ONEQ Options History — September 2008

In September 2008, ONEQ traded between $7.92 and $9.24. ATM implied volatility averaged 29.6%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.4% (HV 20d: 26.2%). Max pain ranged from $8.70 to $9.40. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2008-09-18: Highest Volume — 2,100 contracts
  • 2008-09-29: Largest IV spike — 32.4% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.70$7.92$9.24$9.24$8.30
Max Pain$9.05$8.70$9.40$9.10$8.70
ATM IV29.6%22.3%45.6%23.1%41.8%
Expected Move8.4%6.4%13.1%6.6%12.0%
HV 20d26.2%19.3%43.9%21.5%43.9%
HV 60d24.8%22.6%31.4%22.6%31.4%
IV Rank51.3%27.5%100.0%30.2%87.9%
IV Percentile83.3%42.9%100.0%52.0%99.2%
Term Structure-1.7%-7.9%1.4%0.7%-7.9%
VWIV28.8%21.4%45.6%22.0%45.6%
Skew 25d3.2%0.5%9.1%3.7%6.7%
Skew 10d8.8%-16.0%16.6%7.3%-16.0%
Call IV 25d26.8%20.7%44.8%21.1%34.9%
Put IV 25d30.0%23.4%45.3%24.7%41.6%
Bid-Ask Spread %61.2730.82112.5038.87112.50
Gamma HHI0.110.090.200.100.12
Net GEX-23.1K-79.5K30.0K-45.5K17.3K
Net DEX726.0K-326.6K1.6M-326.6K1.0M
Net VEX-10.1K-11.5K-7.2K-11.5K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.002.500.000.00
Total Volume338.502,10014030
Total OI8,1515,9509,1808,1207,970

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$9.24$9.1023.1%6.6%21.5%30.2%22.0%3.7%0.7%-45.5K-326.6K-11.5K0.0038.87N/AN/A14003,7604,360
2008-09-03$9.18$9.1022.3%6.4%19.3%27.5%21.4%3.5%0.9%-45.7K-198.5K-11.5K0.0030.82N/AN/A10003,8504,360
2008-09-04$8.85$9.1025.0%7.2%22.6%36.4%0.0%4.0%-1.2%-46.4K624.4K-11.2K0.0056.05N/AN/A003,9504,360
2008-09-05$8.87$9.4023.9%6.7%22.5%32.7%0.0%1.0%1.4%-48.9K721.4K-10.9K1.2042.93N/AN/A1001203,9504,360
2008-09-08$8.93$9.4025.5%6.9%20.6%38.1%0.0%1.9%0.9%-53.6K491.6K-10.9K0.2032.24N/AN/A100204,0504,440
2008-09-09$8.70$9.4027.7%7.1%21.3%45.7%0.0%1.1%1.4%-49.8K1.2M-10.4K0.0064.73N/AN/A10004,1504,420
2008-09-10$8.76$9.4025.8%6.9%21.8%39.1%0.0%1.1%0.8%-53.8K989.3K-10.5K0.0057.37N/AN/A004,2504,420
2008-09-11$8.88$9.4025.1%7.2%22.6%36.9%0.0%2.4%-0.2%-54.2K556.3K-10.8K0.0045.07N/AN/A20004,2504,420
2008-09-12$8.89$9.4026.2%7.5%22.1%40.6%25.5%2.8%-0.9%-36.4K451.3K-11.0K0.0068.81N/AN/A30004,4504,420
2008-09-15$8.61$9.0028.4%8.1%24.1%47.8%0.0%1.1%-0.8%-36.4K1.4M-9.6K0.0072.63N/AN/A004,5504,420
2008-09-16$8.67$9.0026.6%7.6%24.2%41.9%26.6%1.9%-0.6%-44.1K1.2M-9.6K0.1766.45N/AN/A6001004,5504,420
2008-09-18$8.61$8.9028.0%8.0%24.0%46.7%28.0%2.1%-1.7%-79.5K1.6M-9.0K0.6277.74N/AN/A1,3008004,3604,420
2008-09-19$8.89$8.8029.6%8.5%27.3%51.9%31.7%9.1%-3.8%30.0K274.3K-10.0K0.8237.07N/AN/A6805604,8604,320
2008-09-22$8.56$8.8032.1%9.2%30.0%60.3%0.0%4.6%-2.2%21.9K467.8K-8.7K2.0072.31N/AN/A1002003,4502,500
2008-09-23$8.47$8.8033.7%9.7%29.1%65.7%0.0%3.6%-2.5%10.0K769.0K-9.5K2.5065.50N/AN/A401003,8903,200
2008-09-24$8.49$8.8034.4%9.9%28.8%68.0%28.9%3.8%-3.0%8.0K763.2K-9.7K0.4365.27N/AN/A4602003,9003,300
2008-09-25$8.60$8.8032.1%9.2%29.5%60.3%29.5%4.1%-2.8%18.0K558.9K-10.2K0.0054.88N/AN/A2004,2503,300
2008-09-26$8.60$8.8034.4%9.9%29.2%68.2%0.0%4.7%-3.9%18.9K536.6K-10.1K0.0067.65N/AN/A004,2703,300
2008-09-29$7.92$8.8045.6%13.1%39.4%100.0%45.6%0.5%-7.6%8.4K1.4M-7.2K0.3396.44N/AN/A3001004,2703,300
2008-09-30$8.30$8.7041.8%12.0%43.9%87.9%0.0%6.7%-7.9%17.3K1.0M-8.9K0.00112.50N/AN/A3004,5703,400