ONEQ Options History — October 2008

In October 2008, ONEQ traded between $5.95 and $8.15. ATM implied volatility averaged 65.9%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 7.0% (HV 20d: 59.0%). Max pain ranged from $8.30 to $8.80. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2008-10-01: Highest Volume — 410 contracts
  • 2008-10-15: Largest IV spike — 157.7% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-06: Largest Expected Move — 31.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.84$5.95$8.15$8.15$6.74
Max Pain$8.37$8.30$8.80$8.70$8.30
ATM IV65.9%39.7%160.6%42.0%61.7%
Expected Move15.0%9.3%31.0%12.0%17.7%
HV 20d59.0%44.1%67.3%44.1%67.0%
HV 60d40.6%31.6%48.0%31.6%47.7%
IV Rank51.9%17.4%100.0%88.5%32.5%
IV Percentile97.7%93.7%100.0%99.2%94.4%
Term Structure-16.2%-84.5%2.3%-6.2%-24.7%
Skew 25d-12.0%-27.4%3.9%3.9%-24.5%
Skew 10d-15.8%-27.4%19.9%11.1%-24.5%
Call IV 25d56.4%38.2%90.1%38.2%74.0%
Put IV 25d44.4%27.4%66.9%42.1%49.5%
Bid-Ask Spread %115.1076.26200.0076.26112.85
Gamma HHI0.140.090.770.120.16
Net GEX1.2K-3.1K15.0K15.0K-1.0K
Net DEX1.7M-3422.2M1.2M1.7M
Net VEX-2.8K-8.2K-4-8.2K-997
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.051.051.051.051.05
Total Volume39.56504104100
Total OI7,196.0873008,6108,0006,350

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$8.15$8.7042.0%12.0%44.1%88.5%0.0%3.9%-6.2%15.0K1.2M-8.2K1.0576.26N/AN/A2002104,6003,400
2008-10-02$7.80$8.7048.1%13.8%46.1%100.0%0.0%1.1%-8.9%9.2K1.7M-7.2K0.0093.19N/AN/A01004,8003,610
2008-10-03$7.65$8.7044.8%12.9%45.0%90.4%0.0%0.4%-5.4%5.0K1.9M-6.4K0.0096.73N/AN/A01004,8003,710
2008-10-06$7.57$8.80108.0%31.0%44.9%100.0%0.0%0.0%-84.5%130-342-40.00200.00N/AN/A003000
2008-10-07$7.03$8.3065.0%11.4%50.3%54.2%0.0%2.5%2.3%1.2K2.1M-4.1K0.00119.59N/AN/A004,8003,810
2008-10-08$6.91$8.3067.5%11.3%50.0%56.8%0.0%-6.8%-5.1%1.2K2.0M-3.9K0.00118.73N/AN/A004,8003,610
2008-10-09$6.63$8.3087.0%12.0%50.6%77.6%0.0%-6.2%-9.5%7312.1M-2.8K0.00113.51N/AN/A004,8003,610
2008-10-10$6.50$8.3075.7%11.1%49.6%65.6%0.0%-18.6%-10.4%-6762.1M-2.0K0.00112.19N/AN/A02004,8003,610
2008-10-13$7.18$8.3064.5%10.1%64.3%53.7%0.0%-6.3%-0.5%-3.1K2.1M-4.0K0.00125.09N/AN/A004,8003,710
2008-10-14$7.02$8.3062.3%9.3%64.0%51.3%0.0%-13.8%-0.8%-1.3K2.2M-3.4K0.00115.81N/AN/A004,8003,710
2008-10-15$6.74$8.30160.6%12.7%64.6%100.0%0.0%-5.0%-10.7%5422.1M-3.3K0.00116.05N/AN/A01004,8003,710
2008-10-16$6.74$8.3042.2%12.1%64.7%19.1%0.0%-9.3%-11.0%1032.1M-2.5K0.00115.77N/AN/A004,8003,610
2008-10-17$6.72$8.3042.0%12.0%62.7%19.0%0.0%-11.2%-11.5%412.2M-2.4K0.00117.02N/AN/A004,8003,610
2008-10-20$6.95$8.3039.7%11.4%64.2%17.4%0.0%-10.7%-11.1%-1981.6M-2.7K0.00119.48N/AN/A003,7402,710
2008-10-21$6.66$8.3045.1%12.9%65.3%21.1%0.0%-12.6%-13.7%-1071.6M-2.0K0.00115.97N/AN/A003,7402,710
2008-10-22$6.35$8.3052.2%15.0%66.1%26.0%0.0%-16.2%-16.4%1231.6M-1.6K0.00113.11N/AN/A003,7402,710
2008-10-23$6.32$8.3064.7%18.6%65.4%34.5%0.0%-18.7%-20.7%1601.6M-1.5K0.00111.22N/AN/A003,7402,710
2008-10-24$6.16$8.3070.7%20.3%65.3%38.6%0.0%-17.7%-22.7%1.2K1.5M-1.3K0.00109.73N/AN/A003,7402,710
2008-10-27$5.95$8.3078.5%22.5%61.1%44.0%0.0%-23.2%-27.5%7191.5M-8350.00108.78N/AN/A003,7402,710
2008-10-28$6.45$8.3065.6%18.8%66.6%35.1%0.0%-23.9%-24.2%-2961.6M-1.1K0.00111.75N/AN/A003,7402,610
2008-10-29$6.55$8.3066.3%19.0%67.3%35.6%0.0%-19.8%-24.3%-3621.6M-1.2K0.00111.41N/AN/A003,7402,610
2008-10-30$6.63$8.3061.8%17.7%66.6%32.5%0.0%-27.4%-24.6%-8181.6M-8530.00112.96N/AN/A003,7402,610
2008-10-31$6.74$8.3061.7%17.7%67.0%32.5%0.0%-24.5%-24.7%-1.0K1.7M-9970.00112.85N/AN/A003,7402,610