RITA Options History — January 2007

In January 2007, RITA traded between $4.57 and $4.95. ATM implied volatility averaged 35.9%. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 19.1% (HV 20d: 16.7%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 18 of 18 trading days. Term structure was in contango for 3 of 18 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-01-09: Highest Volume — 30 contracts
  • 2007-01-11: Largest IV drop — 38.2% change
  • 2007-01-03: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.68$4.57$4.95$4.57$4.95
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV35.9%29.0%49.9%44.0%31.4%
Expected Move9.2%8.2%12.6%12.6%9.0%
HV 20d16.7%15.3%18.4%15.3%18.4%
Term Structure-4.8%-14.1%5.3%-13.8%3.6%
Bid-Ask Spread %76.3871.5494.7271.6194.72
Gamma HHI1.000.991.000.991.00
Net GEX3.6K3.0K4.1K3.3K3.9K
Net DEX-73.0K-92.4K-61.4K-76.6K-92.4K
Net VEX-270-284-246-284-280
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.05603000
Total OI355.778324379372333

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$4.57$5.0044.0%12.6%0.0%0.0%0.0%0.0%-13.8%3.3K-76.6K-2840.0071.61N/AN/A003711
2007-01-04$4.64$5.0043.2%12.4%0.0%0.0%0.0%0.0%-13.6%4.0K-71.2K-2680.0073.27N/AN/A003711
2007-01-05$4.64$0.0041.0%8.2%0.0%0.0%0.0%0.0%-1.8%3.7K-75.8K-2740.0073.11N/AN/A1003711
2007-01-08$4.64$0.0045.8%8.5%0.0%0.0%0.0%0.0%-2.4%3.7K-78.2K-2830.0073.74N/AN/A003781
2007-01-09$4.63$0.0047.6%8.6%0.0%0.0%0.0%0.0%-1.6%3.6K-77.5K-2800.0073.74N/AN/A3003781
2007-01-10$4.63$0.0049.9%8.7%0.0%0.0%0.0%0.0%-1.8%3.6K-71.2K-2810.0073.74N/AN/A033631
2007-01-11$4.65$0.0030.8%8.8%0.0%0.0%0.0%0.0%-11.6%4.1K-67.5K-2740.0073.74N/AN/A003634
2007-01-12$4.65$0.0031.2%9.0%0.0%0.0%0.0%0.0%-2.7%3.8K-71.9K-2830.0073.11N/AN/A003634
2007-01-16$4.64$0.0030.7%8.8%0.0%0.0%0.0%0.0%-8.6%4.1K-66.5K-2570.0073.27N/AN/A003634
2007-01-17$4.62$0.0030.9%8.9%0.0%0.0%0.0%0.0%-9.1%3.9K-65.1K-2550.0073.27N/AN/A003634
2007-01-18$4.63$0.0029.0%8.3%0.0%0.0%0.0%0.0%-0.7%3.2K-66.4K-2620.0071.54N/AN/A003634
2007-01-19$4.63$0.0032.0%9.2%0.0%0.0%0.0%0.0%0.6%3.0K-65.4K-2620.0073.27N/AN/A003634
2007-01-22$4.64$0.0031.3%9.0%0.0%0.0%0.0%0.0%-10.8%3.4K-61.4K-2460.0075.70N/AN/A003204
2007-01-23$4.70$0.0032.6%9.4%0.0%0.0%0.0%0.0%-2.5%3.2K-67.6K-2530.0077.09N/AN/A103204
2007-01-24$4.73$0.0031.0%8.9%0.0%0.0%0.0%0.0%-14.1%4.0K-68.2K-2600.0079.33N/AN/A003214
2007-01-25$4.89$0.0030.0%8.6%15.3%0.0%0.0%0.0%5.3%3.5K-88.5K-2780.0087.79N/AN/A1103214
2007-01-26$4.82$0.0033.1%9.5%16.5%0.0%0.0%0.0%-1.0%3.7K-81.7K-2800.0082.76N/AN/A003294
2007-01-29$4.95$0.0031.4%9.0%18.4%0.0%0.0%0.0%3.6%3.9K-92.4K-2800.0094.72N/AN/A003294