ONEQ Options History — December 2007

In December 2007, ONEQ traded between $10.13 and $10.68. ATM implied volatility averaged 23.8%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.1% (HV 20d: 23.6%). Max pain ranged from $10.00 to $10.40. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.22.

Notable Days

2007-12-12: Highest Volume — 620 contracts
2007-12-14: Largest IV spike — 35.1% change
2007-12-14: Highest IV Rank — 92.3%
2007-12-14: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.44	$10.13	$10.68	$10.37	$10.39
Max Pain	$10.09	$10.00	$10.40	$10.00	$10.40
ATM IV	23.8%	19.0%	32.4%	25.8%	22.2%
Expected Move	6.8%	5.5%	9.3%	7.4%	6.4%
HV 20d	23.6%	20.4%	27.9%	27.2%	20.4%
HV 60d	21.6%	20.7%	22.5%	20.7%	22.5%
IV Rank	52.4%	30.7%	92.3%	61.9%	45.5%
IV Percentile	83.5%	63.3%	99.2%	91.8%	78.3%
Term Structure	1.0%	-3.5%	3.4%	0.3%	1.3%
VWIV	24.5%	19.8%	29.1%	29.1%	19.8%
Skew 25d	4.6%	0.8%	12.0%	5.5%	3.5%
Skew 10d	7.9%	2.4%	19.9%	19.9%	3.8%
Call IV 25d	21.7%	18.3%	24.2%	23.5%	21.0%
Put IV 25d	26.3%	20.8%	35.7%	29.1%	24.6%
Bid-Ask Spread %	45.69	13.82	148.74	44.10	36.45
Gamma HHI	0.32	0.14	1.00	0.15	1.00
Net GEX	281.9K	0	717.7K	232.5K	2.8K
Net DEX	-6.4M	-12.8M	0	-7.0M	-76.8K
Net VEX	-14.8K	-28.6K	0	-28.6K	-369
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.00	3.33	0.00	1.00
Total Volume	98.421	0	620	10	0
Total OI	23,355.789	0	32,310	31,140	300

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-12-03	$10.37	$10.00	25.8%	7.4%	27.2%	61.9%	0.0%	5.5%	0.3%	232.5K	-7.0M	-28.6K	0.00	44.10	N/A	N/A	10	0	16,570	14,570
2007-12-04	$10.29	$10.00	25.8%	7.4%	27.3%	61.7%	29.1%	5.0%	0.1%	242.9K	-6.2M	-28.3K	2.00	49.86	N/A	N/A	100	200	16,580	14,570
2007-12-05	$10.48	$10.00	23.4%	6.7%	27.9%	50.9%	0.0%	4.9%	0.6%	283.4K	-9.0M	-25.2K	0.00	45.84	N/A	N/A	0	100	16,680	14,570
2007-12-06	$10.64	$10.00	22.3%	6.4%	27.1%	45.7%	0.0%	5.0%	1.2%	305.1K	-11.5M	-20.8K	0.00	55.99	N/A	N/A	0	100	16,680	14,470
2007-12-07	$10.63	$10.10	21.5%	6.2%	26.1%	42.3%	0.0%	4.5%	1.8%	319.3K	-11.8M	-19.8K	0.00	17.63	N/A	N/A	0	0	16,680	14,570
2007-12-10	$10.68	$10.10	21.3%	6.3%	24.4%	41.4%	0.0%	3.6%	1.1%	325.2K	-12.8M	-16.4K	3.33	13.82	N/A	N/A	30	100	16,680	14,570
2007-12-11	$10.43	$10.10	25.2%	6.9%	25.2%	59.0%	0.0%	4.1%	0.7%	349.6K	-9.2M	-20.6K	0.00	30.68	N/A	N/A	0	100	16,710	14,670
2007-12-12	$10.48	$10.10	24.9%	7.1%	22.4%	57.9%	0.0%	4.1%	0.7%	338.6K	-10.0M	-19.6K	0.00	18.34	N/A	N/A	0	620	16,710	14,770
2007-12-13	$10.48	$10.10	24.0%	6.9%	22.0%	53.6%	0.0%	4.6%	1.1%	367.3K	-10.2M	-19.0K	0.00	19.51	N/A	N/A	0	0	16,710	15,390
2007-12-14	$10.36	$10.10	32.4%	9.3%	22.2%	92.3%	0.0%	12.0%	-3.5%	423.0K	-8.6M	-19.2K	0.00	67.54	N/A	N/A	0	0	16,710	15,390
2007-12-17	$10.13	$10.10	26.3%	7.5%	23.1%	64.0%	0.0%	3.4%	0.6%	585.7K	-3.8M	-18.1K	1.00	27.10	N/A	N/A	100	100	16,710	15,390
2007-12-18	$10.21	$10.10	24.8%	7.1%	21.9%	57.3%	0.0%	3.0%	0.6%	537.2K	-5.3M	-17.3K	0.00	24.13	N/A	N/A	0	0	16,810	15,490
2007-12-19	$10.22	$10.10	23.6%	6.8%	21.9%	51.9%	0.0%	4.5%	2.2%	717.7K	-6.5M	-14.8K	0.00	27.43	N/A	N/A	0	10	16,810	15,490
2007-12-20	$10.38	$10.10	21.2%	6.1%	22.1%	40.6%	0.0%	5.1%	3.2%	321.0K	-10.3M	-12.3K	0.00	48.26	N/A	N/A	0	0	16,810	15,500
2007-12-24	$10.63	$0.00	22.1%	6.3%	23.3%	45.0%	0.0%	10.9%	0.0%	0	0	0	0.00	148.74	N/A	N/A	0	0	0	0
2007-12-26	$10.67	$0.00	22.5%	6.4%	21.6%	46.6%	0.0%	0.9%	3.3%	0	0	0	0.00	64.58	N/A	N/A	100	0	0	0
2007-12-27	$10.50	$0.00	22.8%	6.5%	22.3%	48.1%	0.0%	0.8%	1.2%	2.8K	-72.1K	-181	0.00	80.73	N/A	N/A	0	0	100	0
2007-12-28	$10.48	$0.00	19.0%	5.5%	20.4%	30.7%	19.8%	2.5%	3.4%	3.0K	-73.4K	-178	1.00	47.36	N/A	N/A	100	100	100	0
2007-12-31	$10.39	$10.40	22.2%	6.4%	20.4%	45.5%	0.0%	3.5%	1.3%	2.8K	-76.8K	-369	0.00	36.45	N/A	N/A	0	0	200	100