ONEQ Options History — March 2008

In March 2008, ONEQ traded between $8.51 and $9.18. ATM implied volatility averaged 26.2%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.7% (HV 20d: 25.5%). Max pain ranged from $8.80 to $9.10. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.07.

Notable Days

  • 2008-03-14: Highest Volume — 350 contracts
  • 2008-03-10: Largest IV drop — 33.1% change
  • 2008-03-07: Highest IV Rank — 95.4%
  • 2008-03-07: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.85$8.51$9.18$8.86$8.94
Max Pain$8.86$8.80$9.10$9.10$8.80
ATM IV26.2%22.1%33.1%26.6%26.2%
Expected Move7.6%6.9%8.5%7.6%7.5%
HV 20d25.5%17.5%32.0%20.4%31.0%
HV 60d23.9%21.8%25.7%22.2%25.7%
IV Rank62.9%44.0%95.4%64.6%62.7%
IV Percentile82.4%62.3%99.6%87.7%84.5%
Term Structure0.5%-0.7%1.8%0.2%0.6%
VWIV26.3%23.8%28.9%25.3%23.8%
Skew 25d3.9%1.0%6.3%2.3%5.0%
Skew 10d7.0%-3.7%13.0%9.8%11.5%
Call IV 25d23.8%21.4%29.8%23.6%23.0%
Put IV 25d27.7%24.8%31.1%26.0%28.0%
Bid-Ask Spread %60.0029.70149.8540.4148.37
Gamma HHI0.270.100.560.270.11
Net GEX-37.4K-66.0K-5.6K-43.7K-14.3K
Net DEX334.3K-26.4K623.0K412.1K68.1K
Net VEX-1.3K-1.4K-957-1.4K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.005.330.000.00
Total Volume56.50350200
Total OI1,710.51,2302,3901,6201,440

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$8.86$9.1026.6%7.6%20.4%64.6%0.0%2.3%0.2%-43.7K412.1K-1.4K0.0040.41N/AN/A0206001,020
2008-03-04$8.86$9.1024.1%6.9%20.2%53.3%0.0%1.9%1.1%-49.1K412.2K-1.4K0.0046.12N/AN/A006001,040
2008-03-05$8.90$9.1025.6%7.3%17.5%60.0%0.0%1.8%-0.6%-43.1K391.4K-1.4K0.0088.29N/AN/A10006001,040
2008-03-06$8.71$9.1026.1%7.5%18.5%62.7%0.0%1.8%1.0%-47.0K491.9K-1.3K0.0093.38N/AN/A007001,040
2008-03-07$8.68$8.8033.1%8.5%18.3%95.4%0.0%1.3%1.8%-36.1K444.7K-1.4K0.00101.62N/AN/A007001,040
2008-03-10$8.51$8.8022.1%8.0%19.2%44.0%0.0%3.0%-0.5%-41.2K621.5K-9960.0049.04N/AN/A007001,040
2008-03-11$8.83$8.8025.9%7.5%23.8%61.7%0.0%4.5%-0.2%-61.6K451.8K-1.2K0.0029.70N/AN/A007001,040
2008-03-12$8.79$8.8025.9%7.8%23.8%61.6%0.0%3.6%-0.1%-59.9K460.6K-1.2K0.0034.97N/AN/A007001,040
2008-03-13$8.91$8.8026.4%7.6%22.9%64.1%0.0%4.6%0.0%-66.0K399.1K-1.2K0.0035.75N/AN/A007001,040
2008-03-14$8.70$8.8028.5%8.2%23.6%73.6%25.3%3.8%0.8%-31.3K470.4K-1.1K0.00137.81N/AN/A35007001,040
2008-03-17$8.55$8.8029.0%8.3%24.2%76.2%0.0%4.8%-0.1%-38.5K605.1K-9570.0078.72N/AN/A001,0501,040
2008-03-18$8.90$8.8024.3%7.0%28.5%53.9%27.5%6.1%1.3%-61.9K338.1K-1.1K0.0038.92N/AN/A01001,0501,040
2008-03-19$8.70$8.8027.8%8.0%29.3%70.4%28.9%4.5%-0.7%-65.7K623.0K-1.0K0.0041.57N/AN/A02001,0501,140
2008-03-20$8.86$8.8025.9%7.4%30.0%61.6%23.8%1.0%0.9%-41.1K375.9K-1.4K0.00149.85N/AN/A15001,0501,340
2008-03-24$9.12$8.8024.9%7.1%31.8%56.9%0.0%6.2%0.6%-5.7K-11.5K-1.2K5.3332.27N/AN/A30160590640
2008-03-25$9.18$8.8024.4%7.0%31.5%54.6%0.0%6.3%1.0%-5.6K-26.4K-1.4K0.0034.71N/AN/A00620800
2008-03-26$9.12$8.8025.3%7.3%31.4%58.8%0.0%6.1%1.1%-7.9K-1.3K-1.4K0.0037.43N/AN/A00620800
2008-03-27$8.96$8.8025.9%7.4%32.0%61.6%0.0%5.9%0.3%-12.7K62.4K-1.4K0.0038.77N/AN/A200620800
2008-03-28$8.87$8.8025.5%7.3%32.0%59.5%0.0%4.2%0.5%-16.1K97.5K-1.4K0.0042.25N/AN/A00640800
2008-03-31$8.94$8.8026.2%7.5%31.0%62.7%0.0%5.0%0.6%-14.3K68.1K-1.3K0.0048.37N/AN/A00640800