ONEQ Options History — October 2007

In October 2007, ONEQ traded between $10.70 and $11.20. ATM implied volatility averaged 18.9%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.0% (HV 20d: 14.8%). Max pain ranged from $10.40 to $11.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.64.

Notable Days

  • 2007-10-24: Highest Volume — 1,500 contracts
  • 2007-10-11: Largest IV spike — 25.9% change
  • 2007-10-30: Highest IV Rank — 47.8%
  • 2007-10-30: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.91$10.70$11.20$10.76$11.20
Max Pain$10.74$10.40$11.00$10.40$11.00
ATM IV18.9%14.8%22.7%16.6%19.2%
Expected Move5.5%4.6%6.5%4.8%5.5%
HV 20d14.8%11.8%18.4%14.8%18.0%
HV 60d18.4%17.9%18.9%18.6%18.0%
IV Rank30.1%11.3%47.8%19.5%31.5%
IV Percentile74.2%41.4%91.3%65.2%76.6%
Term Structure1.3%-0.3%2.4%2.0%1.4%
VWIV22.0%20.0%27.7%20.4%20.3%
Skew 25d3.7%-1.8%6.5%5.1%3.3%
Skew 10d6.7%1.4%9.7%9.7%6.8%
Call IV 25d17.8%14.6%22.1%15.8%19.2%
Put IV 25d21.5%15.9%26.0%21.0%22.6%
Bid-Ask Spread %36.1615.35124.6053.4443.11
Gamma HHI0.130.110.140.130.11
Net GEX83.1K32.3K122.1K32.3K69.7K
Net DEX-10.1M-12.7M-8.3M-8.7M-12.7M
Net VEX-38.2K-45.8K-29.1K-45.0K-29.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.007.601.000.11
Total Volume209.56501,5000300
Total OI31,423.91328,63032,79031,69031,210

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$10.76$10.4016.6%4.8%14.8%19.5%0.0%5.1%2.0%32.3K-8.7M-45.0K0.0053.44N/AN/A0015,00016,690
2007-10-02$10.78$10.4016.4%4.7%14.4%18.6%0.0%3.2%1.7%39.6K-8.9M-44.4K0.0036.60N/AN/A020015,00016,690
2007-10-03$10.72$10.4016.1%4.6%14.3%17.1%0.0%3.7%2.4%36.0K-8.3M-45.8K1.0074.97N/AN/A10010015,00016,890
2007-10-04$10.73$10.4016.7%4.8%14.3%20.0%0.0%3.8%1.7%45.4K-8.7M-44.9K0.0045.21N/AN/A0015,10016,990
2007-10-05$10.90$10.8014.8%4.8%12.8%11.3%0.0%2.2%1.3%74.6K-10.4M-39.7K0.0018.35N/AN/A04015,10016,990
2007-10-08$10.94$10.8016.3%4.9%12.7%18.1%0.0%2.1%1.3%107.6K-10.6M-38.1K0.0015.35N/AN/A0015,10017,020
2007-10-09$11.00$10.8016.1%4.8%12.4%17.1%0.0%2.2%1.4%107.9K-11.3M-36.3K0.8319.49N/AN/A12010015,10017,020
2007-10-10$11.04$10.8015.1%4.7%12.2%12.9%0.0%2.4%2.4%122.1K-11.4M-36.4K0.0021.25N/AN/A0015,22017,120
2007-10-11$10.88$10.8019.1%5.5%13.8%30.9%0.0%-1.8%0.8%48.1K-10.3M-37.4K0.00124.60N/AN/A013015,22017,120
2007-10-12$10.99$10.8018.3%5.2%13.9%27.2%0.0%3.5%1.3%93.0K-11.1M-36.8K2.0053.41N/AN/A5010015,22017,250
2007-10-15$10.88$10.8020.0%5.7%14.3%35.1%20.4%4.4%1.0%87.1K-10.2M-38.3K0.0015.82N/AN/A016015,17017,350
2007-10-16$10.85$10.8020.0%5.7%11.8%35.3%0.0%4.6%0.9%82.0K-9.7M-39.4K0.0019.21N/AN/A10015,17017,510
2007-10-17$10.95$10.8019.0%5.4%12.0%30.7%0.0%3.9%1.5%83.1K-10.7M-36.4K0.0018.44N/AN/A010015,18017,510
2007-10-18$10.99$10.8018.3%5.3%11.8%27.6%0.0%3.8%2.2%81.4K-10.8M-36.2K0.0021.95N/AN/A0015,18017,610
2007-10-19$10.70$10.8021.9%6.3%15.8%44.1%21.2%6.5%0.5%39.5K-8.4M-41.0K0.0029.51N/AN/A08015,18017,610
2007-10-22$10.81$10.8021.5%6.2%16.1%42.1%20.0%4.5%0.4%111.4K-9.1M-38.0K2.2016.59N/AN/A10022014,87013,760
2007-10-23$10.98$10.8020.1%5.8%16.9%35.5%20.6%4.0%0.7%113.7K-10.5M-35.4K0.3618.03N/AN/A1405014,97013,960
2007-10-24$10.85$10.8022.1%6.3%17.5%44.9%27.7%6.1%0.6%119.0K-9.4M-38.1K0.6727.81N/AN/A90060015,11013,980
2007-10-25$10.81$10.8021.8%6.2%17.6%43.3%0.0%5.3%1.9%109.2K-9.3M-39.1K0.0035.80N/AN/A03015,46014,530
2007-10-26$11.00$10.8020.9%6.0%18.4%39.5%20.9%4.0%1.3%112.5K-10.6M-36.4K0.0051.80N/AN/A020015,46014,560
2007-10-29$11.04$10.8021.6%6.2%17.8%42.6%22.2%4.2%1.8%101.2K-11.2M-33.9K1.6049.67N/AN/A508015,46014,760
2007-10-30$11.06$10.9022.7%6.5%17.8%47.8%24.6%3.9%-0.3%95.0K-11.1M-33.6K7.6021.17N/AN/A10076015,51014,840
2007-10-31$11.20$11.0019.2%5.5%18.0%31.5%20.3%3.3%1.4%69.7K-12.7M-29.1K0.1143.11N/AN/A2703015,61015,600