TINY Options History — July 2007

In July 2007, TINY traded between $9.99 and $11.38. ATM implied volatility averaged 40.1%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 5.5% (HV 20d: 34.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2007-07-23: Highest Volume — 320 contracts
  • 2007-07-12: Largest IV spike — 44.5% change
  • 2007-07-31: Highest IV Rank — 64.7%
  • 2007-07-31: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.82$9.99$11.38$11.20$9.99
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.1%27.3%51.6%28.3%51.6%
Expected Move11.9%8.1%14.8%8.1%14.8%
HV 20d34.6%20.8%44.4%44.4%33.6%
HV 60d44.3%42.6%46.1%45.6%42.7%
IV Rank40.0%6.3%64.7%11.5%64.7%
IV Percentile58.3%2.4%96.5%7.1%96.5%
Term Structure1.7%-8.0%16.1%16.1%-7.9%
VWIV37.5%26.0%46.3%30.4%46.0%
Bid-Ask Spread %29.9011.0252.4212.0319.31
Gamma HHI0.380.350.420.380.42
Net GEX15.4K11.9K18.1K14.3K17.7K
Net DEX19.2K-149.3K208.8K23.8K156.3K
Net VEX-6.8K-7.8K-5.7K-7.4K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.001.080.000.33
Total Volume92.66743202120
Total OI4,511.2384,2845,1544,3465,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$11.20$10.0028.3%8.1%44.4%0.0%0.0%0.0%16.1%14.3K23.8K-7.4K0.0012.03N/AN/A2102,7901,556
2007-07-03$11.23$10.0030.3%8.7%44.4%0.0%30.4%0.0%13.1%14.7K23.0K-7.3K0.8811.57N/AN/A25222,8041,556
2007-07-05$11.10$10.0029.4%8.4%44.3%11.5%28.6%0.0%13.5%15.4K-43.7K-7.4K0.0011.02N/AN/A2202,8081,568
2007-07-06$11.38$10.0027.3%11.4%42.4%6.3%39.7%0.0%-1.1%17.4K-149.3K-7.8K1.0837.87N/AN/A13142,8281,568
2007-07-09$11.12$10.0031.0%11.7%40.6%15.3%0.0%0.0%-1.7%14.4K56.9K-6.9K0.0046.49N/AN/A402,8411,580
2007-07-10$10.87$10.0042.2%11.3%40.6%42.1%0.0%0.0%4.6%12.5K197.2K-6.5K0.5852.42N/AN/A150872,8451,580
2007-07-11$10.88$10.0029.1%12.0%40.2%10.8%0.0%0.0%2.2%12.6K84.3K-6.6K0.3943.53N/AN/A2392,8461,464
2007-07-12$10.95$10.0042.1%12.1%40.2%42.0%0.0%0.0%1.6%13.6K-13.7K-6.5K0.1340.92N/AN/A2432,8541,430
2007-07-13$11.00$10.0040.6%11.7%40.3%38.4%0.0%0.0%2.2%14.1K-44.3K-6.6K0.0747.86N/AN/A7352,8761,433
2007-07-16$11.13$10.0040.6%11.6%29.4%38.4%40.6%0.0%4.2%14.9K-84.7K-6.6K0.8243.34N/AN/A38312,9011,433
2007-07-17$11.01$10.0042.6%12.2%22.0%43.1%42.6%0.0%2.0%16.8K-134.2K-6.8K0.0129.86N/AN/A8112,9391,460
2007-07-18$10.90$10.0042.2%12.1%21.2%42.1%0.0%0.0%1.1%16.8K-113.2K-7.0K0.3729.97N/AN/A63232,9581,460
2007-07-19$10.77$10.0042.0%12.0%20.8%41.6%26.0%0.0%1.8%13.7K55.1K-6.3K0.2321.92N/AN/A44102,9911,450
2007-07-20$10.36$10.0043.6%12.5%23.5%45.4%0.0%0.0%0.6%11.9K208.8K-5.7K0.4921.58N/AN/A94463,0371,440
2007-07-23$11.00$10.0046.7%13.4%32.8%52.9%46.3%0.0%-1.8%16.0K-62.0K-6.7K0.1028.94N/AN/A291292,9611,412
2007-07-24$10.80$10.0044.3%12.7%32.8%47.3%0.0%0.0%-1.4%17.7K-92.5K-6.8K0.0030.18N/AN/A3403,1941,420
2007-07-25$10.65$10.0046.1%13.2%32.8%51.6%46.0%0.0%-0.2%17.0K31.4K-6.7K0.0826.49N/AN/A157123,2191,420
2007-07-26$10.43$10.0046.3%13.3%33.3%52.0%0.0%0.0%-2.7%18.1K49.0K-6.6K0.8425.42N/AN/A63533,3471,432
2007-07-27$10.30$10.0046.5%13.3%33.5%52.4%0.0%0.0%-3.5%17.6K88.8K-6.7K0.4327.27N/AN/A112483,3951,473
2007-07-30$10.07$10.0050.4%14.4%33.7%61.8%0.0%0.0%-8.0%16.8K166.9K-6.6K0.6019.96N/AN/A126753,4971,516
2007-07-31$9.99$10.0051.6%14.8%33.6%64.7%0.0%0.0%-7.9%17.7K156.3K-6.8K0.3319.31N/AN/A1553,6081,546