ONEQ Options History — April 2008

In April 2008, ONEQ traded between $8.93 and $9.53. ATM implied volatility averaged 21.9%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 5.6% (HV 20d: 27.4%). Max pain ranged from $8.20 to $8.80. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2008-04-16: Highest Volume — 790 contracts
  • 2008-04-18: Largest IV drop — 12.3% change
  • 2008-04-14: Highest IV Rank — 60.4%
  • 2008-04-14: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.29$8.93$9.53$9.26$9.46
Max Pain$8.35$8.20$8.80$8.80$8.40
ATM IV21.9%20.0%25.7%21.8%20.6%
Expected Move6.3%5.7%7.4%6.2%5.9%
HV 20d27.4%19.9%33.3%33.3%20.1%
HV 60d25.4%24.8%26.8%26.8%25.1%
IV Rank42.6%33.7%60.4%42.3%36.7%
IV Percentile52.7%36.5%79.8%54.4%42.5%
Term Structure1.3%0.3%8.6%1.5%0.7%
VWIV23.7%20.5%29.6%23.0%20.5%
Skew 25d-1.9%-116.7%6.2%5.4%2.9%
Skew 10d-1.1%-115.2%6.8%-0.9%1.2%
Call IV 25d26.5%19.7%138.5%19.7%20.1%
Put IV 25d24.5%21.7%28.1%25.1%22.9%
Bid-Ask Spread %45.9728.2178.2563.4349.85
Gamma HHI0.110.100.200.110.10
Net GEX12.3K-19.0K43.9K-93413.1K
Net DEX-272.4K-482.4K-27.2K-85.6K-353.8K
Net VEX-1.4K-2.3K-967-1.2K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.005.000.250.00
Total Volume126.818079050050
Total OI2,010.4551,4402,6001,4402,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$9.26$8.8021.8%6.2%33.3%42.3%23.0%5.4%1.5%-934-85.6K-1.2K0.2563.43N/AN/A400100640800
2008-04-02$9.27$8.8022.6%6.5%33.3%45.9%0.0%4.1%1.4%5.4K-217.3K-1.4K0.0057.21N/AN/A00840900
2008-04-03$9.28$8.8022.5%6.5%33.3%45.6%0.0%3.5%2.2%7.6K-227.2K-1.4K0.0059.99N/AN/A00840900
2008-04-04$9.30$8.2022.0%6.7%32.0%43.1%0.0%2.8%0.8%13.1K-259.0K-1.2K0.0038.65N/AN/A200840900
2008-04-07$9.28$8.2021.7%6.6%32.0%41.9%29.6%2.9%0.3%12.9K-239.2K-1.2K5.0032.84N/AN/A20100860900
2008-04-08$9.22$8.2021.1%6.5%31.0%38.9%0.0%3.7%0.8%11.7K-211.3K-1.3K0.0039.16N/AN/A008801,000
2008-04-09$9.10$8.2022.8%7.0%28.9%46.9%0.0%4.4%0.5%1.1K-126.0K-1.3K0.0028.21N/AN/A008801,000
2008-04-10$9.23$8.2022.9%6.6%29.2%47.4%21.6%4.4%0.8%21.4K-235.9K-1.1K0.0035.44N/AN/A2008801,000
2008-04-11$8.99$8.2024.7%7.1%30.6%56.0%0.0%4.6%0.3%-13.1K-58.1K-1.2K0.0029.24N/AN/A009001,000
2008-04-14$8.93$8.2025.7%7.4%29.4%60.4%0.0%5.3%0.4%-17.3K-27.2K-1.1K0.0029.78N/AN/A1009001,000
2008-04-15$8.97$8.2024.0%6.9%28.6%52.5%0.0%6.2%1.4%-19.0K-49.9K-1.0K0.0031.61N/AN/A009101,000
2008-04-16$9.22$8.2022.7%6.5%26.8%46.6%26.0%3.9%0.6%40.3K-243.4K-9671.7233.65N/AN/A2905009101,000
2008-04-17$9.19$8.3022.8%6.5%25.3%47.0%0.0%3.8%0.6%43.9K-249.1K-1.5K0.0033.35N/AN/A001,0801,500
2008-04-18$9.42$8.3020.0%5.7%25.9%33.8%21.3%2.3%1.4%21.3K-482.4K-1.4K0.0053.45N/AN/A40001,0801,500
2008-04-21$9.45$8.3020.2%5.8%24.1%35.0%0.0%2.4%8.6%18.0K-410.4K-1.4K0.0039.32N/AN/A01001,000900
2008-04-22$9.32$8.3021.2%6.1%24.6%39.5%0.0%3.0%1.4%15.7K-343.3K-1.4K0.0050.75N/AN/A001,000900
2008-04-23$9.43$8.3020.8%6.0%24.7%37.5%0.0%2.1%1.4%17.3K-378.3K-1.6K0.0068.29N/AN/A0101,0001,000
2008-04-24$9.53$8.3020.5%5.9%23.7%36.2%20.5%1.8%1.0%18.7K-429.5K-1.4K0.4832.49N/AN/A2101001,000990
2008-04-25$9.51$8.4020.0%5.7%23.3%33.7%0.0%-116.7%0.9%20.5K-457.3K-1.9K0.0076.95N/AN/A16001,2101,090
2008-04-28$9.49$8.4020.2%5.8%23.3%34.6%0.0%2.4%2.0%20.4K-461.4K-1.8K0.0078.25N/AN/A01001,2101,090
2008-04-29$9.53$8.4020.4%5.8%19.9%35.6%0.0%2.4%0.6%18.9K-447.8K-1.9K0.0049.36N/AN/A02001,2101,190
2008-04-30$9.46$8.4020.6%5.9%20.1%36.7%0.0%2.9%0.7%13.1K-353.8K-2.3K0.0049.85N/AN/A5001,2101,390