TINY Options History — May 2007

In May 2007, TINY traded between $11.40 and $14.19. ATM implied volatility averaged 39.7%. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 10.6% (HV 20d: 50.3%). 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 5 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2007-05-14: Highest Volume — 641 contracts
  • 2007-05-09: Largest IV spike — 25.0% change
  • 2007-05-31: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.55$11.40$14.19$13.75$11.73
Max Pain$12.05$10.00$12.50$12.50$10.00
ATM IV39.7%29.7%45.4%34.2%45.4%
Expected Move11.6%9.8%13.0%9.8%13.0%
HV 20d50.3%38.6%59.1%39.5%53.8%
HV 60d46.6%42.7%51.9%42.7%43.8%
Term Structure-2.0%-6.8%14.1%14.1%-6.8%
VWIV41.2%24.5%56.6%24.5%45.8%
Bid-Ask Spread %30.3912.2259.7846.0414.40
Gamma HHI0.490.380.580.530.46
Net GEX42.8K26.2K67.4K57.5K37.3K
Net DEX-930.9K-2.5M33.7K-2.0M-422.2K
Net VEX-9.5K-10.8K-8.6K-10.0K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.003.100.200.00
Total Volume162.227196415928
Total OI5,974.1365,5546,5775,5546,192

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$13.75$12.5034.2%9.8%39.5%0.0%0.0%0.0%14.1%57.5K-2.0M-10.0K0.2046.04N/AN/A49103,9001,654
2007-05-02$13.65$12.5036.0%10.3%39.1%0.0%24.5%0.0%9.8%46.8K-1.9M-9.3K0.0433.92N/AN/A4723,9071,664
2007-05-03$13.50$12.5038.6%11.1%38.6%0.0%38.0%0.0%0.5%45.5K-1.8M-9.2K0.1832.91N/AN/A142253,9031,664
2007-05-04$14.19$12.5034.9%10.8%42.3%0.0%38.6%0.0%-4.3%67.3K-2.5M-10.2K0.3727.37N/AN/A112413,9631,676
2007-05-07$13.97$12.5032.0%10.6%42.5%0.0%41.0%0.0%-3.9%67.4K-2.4M-10.1K1.1725.73N/AN/A1651934,0461,673
2007-05-08$13.64$12.5029.7%12.1%43.3%0.0%0.0%0.0%-5.6%56.4K-1.9M-10.7K0.6227.33N/AN/A66414,0771,851
2007-05-09$13.85$12.5037.2%10.1%43.6%0.0%0.0%0.0%-1.1%61.2K-2.1M-10.8K1.7136.11N/AN/A7124,0731,891
2007-05-10$13.41$12.5040.6%11.6%45.2%0.0%35.2%0.0%-2.5%51.6K-1.7M-10.1K0.5333.45N/AN/A30164,0781,894
2007-05-11$13.66$12.5042.1%12.1%45.2%0.0%41.5%0.0%-5.8%56.1K-1.8M-10.4K0.7234.13N/AN/A29214,0911,904
2007-05-14$12.05$12.5042.6%12.2%59.1%0.0%41.0%0.0%-4.5%37.4K-231.4K-8.7K0.2148.90N/AN/A5291124,1041,913
2007-05-15$11.90$12.5044.1%12.6%59.0%0.0%43.4%0.0%-4.8%39.9K-163.5K-8.8K0.3528.44N/AN/A162564,3811,950
2007-05-16$11.80$12.5043.8%12.6%58.6%0.0%43.8%0.0%-3.9%36.6K-120.2K-8.8K0.9936.88N/AN/A2022004,4121,951
2007-05-17$11.90$12.5042.5%12.2%57.8%0.0%43.3%0.0%-2.4%39.0K-211.5K-9.6K0.1744.68N/AN/A58104,5222,055
2007-05-18$11.86$12.5042.7%12.2%56.1%0.0%56.6%0.0%-4.7%26.2K-67.6K-9.4K0.4622.45N/AN/A80374,5032,065
2007-05-21$11.59$12.5037.2%10.7%56.3%0.0%37.5%0.0%1.8%26.5K33.7K-8.6K0.1033.33N/AN/A146153,7861,925
2007-05-22$11.73$12.5038.9%11.2%56.6%0.0%39.0%0.0%0.1%30.2K-221.9K-9.4K0.1712.74N/AN/A121203,8981,928
2007-05-23$11.77$12.5040.0%11.5%54.1%0.0%39.9%0.0%-1.3%31.5K-280.5K-9.6K0.2612.22N/AN/A114303,9751,948
2007-05-24$11.51$12.5045.1%12.9%54.2%0.0%44.6%0.0%-5.7%30.3K-150.0K-9.3K3.1018.01N/AN/A501554,0441,922
2007-05-25$11.52$10.0040.5%11.6%54.3%0.0%41.3%0.0%-2.7%31.5K-149.6K-9.2K0.7022.65N/AN/A30214,0231,886
2007-05-29$11.40$10.0045.4%13.0%53.9%0.0%45.4%0.0%-6.3%29.6K-35.1K-8.6K0.1159.78N/AN/A261304,0441,907
2007-05-30$11.67$10.0040.1%11.5%53.6%0.0%41.7%0.0%-3.4%36.5K-245.0K-9.3K0.0017.10N/AN/A9404,2611,927
2007-05-31$11.73$10.0045.4%13.0%53.8%0.0%45.8%0.0%-6.8%37.3K-422.2K-9.6K0.0014.40N/AN/A2804,2651,927