ONEQ Options History — August 2008

In August 2008, ONEQ traded between $8.98 and $9.65. ATM implied volatility averaged 22.5%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.2% (HV 20d: 22.7%). Max pain ranged from $8.70 to $9.40. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.72.

Notable Days

  • 2008-08-29: Highest Volume — 3,100 contracts
  • 2008-08-12: Largest IV spike — 105.3% change
  • 2008-08-12: Highest IV Rank — 100.0%
  • 2008-08-12: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.39$8.98$9.65$9.09$9.30
Max Pain$9.30$8.70$9.40$8.70$9.40
ATM IV22.5%18.6%43.9%22.4%21.1%
Expected Move6.3%5.3%8.6%6.4%6.0%
HV 20d22.7%20.3%25.0%24.0%21.8%
HV 60d22.9%21.8%23.3%21.8%23.3%
IV Rank30.4%15.0%100.0%35.1%23.4%
IV Percentile36.7%10.7%100.0%42.9%30.2%
Term Structure2.1%-2.2%9.4%0.8%1.4%
VWIV23.2%19.0%29.2%23.9%29.2%
Skew 25d4.4%1.6%7.2%4.7%1.6%
Skew 10d7.3%2.1%14.2%14.2%2.1%
Call IV 25d20.1%15.2%28.3%20.5%22.3%
Put IV 25d24.4%20.4%35.5%25.2%23.9%
Bid-Ask Spread %45.0524.41158.0565.61158.05
Gamma HHI0.090.080.100.090.10
Net GEX-10.4K-50.2K12.9K3.6K-42.9K
Net DEX-68.0K-512.1K432.3K99.6K124.6K
Net VEX-4.0K-6.6K-3.4K-3.9K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.0015.000.000.72
Total Volume274.28603,10003,100
Total OI3,318.5712,7705,0202,8805,020

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$9.09$8.7022.4%6.4%24.0%35.1%0.0%4.7%0.8%3.6K99.6K-3.9K0.0065.61N/AN/A001,4101,470
2008-08-04$8.98$9.2024.7%7.1%24.5%45.0%23.9%5.0%0.5%218203.7K-3.6K0.0024.41N/AN/A2001,4101,470
2008-08-05$9.23$9.2024.9%6.9%25.0%45.9%0.0%5.1%0.6%8.4K-78.6K-3.8K0.0030.35N/AN/A001,4301,470
2008-08-06$9.34$9.2021.5%6.3%23.4%31.4%20.7%4.2%2.0%11.4K-219.3K-3.7K0.0024.93N/AN/A5001,4201,470
2008-08-07$9.25$9.2020.4%6.2%23.7%26.6%24.7%4.9%1.9%9.5K-114.1K-3.6K0.0024.63N/AN/A01001,4301,470
2008-08-08$9.48$9.2020.6%6.5%24.6%27.6%0.0%4.6%1.1%11.1K-348.3K-3.7K0.0031.45N/AN/A001,4301,570
2008-08-11$9.60$9.2021.4%6.3%24.2%30.7%21.0%4.7%1.7%12.9K-476.6K-3.5K0.8026.30N/AN/A50401,4301,570
2008-08-12$9.56$9.3043.9%8.6%24.3%100.0%0.0%7.2%-2.2%6.2K-324.4K-3.9K0.0084.44N/AN/A001,4401,610
2008-08-13$9.56$9.3020.6%6.3%22.3%21.6%0.0%4.5%2.0%7.9K-416.2K-3.5K0.0032.47N/AN/A001,4401,610
2008-08-14$9.65$9.3021.2%6.1%22.2%23.6%21.7%4.1%2.6%11.9K-512.1K-3.4K2.5032.60N/AN/A401001,4401,610
2008-08-15$9.64$9.4020.8%5.9%21.5%22.2%0.0%4.2%3.2%8.8K-470.6K-3.4K0.0036.68N/AN/A1001,4301,710
2008-08-18$9.50$9.4021.9%6.3%22.5%25.9%19.0%4.5%1.2%-9.8K-44.8K-3.4K10.0031.64N/AN/A101001,1101,660
2008-08-19$9.38$9.4021.9%6.3%23.0%25.9%0.0%3.8%1.7%-20.0K113.2K-3.5K0.0034.14N/AN/A01001,1201,760
2008-08-20$9.40$9.4021.6%6.2%22.8%25.0%24.5%4.1%1.4%-22.6K146.8K-3.6K0.0026.80N/AN/A02001,1201,860
2008-08-21$9.34$9.4020.5%5.9%21.8%21.4%22.2%3.5%2.6%-33.9K209.5K-3.6K0.0056.62N/AN/A01001,1202,060
2008-08-22$9.49$9.4018.6%5.3%21.9%15.0%0.0%5.2%7.7%-21.9K28.8K-3.6K0.0068.77N/AN/A1001,1202,160
2008-08-25$9.31$9.4022.3%6.4%21.8%27.3%24.9%3.8%9.4%-39.6K275.7K-3.7K15.0033.10N/AN/A203001,1302,160
2008-08-26$9.29$9.4021.6%6.2%20.3%25.0%0.0%4.4%1.6%-50.2K432.3K-4.1K0.8536.79N/AN/A7106001,1502,460
2008-08-27$9.36$9.4020.4%5.9%20.3%21.1%0.0%3.9%2.0%-43.0K90.3K-6.5K0.0035.35N/AN/A10001,8603,060
2008-08-28$9.48$9.4019.8%5.7%20.7%18.9%0.0%3.8%2.1%-27.0K-148.3K-6.5K0.0050.95N/AN/A001,9603,060
2008-08-29$9.30$9.4021.1%6.0%21.8%23.4%29.2%1.6%1.4%-42.9K124.6K-6.6K0.72158.05N/AN/A1,8001,3001,9603,060