TINY Options History — June 2007

In June 2007, TINY traded between $11.06 and $11.95. ATM implied volatility averaged 39.6%. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 5.1% (HV 20d: 44.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2007-06-15: Highest Volume — 238 contracts
  • 2007-06-12: Largest IV spike — 81.8% change
  • 2007-06-07: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.32$11.06$11.95$11.57$11.20
Max Pain$10.24$10.00$12.50$10.00$10.00
ATM IV39.6%26.4%66.3%36.2%28.0%
Expected Move10.9%7.6%12.6%10.4%8.0%
HV 20d44.7%29.8%53.8%53.8%44.7%
HV 60d45.0%43.5%46.6%43.9%45.6%
Term Structure2.3%-3.5%13.5%10.8%11.7%
VWIV38.5%25.1%49.1%39.2%25.1%
Bid-Ask Spread %32.7911.2655.4248.4014.07
Gamma HHI0.400.320.650.460.37
Net GEX21.4K11.1K48.7K36.0K16.0K
Net DEX-77.7K-463.1K87.6K-306.6K-76.0K
Net VEX-7.8K-9.4K-6.7K-9.4K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.004.503.500.00
Total Volume67.7625238913
Total OI5,243.0483,9406,3376,2144,346

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$11.57$10.0036.2%10.4%53.8%0.0%0.0%0.0%10.8%36.0K-306.6K-9.4K3.5048.40N/AN/A274,2871,927
2007-06-04$11.40$10.0030.9%11.3%49.3%0.0%39.2%0.0%0.5%25.2K-38.0K-8.2K0.7533.85N/AN/A32244,2851,934
2007-06-05$11.41$10.0043.5%11.7%49.5%0.0%0.0%0.0%-2.2%33.9K-117.9K-8.7K1.5022.42N/AN/A20304,3051,944
2007-06-06$11.55$10.0045.4%11.8%49.8%0.0%41.0%0.0%-2.1%37.0K-234.9K-8.5K1.1120.57N/AN/A74824,3151,872
2007-06-07$11.06$10.0040.9%12.6%50.5%0.0%0.0%0.0%3.0%29.4K-2.3K-8.1K0.3822.89N/AN/A40154,3261,894
2007-06-08$11.52$10.0045.0%10.9%53.0%0.0%45.7%0.0%-0.1%37.4K-274.8K-8.4K0.1627.28N/AN/A62104,3411,834
2007-06-11$11.26$10.0031.1%11.5%52.3%0.0%44.6%0.0%-1.7%14.5K-75.7K-7.3K1.5035.07N/AN/A234,3571,841
2007-06-12$11.08$10.0056.5%12.4%29.8%0.0%0.0%0.0%2.9%12.5K80.0K-6.7K3.5932.89N/AN/A17614,3561,842
2007-06-13$11.14$10.0066.3%12.3%29.8%0.0%0.0%0.0%1.8%12.1K55.8K-7.0K0.2140.06N/AN/A1434,3601,893
2007-06-14$11.09$10.0043.0%12.3%29.8%0.0%0.0%0.0%0.3%11.1K87.6K-6.8K1.4636.23N/AN/A48704,3721,892
2007-06-15$11.95$10.0035.8%10.3%40.5%0.0%33.6%0.0%1.9%48.7K-463.1K-8.3K0.4911.26N/AN/A160784,3841,953
2007-06-18$11.29$10.0039.3%11.3%45.3%0.0%40.4%0.0%-3.5%13.1K22.9K-7.4K0.1535.73N/AN/A122182,4881,452
2007-06-19$11.47$10.0037.1%10.6%45.1%0.0%37.1%0.0%-0.8%16.6K-142.5K-7.9K4.5029.86N/AN/A10452,5811,470
2007-06-20$11.27$12.5036.8%10.5%45.2%0.0%37.1%0.0%1.7%13.8K47.8K-7.6K0.0055.42N/AN/A2102,5861,513
2007-06-21$11.44$12.5027.3%7.8%45.6%0.0%49.1%0.0%5.2%14.9K-11.5K-7.6K0.0046.31N/AN/A3002,6061,513
2007-06-22$11.49$10.0026.4%7.6%44.9%0.0%30.1%0.0%8.3%18.8K-294.0K-8.2K1.1126.08N/AN/A18202,6361,513
2007-06-25$11.28$10.0039.8%11.4%45.4%0.0%0.0%0.0%-1.9%15.3K-5.8K-7.6K0.0038.40N/AN/A2302,6541,516
2007-06-26$11.11$10.0043.6%12.5%45.6%0.0%0.0%0.0%-1.2%13.5K84.6K-7.1K0.3638.73N/AN/A56202,6651,516
2007-06-27$11.15$10.0043.1%12.4%44.7%0.0%25.1%0.0%-0.0%14.9K-27.0K-7.7K0.1038.58N/AN/A109112,6821,536
2007-06-28$11.08$10.0035.3%10.1%44.6%0.0%0.0%0.0%13.5%14.1K59.1K-7.3K0.2334.56N/AN/A43102,7711,546
2007-06-29$11.20$10.0028.0%8.0%44.7%0.0%0.0%0.0%11.7%16.0K-76.0K-7.9K0.0014.07N/AN/A1302,7901,556