ONEQ Options History — July 2008

In July 2008, ONEQ traded between $8.70 and $9.14. ATM implied volatility averaged 25.8%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 1.5% (HV 20d: 24.3%). Max pain ranged from $8.70 to $9.70. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2008-07-01: Highest Volume — 310 contracts
  • 2008-07-14: Largest IV spike — 37.8% change
  • 2008-07-14: Highest IV Rank — 100.0%
  • 2008-07-14: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.95$8.70$9.14$9.04$9.13
Max Pain$8.93$8.70$9.70$9.70$8.70
ATM IV25.8%22.9%37.6%25.7%23.2%
Expected Move7.4%6.6%10.8%7.4%6.6%
HV 20d24.3%21.3%26.2%24.1%23.9%
HV 60d21.5%20.5%22.2%21.2%22.1%
IV Rank50.5%37.3%100.0%52.0%38.4%
IV Percentile71.8%49.2%100.0%79.8%51.2%
Term Structure0.9%-2.5%9.1%0.8%0.5%
VWIV24.9%21.8%27.4%27.4%24.3%
Skew 25d3.9%1.0%6.4%2.5%3.9%
Skew 10d10.9%5.7%21.8%12.8%9.6%
Call IV 25d23.6%20.7%37.8%23.1%21.0%
Put IV 25d27.5%24.9%38.7%25.7%24.9%
Bid-Ask Spread %60.2743.7695.5859.8263.61
Gamma HHI0.090.090.110.110.09
Net GEX-1.8K-19.6K10.2K-19.6K4.1K
Net DEX267.4K-6.9K539.7K479.3K39.5K
Net VEX-3.9K-4.3K-3.3K-3.3K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume68.636031031010
Total OI2,811.8182,2903,3102,2902,870

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$9.04$9.7025.7%7.4%24.1%52.0%0.0%2.5%0.8%-19.6K479.3K-3.3K0.0059.82N/AN/A31009201,370
2008-07-02$8.84$9.7025.9%7.4%24.5%52.9%0.0%1.0%1.8%-13.7K462.3K-3.6K0.0084.74N/AN/A001,2301,370
2008-07-03$8.80$9.7025.1%7.2%22.9%49.1%0.0%2.2%9.1%-10.8K413.5K-3.8K0.0093.11N/AN/A01001,2301,370
2008-07-07$8.80$9.4026.9%7.7%21.3%56.7%0.0%2.9%-0.4%-17.0K539.7K-3.7K0.0058.78N/AN/A001,2301,470
2008-07-08$9.01$9.4024.2%7.3%23.6%45.0%0.0%5.2%-0.2%-17.5K436.2K-3.8K0.0051.42N/AN/A10001,2301,470
2008-07-09$8.79$9.4027.7%7.8%24.8%60.2%27.4%2.7%-0.7%-9.5K509.1K-3.7K0.0054.16N/AN/A11001,3301,470
2008-07-10$8.86$8.7027.1%7.8%24.3%57.7%0.0%3.8%-0.6%-4.8K413.9K-3.8K0.0049.57N/AN/A001,4401,470
2008-07-11$8.79$8.7027.3%7.8%24.1%58.6%0.0%3.4%-0.5%-4.3K462.0K-3.7K0.0048.14N/AN/A001,4401,470
2008-07-14$8.70$8.7037.6%10.8%22.8%100.0%0.0%1.0%-2.5%-3.7K414.7K-3.8K0.0095.58N/AN/A001,4401,470
2008-07-15$8.70$8.7029.1%8.3%22.3%63.9%27.0%4.0%6.3%4.1K433.7K-3.8K0.0069.15N/AN/A22001,4401,470
2008-07-16$8.98$8.7025.2%7.2%25.8%47.5%24.6%6.4%0.8%4.6K236.2K-4.1K0.0051.87N/AN/A16001,6601,470
2008-07-17$9.07$8.7024.9%7.1%26.2%45.9%22.7%5.8%0.4%4.1K52.5K-4.3K0.0043.76N/AN/A4001,8201,470
2008-07-18$8.96$8.7026.2%7.5%25.8%51.5%26.2%4.7%-0.2%10.2K159.1K-4.2K0.0052.02N/AN/A12001,8401,470
2008-07-21$8.95$8.7025.5%7.3%24.7%48.9%0.0%5.3%-0.4%2.4K165.6K-3.9K0.0048.29N/AN/A001,3301,300
2008-07-22$9.04$8.7023.6%6.8%25.0%40.3%21.8%4.5%1.3%4.4K101.3K-3.9K0.0051.23N/AN/A7001,3301,300
2008-07-23$9.13$8.7024.1%6.9%25.2%42.2%0.0%4.7%0.8%8.8K-6.9K-4.1K0.0048.73N/AN/A01101,4001,300
2008-07-24$8.96$8.7023.7%6.8%25.3%40.6%24.3%4.0%1.1%5.2K155.7K-3.9K0.0062.12N/AN/A0501,4001,310
2008-07-25$9.08$8.7022.9%6.6%23.2%37.3%0.0%4.0%1.6%5.1K89.0K-4.0K0.0057.99N/AN/A001,4001,360
2008-07-28$8.89$8.7024.9%7.1%24.3%45.7%0.0%4.8%0.3%735228.5K-3.7K0.0070.85N/AN/A01101,4001,360
2008-07-29$9.11$8.7023.5%6.8%25.5%40.0%0.0%4.1%0.6%3.0K64.5K-4.0K0.0054.91N/AN/A001,4001,470
2008-07-30$9.14$8.7022.9%6.6%25.5%37.5%0.0%4.4%0.6%4.1K33.2K-4.0K0.0056.07N/AN/A001,4001,470
2008-07-31$9.13$8.7023.2%6.6%23.9%38.4%0.0%3.9%0.5%4.1K39.5K-3.9K0.0063.61N/AN/A1001,4001,470