TINY Options History — March 2007

In March 2007, TINY traded between $11.26 and $13.13. ATM implied volatility averaged 43.8%. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 8.7% (HV 20d: 52.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2007-03-16: Highest Volume — 685 contracts
  • 2007-03-15: Largest IV drop — 30.6% change
  • 2007-03-02: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.19$11.26$13.13$12.16$12.92
Max Pain$10.80$10.00$12.50$10.00$10.00
ATM IV43.8%34.8%60.8%48.0%37.3%
Expected Move11.7%10.0%16.4%13.8%10.7%
HV 20d52.5%44.2%57.9%44.9%44.2%
HV 60d40.7%39.4%41.5%39.8%40.0%
Term Structure0.5%-13.6%5.2%-7.0%1.6%
VWIV42.6%34.8%57.4%48.0%39.1%
Skew 25d-4.8%-18.6%5.6%-10.5%4.3%
Skew 10d9.2%3.7%12.9%12.9%3.7%
Call IV 25d52.3%48.9%57.3%53.3%49.5%
Put IV 25d47.4%38.7%54.4%42.8%53.8%
Bid-Ask Spread %36.6810.5368.1221.3723.73
Gamma HHI0.520.340.760.480.53
Net GEX45.8K15.4K72.4K51.9K43.3K
Net DEX-1.1M-1.7M-331.5K-1.4M-1.5M
Net VEX-7.5K-8.7K-5.5K-7.9K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.032.982.500.22
Total Volume190.9552868528187
Total OI5,471.8183,1956,8816,5064,272

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$12.16$10.0048.0%13.8%44.9%0.0%48.0%0.0%-7.0%51.9K-1.4M-7.9K2.5021.37N/AN/A8204,7131,793
2007-03-02$11.71$10.0057.2%16.4%46.0%0.0%57.4%-10.5%-13.6%44.1K-971.4K-7.7K0.1310.53N/AN/A289384,7151,801
2007-03-05$11.26$12.5047.8%12.8%48.1%0.0%45.2%-18.6%-0.3%44.3K-608.3K-7.1K0.0925.16N/AN/A222204,9231,817
2007-03-06$11.97$12.5049.1%11.7%52.9%0.0%41.0%5.6%3.0%58.6K-1.2M-7.6K0.4836.70N/AN/A69334,8641,827
2007-03-07$12.02$12.5046.9%12.4%52.6%0.0%43.3%0.0%0.0%62.2K-1.2M-7.4K0.4367.16N/AN/A92404,8601,819
2007-03-08$11.97$12.5048.0%12.5%51.9%0.0%43.7%4.3%-1.4%63.4K-1.2M-7.4K1.3067.74N/AN/A20264,9211,859
2007-03-09$12.06$12.5045.9%11.9%51.9%0.0%0.0%0.0%1.5%68.4K-1.2M-7.3K1.4368.12N/AN/A28404,9111,875
2007-03-12$12.03$12.5046.8%11.5%51.9%0.0%40.0%0.0%3.9%69.0K-1.2M-6.9K1.8834.21N/AN/A16304,9061,878
2007-03-13$11.38$12.5059.2%12.8%55.5%0.0%48.0%0.0%0.3%15.7K-331.5K-5.5K2.9840.36N/AN/A421254,9001,873
2007-03-14$11.80$10.0060.8%12.1%57.2%0.0%42.8%0.0%0.4%58.5K-770.1K-6.7K2.6042.85N/AN/A421094,9181,963
2007-03-15$11.72$10.0042.2%12.1%57.2%0.0%42.3%0.0%0.4%55.2K-809.8K-6.8K0.0544.80N/AN/A213114,9231,956
2007-03-16$11.97$10.0042.8%12.3%57.7%0.0%50.0%0.0%-1.4%72.4K-748.7K-6.5K0.2533.01N/AN/A5491364,9141,964
2007-03-19$11.81$10.0038.2%11.0%57.9%0.0%38.2%0.0%3.4%15.4K-427.1K-6.3K0.0944.55N/AN/A341302,1361,059
2007-03-20$11.83$10.0035.4%10.2%57.8%0.0%35.5%0.0%5.2%20.2K-529.9K-6.7K0.0556.34N/AN/A187102,3791,089
2007-03-21$12.44$10.0037.0%10.6%57.5%0.0%37.0%0.0%1.6%27.5K-978.2K-7.4K0.2121.14N/AN/A5061052,5391,099
2007-03-22$12.36$10.0037.7%10.8%56.7%0.0%37.7%0.0%1.8%34.5K-1.1M-8.4K0.2720.64N/AN/A74202,8481,188
2007-03-23$12.80$10.0034.8%10.0%57.4%0.0%34.8%0.0%4.3%38.0K-1.4M-8.4K0.0924.40N/AN/A111102,8611,184
2007-03-26$13.01$10.0035.6%10.2%57.2%0.0%46.3%0.0%3.3%40.1K-1.6M-8.4K0.0745.47N/AN/A149102,9321,194
2007-03-27$12.89$10.0035.6%10.2%46.0%0.0%0.0%0.0%3.1%41.8K-1.5M-8.6K0.3228.12N/AN/A85272,9761,204
2007-03-28$12.88$10.0038.5%11.0%46.0%0.0%38.5%0.0%0.5%41.3K-1.5M-8.7K0.0321.31N/AN/A7523,0131,230
2007-03-29$13.13$10.0039.0%11.2%46.2%0.0%39.1%0.0%0.7%42.1K-1.7M-8.6K0.0829.23N/AN/A5043,0541,230
2007-03-30$12.92$10.0037.3%10.7%44.2%0.0%0.0%0.0%1.6%43.3K-1.5M-8.5K0.2223.73N/AN/A153343,0391,233