ONEQ Options History — May 2008

In May 2008, ONEQ traded between $9.58 and $9.95. ATM implied volatility averaged 18.4%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.9% (HV 20d: 19.3%). Max pain ranged from $8.40 to $9.70. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2008-05-07: Highest Volume — 640 contracts
  • 2008-05-13: Largest IV spike — 28.9% change
  • 2008-05-07: Highest IV Rank — 34.1%
  • 2008-05-09: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.75$9.58$9.95$9.74$9.90
Max Pain$9.36$8.40$9.70$8.40$9.50
ATM IV18.4%14.2%20.0%19.4%17.2%
Expected Move5.4%4.8%5.8%5.6%4.9%
HV 20d19.3%15.6%22.8%22.3%15.6%
HV 60d24.7%24.4%25.1%24.9%24.4%
IV Rank25.3%4.3%34.1%31.0%18.8%
IV Percentile28.3%6.0%36.5%33.7%20.2%
Term Structure2.1%0.6%4.0%0.6%2.0%
VWIV18.8%16.7%20.2%19.6%19.0%
Skew 25d4.1%0.9%5.3%0.9%3.7%
Skew 10d8.2%-2.6%13.3%2.8%7.2%
Call IV 25d17.1%15.4%19.4%19.4%15.4%
Put IV 25d21.2%18.0%22.9%20.3%19.1%
Bid-Ask Spread %46.2427.97110.6543.9363.12
Gamma HHI0.130.100.140.100.13
Net GEX48.2K6.6K100.9K20.9K100.9K
Net DEX-656.5K-995.4K-296.7K-583.4K-986.3K
Net VEX-3.1K-4.1K-2.2K-2.2K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.0013.670.000.00
Total Volume159.5240640310200
Total OI3,190.9522,6403,6802,6503,680

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$9.74$8.4019.4%5.6%22.3%31.0%0.0%0.9%0.6%20.9K-583.4K-2.2K0.0043.93N/AN/A31001,2601,390
2008-05-02$9.71$8.4016.6%4.8%22.4%18.1%0.0%1.8%2.9%34.2K-702.9K-2.5K0.00110.65N/AN/A5001,5201,390
2008-05-05$9.67$8.9018.7%5.6%22.5%28.0%19.6%5.1%2.1%34.8K-699.1K-2.6K0.0031.19N/AN/A01601,5701,390
2008-05-06$9.75$9.1019.1%5.5%22.3%29.6%19.5%4.3%1.8%32.4K-724.6K-2.7K13.6727.97N/AN/A304101,5701,550
2008-05-07$9.58$9.7020.0%5.8%22.8%34.1%19.2%4.9%1.9%6.6K-332.3K-3.3K1.6734.91N/AN/A2404001,5801,960
2008-05-08$9.63$9.5018.8%5.8%22.4%28.1%0.0%4.5%2.1%29.7K-588.6K-3.2K0.0032.74N/AN/A001,7801,710
2008-05-09$9.60$9.5018.4%5.8%19.8%24.7%19.5%4.8%2.0%28.4K-563.0K-3.1K0.0030.99N/AN/A0601,7801,710
2008-05-12$9.76$9.5014.2%5.4%20.1%4.3%0.0%4.9%2.4%36.3K-780.6K-2.9K0.0041.58N/AN/A001,7801,670
2008-05-13$9.80$9.5018.3%5.4%20.1%23.9%17.6%5.3%2.9%40.3K-820.4K-2.9K0.0044.03N/AN/A1001,7801,670
2008-05-14$9.81$9.5019.5%5.4%18.1%29.8%0.0%4.5%3.1%42.9K-834.5K-2.8K0.0051.39N/AN/A001,7901,670
2008-05-15$9.95$9.5018.0%5.2%18.3%22.8%0.0%4.7%3.1%51.0K-995.4K-2.7K0.0039.06N/AN/A001,7901,670
2008-05-16$9.93$9.5017.7%5.1%16.8%21.2%16.7%3.6%4.0%52.6K-985.8K-2.7K0.0046.90N/AN/A21001,7901,670
2008-05-19$9.88$9.5018.2%5.2%17.0%23.6%0.0%4.5%1.5%63.8K-637.3K-2.9K0.0042.46N/AN/A001,6201,020
2008-05-20$9.78$9.5018.9%5.4%16.6%27.2%0.0%4.5%1.4%59.6K-525.1K-2.9K0.0028.64N/AN/A01001,6201,020
2008-05-21$9.61$9.5019.9%5.7%17.6%31.6%0.0%3.8%2.1%47.6K-296.7K-3.1K0.0054.43N/AN/A001,6201,120
2008-05-22$9.68$9.5019.2%5.5%17.4%28.4%19.2%4.3%1.8%52.5K-348.6K-3.0K0.5642.62N/AN/A3602001,6201,120
2008-05-23$9.60$9.5020.0%5.7%17.7%32.0%0.0%4.1%1.6%46.6K-325.2K-3.9K0.0029.80N/AN/A10001,8201,320
2008-05-27$9.74$9.5019.1%5.5%18.4%27.7%20.2%4.2%1.7%64.5K-564.6K-3.9K0.0061.43N/AN/A8001,9201,320
2008-05-28$9.76$9.5018.6%5.3%18.4%25.5%18.9%4.0%1.9%72.8K-640.4K-3.9K0.0050.57N/AN/A18002,0001,320
2008-05-29$9.86$9.5017.6%5.0%18.4%20.5%17.9%3.6%1.4%93.6K-851.8K-3.8K0.6762.53N/AN/A1501002,1101,320
2008-05-30$9.90$9.5017.2%4.9%15.6%18.8%19.0%3.7%2.0%100.9K-986.3K-4.1K0.0063.12N/AN/A20002,2601,420