$10.4017.3%5.0%14.5%23.0%20.3%5.8%1.5%16.8K-7.5M-48.7K5.0037.28N/AN/A2010014,97016,380
2007-09-28$10.60$10.4017.4%5.0%14.7%23.2%22.1%6.0%1.3%5.6K-7.3M-48.6K4.6038.51N/AN/A5023014,95016,480