ONEQ Options History — November 2007

In November 2007, ONEQ traded between $9.98 and $11.09. ATM implied volatility averaged 26.0%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.6% (HV 20d: 24.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2007-11-13: Highest Volume — 700 contracts
  • 2007-11-07: Largest IV spike — 23.2% change
  • 2007-11-12: Highest IV Rank — 93.3%
  • 2007-11-26: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.45$9.98$11.09$10.97$10.42
Max Pain$10.10$10.00$11.00$11.00$10.00
ATM IV26.0%19.5%32.7%22.7%24.6%
Expected Move7.4%6.0%8.8%6.5%7.1%
HV 20d24.5%19.2%28.5%19.9%27.4%
HV 60d19.8%17.8%21.1%18.3%21.1%
IV Rank62.9%32.8%93.3%47.4%56.3%
IV Percentile93.1%75.6%99.5%91.0%88.3%
Term Structure0.3%-1.5%4.4%0.1%1.1%
VWIV25.8%20.4%29.1%24.9%28.7%
Skew 25d6.4%4.0%9.3%4.5%4.0%
Skew 10d10.7%2.8%17.1%7.1%2.8%
Call IV 25d22.9%19.3%28.2%21.4%22.5%
Put IV 25d29.2%23.6%33.9%25.8%26.4%
Bid-Ask Spread %29.196.3970.1924.2260.48
Gamma HHI0.130.110.150.110.15
Net GEX101.5K23.0K239.3K56.2K239.3K
Net DEX-6.1M-11.7M-1.2M-10.4M-8.2M
Net VEX-35.8K-41.6K-28.5K-35.4K-28.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.005.000.000.00
Total Volume223.33307000100
Total OI31,368.57130,32032,36031,26031,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$10.97$11.0022.7%6.5%19.9%47.4%0.0%4.5%0.1%56.2K-10.4M-35.4K0.0024.22N/AN/A0015,67015,590
2007-11-02$11.03$11.0021.0%6.0%19.2%39.9%0.0%4.3%1.4%59.0K-11.0M-33.1K0.0034.74N/AN/A03015,67015,590
2007-11-05$10.97$10.0022.1%6.6%19.2%44.8%24.9%5.4%0.9%52.6K-10.4M-34.1K0.0014.06N/AN/A01015,67015,620
2007-11-06$11.09$10.0019.5%6.0%19.5%32.8%20.4%4.3%1.9%63.4K-11.7M-29.9K0.0015.54N/AN/A20015,67015,630
2007-11-07$10.80$10.0024.0%6.7%21.6%53.6%0.0%6.5%0.9%49.1K-9.0M-35.6K0.0011.39N/AN/A010015,69015,630
2007-11-08$10.58$10.0024.1%7.4%22.2%53.9%25.4%9.3%-0.1%39.1K-6.2M-39.2K0.3848.79N/AN/A2409015,69015,580
2007-11-09$10.32$10.0028.5%8.1%23.3%74.1%26.1%8.2%-0.7%41.6K-3.8M-41.6K0.8512.88N/AN/A20017015,93015,620
2007-11-12$10.16$10.0032.7%8.4%23.6%93.3%25.6%9.0%-1.4%23.0K-2.0M-41.2K1.2521.24N/AN/A8010016,11015,760
2007-11-13$10.49$10.0028.4%7.4%26.8%73.7%0.0%7.9%-0.2%55.0K-5.9M-38.4K2.508.96N/AN/A20050016,11015,860
2007-11-14$10.37$10.0029.3%7.8%26.7%77.8%0.0%7.8%-0.4%59.2K-4.9M-38.9K0.006.39N/AN/A046016,31015,960
2007-11-15$10.29$10.0028.2%8.1%26.7%72.9%0.0%9.2%-0.1%37.4K-4.1M-39.5K0.5022.07N/AN/A40020016,31015,500
2007-11-16$10.42$10.0024.2%6.9%25.7%54.6%0.0%6.5%4.4%93.8K-5.6M-37.6K0.0070.19N/AN/A0016,71015,650
2007-11-19$10.19$10.0026.6%7.6%26.4%65.5%29.1%7.2%0.1%147.1K-3.8M-37.8K2.5027.29N/AN/A20050016,16014,160
2007-11-20$10.17$10.0026.7%7.7%25.5%66.1%27.7%5.8%0.3%149.6K-4.2M-37.6K0.0028.25N/AN/A320016,36014,660
2007-11-21$10.06$10.0026.9%7.7%25.4%66.7%24.9%6.3%0.3%131.6K-2.4M-37.6K0.2941.69N/AN/A1404016,48014,660
2007-11-23$10.19$10.0028.0%8.0%26.0%71.9%25.5%5.2%-0.6%148.7K-3.9M-36.8K0.0055.94N/AN/A140016,58014,660
2007-11-26$9.98$10.0030.7%8.8%25.7%84.3%0.0%5.0%-1.5%105.3K-1.2M-35.3K0.0015.34N/AN/A01016,52014,660
2007-11-27$10.13$10.0028.5%8.2%26.4%74.1%28.7%5.5%-0.4%146.2K-3.0M-34.6K1.0040.77N/AN/A10010016,52014,670
2007-11-28$10.39$10.0025.7%7.4%28.5%61.2%0.0%6.5%0.3%209.4K-8.0M-30.2K5.0025.19N/AN/A4020016,47014,570
2007-11-29$10.47$10.0024.6%7.1%28.1%56.4%0.0%5.8%0.5%225.4K-8.5M-28.9K0.0027.51N/AN/A0016,47014,570
2007-11-30$10.42$10.0024.6%7.1%27.4%56.3%0.0%4.0%1.1%239.3K-8.2M-28.5K0.0060.48N/AN/A100016,47014,570