ONEQ Options History — June 2008

In June 2008, ONEQ traded between $8.99 and $10.02. ATM implied volatility averaged 23.5%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.3% (HV 20d: 20.2%). Max pain ranged from $9.10 to $10.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.04.

Notable Days

  • 2008-06-09: Highest Volume — 390 contracts
  • 2008-06-30: Largest IV spike — 43.3% change
  • 2008-06-30: Highest IV Rank — 100.0%
  • 2008-06-30: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.54$8.99$10.02$9.79$8.99
Max Pain$9.65$9.10$10.00$9.10$9.70
ATM IV23.5%18.3%36.7%19.0%36.7%
Expected Move6.7%5.3%10.5%5.5%10.5%
HV 20d20.2%15.9%24.1%16.2%23.8%
HV 60d22.0%20.0%24.1%24.1%21.2%
IV Rank49.4%24.1%100.0%27.4%100.0%
IV Percentile59.2%24.2%100.0%29.8%100.0%
Term Structure0.8%-3.8%2.8%1.7%-3.8%
VWIV21.1%14.8%25.5%21.0%25.5%
Skew 25d3.8%1.3%13.1%4.2%13.1%
Skew 10d7.8%3.7%20.3%13.0%20.3%
Call IV 25d20.8%16.7%25.2%17.3%23.5%
Put IV 25d24.6%20.7%36.7%21.5%36.7%
Bid-Ask Spread %45.5518.0772.9161.7645.45
Gamma HHI0.140.090.280.140.11
Net GEX62.3K-18.9K130.7K96.8K-18.9K
Net DEX-256.7K-1.3M484.1K-861.2K484.1K
Net VEX-3.7K-4.1K-3.2K-4.1K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.040.0010.000.0010.00
Total Volume116.19039000
Total OI3,6802,0804,7103,7802,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$9.79$9.1019.0%5.5%16.2%27.4%0.0%4.2%1.7%96.8K-861.2K-4.1K0.0061.76N/AN/A002,3601,420
2008-06-03$9.75$9.1020.0%5.7%16.2%32.1%21.0%4.0%1.2%94.6K-786.5K-4.0K0.0061.95N/AN/A5002,3601,420
2008-06-04$9.84$9.1020.0%5.7%16.3%32.1%20.0%4.3%0.9%102.1K-978.0K-4.0K0.5965.92N/AN/A1701002,4101,420
2008-06-05$10.02$9.5018.3%5.3%15.9%24.1%0.0%4.0%1.8%109.3K-1.3M-3.8K10.0042.12N/AN/A101002,4601,520
2008-06-06$9.73$9.9022.3%6.6%19.4%43.4%20.9%5.0%0.7%94.2K-737.6K-3.9K0.0020.24N/AN/A33002,4701,420
2008-06-09$9.68$9.9023.1%6.8%19.5%46.9%24.0%4.4%0.4%109.0K-701.4K-4.0K1.6020.41N/AN/A1502402,8001,420
2008-06-10$9.62$9.6023.3%6.7%18.5%48.1%0.0%4.0%1.0%90.3K-511.7K-4.0K0.0018.07N/AN/A0202,9501,660
2008-06-11$9.41$9.6024.5%6.9%19.8%53.6%0.0%3.1%0.8%52.1K-93.6K-3.7K0.0026.55N/AN/A01002,9501,660
2008-06-12$9.46$9.6023.6%6.8%19.9%49.6%0.0%2.9%1.0%56.1K-93.5K-3.9K0.9324.20N/AN/A1501402,9501,760
2008-06-13$9.64$9.6022.3%6.4%20.5%43.4%19.3%3.9%1.1%110.5K-483.6K-3.8K0.3028.05N/AN/A100302,8201,620
2008-06-16$9.72$10.0021.6%6.2%20.8%41.7%0.0%4.3%1.3%130.7K-639.3K-3.7K0.0023.12N/AN/A01002,8201,650
2008-06-17$9.66$10.0027.2%7.8%20.8%69.9%22.8%3.3%2.8%115.1K-338.8K-3.8K10.0060.60N/AN/A101002,7201,750
2008-06-18$9.55$9.9022.6%6.5%20.9%46.8%0.0%2.7%1.1%94.7K-31.2K-3.9K0.0059.01N/AN/A002,7301,850
2008-06-19$9.67$9.9021.6%6.2%20.5%41.9%21.6%4.0%1.4%125.8K-230.4K-3.8K0.0034.31N/AN/A4002,7301,850
2008-06-20$9.44$9.7024.6%7.0%22.0%56.9%0.0%2.6%0.4%2.9K419.7K-3.6K0.0051.30N/AN/A002,4101,850
2008-06-23$9.36$9.7023.8%6.8%22.0%53.0%0.0%2.1%0.4%-6.7K204.2K-3.4K0.0057.76N/AN/A01008501,230
2008-06-24$9.29$9.7024.5%7.0%21.3%56.5%0.0%1.8%0.8%-11.1K286.8K-3.6K0.0062.75N/AN/A008501,330
2008-06-25$9.43$9.7023.1%6.6%22.0%49.2%14.8%2.8%0.7%-8.9K220.5K-3.6K0.0052.77N/AN/A0308501,330
2008-06-26$9.13$9.7024.8%7.1%24.1%58.0%0.0%1.3%0.2%-15.0K380.3K-3.4K0.0072.91N/AN/A4008501,320
2008-06-27$9.09$9.7025.6%7.4%23.9%62.2%25.5%2.0%0.4%-15.7K410.7K-3.3K10.0067.20N/AN/A303008501,320
2008-06-30$8.99$9.7036.7%10.5%23.8%100.0%0.0%13.1%-3.8%-18.9K484.1K-3.2K0.0045.45N/AN/A009201,370