ONEQ Options History — December 2008

In December 2008, ONEQ traded between $5.50 and $6.26. ATM implied volatility averaged 89.3%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 28.2% (HV 20d: 61.1%). Max pain ranged from $8.90 to $8.90. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2008-12-18: Largest IV drop — 77.7% change
  • 2008-12-17: Highest IV Rank — 100.0%
  • 2008-12-12: Largest Expected Move — 38.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.00$5.50$6.26$5.50$6.21
Max Pain$8.90$8.90$8.90$8.90$8.90
ATM IV89.3%39.1%175.3%106.8%41.0%
Expected Move21.0%10.8%38.8%30.6%11.7%
HV 20d61.1%40.7%70.2%67.4%40.7%
HV 60d61.5%59.5%63.0%59.8%60.0%
IV Rank50.2%15.5%100.0%63.3%16.6%
IV Percentile90.1%75.0%100.0%98.4%75.0%
Term Structure-84.3%-112.0%-69.0%-70.7%-112.0%
Skew 25d-23.1%-42.7%-10.3%-28.7%-12.5%
Skew 10d-23.8%-42.7%-12.6%-28.7%-14.2%
Call IV 25d84.8%42.9%156.8%121.2%47.2%
Put IV 25d61.7%32.5%114.1%92.5%34.7%
Bid-Ask Spread %107.98106.72108.86106.75108.73
Gamma HHI0.150.140.150.140.15
Net GEX35768687
Net DEX999.4K263.9K1.4M1.2M272.6K
Net VEX-411-476-353-391-400
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI4,421.3641,2105,9205,9201,210

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$5.50$8.90106.8%30.6%67.4%63.3%0.0%-28.7%-70.7%681.2M-3910.00106.75N/AN/A003,6102,310
2008-12-02$5.69$8.90101.2%29.0%68.7%59.4%0.0%-33.4%-69.9%521.3M-3860.00106.72N/AN/A003,6102,310
2008-12-03$5.87$8.9099.6%28.5%69.3%58.3%0.0%-30.1%-69.0%551.3M-4240.00107.45N/AN/A003,6102,310
2008-12-04$5.69$8.90106.5%30.5%67.8%63.1%0.0%-37.1%-76.5%481.3M-3740.00106.74N/AN/A003,6102,310
2008-12-05$5.92$8.90102.7%29.4%68.6%60.5%0.0%-34.8%-74.7%411.3M-4130.00107.26N/AN/A003,6102,310
2008-12-08$6.18$8.90105.6%30.3%70.2%62.4%0.0%-35.9%-81.2%381.4M-4760.00107.47N/AN/A003,6102,310
2008-12-09$6.10$8.90112.6%32.3%70.0%67.2%0.0%-39.7%-88.8%371.4M-4430.00107.67N/AN/A003,6102,310
2008-12-10$6.17$8.90118.4%33.9%70.0%71.1%0.0%-34.9%-92.9%491.4M-4700.00108.48N/AN/A003,6102,310
2008-12-11$5.95$8.90133.1%38.2%68.0%81.2%0.0%-40.6%-107.2%461.3M-4290.00107.95N/AN/A003,6102,310
2008-12-12$6.07$8.90135.4%38.8%65.0%82.8%0.0%-42.7%-112.0%421.4M-4390.00108.07N/AN/A003,6102,310
2008-12-15$5.93$8.90145.2%11.7%63.6%89.4%0.0%-13.5%0.0%311.3M-3820.00107.72N/AN/A003,6102,310
2008-12-16$6.26$8.90149.9%10.8%65.1%92.7%0.0%-10.3%0.0%241.4M-4600.00108.78N/AN/A003,6102,310
2008-12-17$6.23$8.90175.3%10.9%65.2%100.0%0.0%-11.0%0.0%241.4M-4540.00108.70N/AN/A003,6102,310
2008-12-18$6.11$8.9039.1%11.2%62.8%15.5%0.0%-13.1%0.0%211.4M-4140.00108.04N/AN/A003,6102,310
2008-12-19$6.15$8.9039.1%11.2%57.3%15.5%0.0%-11.6%0.0%251.4M-4270.00108.86N/AN/A003,6102,310
2008-12-22$6.03$8.9041.1%11.8%55.4%16.7%0.0%-12.8%0.0%28266.5K-3990.00108.26N/AN/A00700510
2008-12-23$5.98$8.9042.0%12.0%53.0%17.3%0.0%-13.3%0.0%25265.7K-3670.00108.52N/AN/A00700510
2008-12-24$6.00$8.9042.0%12.0%53.0%17.3%0.0%-13.1%0.0%30265.5K-3910.00108.34N/AN/A00700510
2008-12-26$6.00$8.9041.9%12.0%50.7%17.2%0.0%-14.4%0.0%16267.9K-3610.00108.19N/AN/A00700510
2008-12-29$5.93$8.9044.3%12.7%50.8%18.7%0.0%-13.6%0.0%30263.9K-3530.00108.25N/AN/A00700510
2008-12-30$6.10$8.9042.7%12.2%41.7%17.7%0.0%-11.9%0.0%30267.5K-3910.00108.66N/AN/A00700510
2008-12-31$6.21$8.9041.0%11.7%40.7%16.6%0.0%-12.5%0.0%7272.6K-4000.00108.73N/AN/A00700510