TINY Options History — August 2007

In August 2007, TINY traded between $9.67 and $11.40. ATM implied volatility averaged 46.3%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 2.0% (HV 20d: 48.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.64.

Notable Days

  • 2007-08-08: Highest Volume — 288 contracts
  • 2007-08-13: Largest IV spike — 38.0% change
  • 2007-08-16: Highest IV Rank — 68.2%
  • 2007-08-16: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.66$9.67$11.40$10.01$10.30
Max Pain$12.17$10.00$12.50$10.00$12.50
ATM IV46.3%33.1%53.0%43.6%44.7%
Expected Move13.8%12.4%15.2%12.5%12.8%
HV 20d48.3%32.6%55.6%33.6%50.5%
HV 60d42.6%41.4%46.7%42.7%42.4%
IV Rank52.1%20.2%68.2%45.5%48.1%
IV Percentile76.1%13.2%96.8%71.0%68.9%
Term Structure1.1%-3.8%4.7%4.1%3.5%
VWIV47.4%28.5%66.5%41.9%48.7%
Skew 25d4.6%-1.8%6.7%-1.8%4.5%
Skew 10d17.2%4.1%25.4%4.1%10.6%
Call IV 25d47.4%45.0%49.7%48.3%48.0%
Put IV 25d51.9%46.5%54.2%46.5%52.5%
Bid-Ask Spread %27.3515.0150.5725.4420.35
Gamma HHI0.400.360.430.400.41
Net GEX24.8K17.7K31.1K18.0K26.8K
Net DEX-341.6K-1.0M225.0K106.5K-147.3K
Net VEX-7.8K-9.2K-6.4K-6.9K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.004.104.100.01
Total Volume98.043728851190
Total OI5,460.8265,1235,8005,1235,796

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$10.01$10.0043.6%12.5%33.6%45.5%41.9%-1.8%4.1%18.0K106.5K-6.9K4.1025.44N/AN/A10413,6181,505
2007-08-02$10.10$10.0048.7%14.0%33.9%57.8%48.7%2.4%-3.8%18.2K127.1K-6.8K0.2527.14N/AN/A55143,6281,535
2007-08-03$9.83$10.0050.5%14.5%32.9%62.1%0.0%-0.2%-3.1%18.6K143.9K-6.7K0.9327.35N/AN/A14133,6831,531
2007-08-06$9.67$12.5050.2%13.3%32.6%61.4%57.7%4.7%4.0%17.7K225.0K-6.4K0.1419.84N/AN/A111153,6911,541
2007-08-07$10.61$12.5041.0%13.8%47.5%39.2%47.4%5.9%3.3%22.4K-208.0K-7.4K0.1528.81N/AN/A214323,6821,558
2007-08-08$11.30$12.5033.3%13.4%52.7%20.8%46.6%4.4%-1.0%30.1K-947.4K-9.2K0.1019.57N/AN/A261273,8341,573
2007-08-09$11.40$12.5033.1%12.4%52.7%20.2%44.4%5.0%4.7%31.1K-1.0M-9.2K0.3826.41N/AN/A172653,8551,554
2007-08-10$11.35$12.5036.1%12.8%52.8%27.4%45.6%5.2%2.7%30.4K-938.6K-9.0K0.2525.44N/AN/A55143,8501,578
2007-08-13$11.17$12.5049.8%13.5%53.0%60.3%0.0%5.5%1.9%29.5K-788.7K-8.9K0.8124.78N/AN/A70573,8441,572
2007-08-14$10.65$12.5041.5%14.2%55.6%40.4%0.0%4.4%1.8%26.2K-440.3K-8.5K2.2721.72N/AN/A22503,8741,622
2007-08-15$10.76$12.5051.2%14.6%55.6%63.9%66.5%5.2%1.3%26.6K-524.7K-8.7K2.5017.25N/AN/A253,8931,655
2007-08-16$10.79$12.5053.0%15.2%55.5%68.2%40.3%5.1%1.1%26.8K-612.4K-8.9K0.3932.80N/AN/A54213,8931,655
2007-08-17$10.99$12.5047.8%13.7%53.8%55.6%47.7%4.6%3.3%27.8K-702.5K-8.9K0.1735.22N/AN/A117203,9081,675
2007-08-20$10.74$12.5047.9%13.7%50.1%55.9%46.0%5.1%0.6%23.9K-258.6K-7.5K0.0838.18N/AN/A1213,8561,630
2007-08-21$10.80$12.5051.7%14.8%49.8%65.0%51.2%5.9%-2.8%24.0K-262.3K-7.5K1.3835.24N/AN/A8113,8441,630
2007-08-22$10.85$12.5050.3%14.4%49.5%61.7%49.5%6.6%-0.9%24.5K-297.7K-7.5K0.0033.31N/AN/A1503,8461,640
2007-08-23$10.88$12.5047.3%13.6%48.8%54.5%46.6%6.3%1.3%24.6K-319.8K-7.4K0.0335.38N/AN/A6223,8561,640
2007-08-24$10.83$12.5047.4%13.6%48.6%54.6%28.5%6.7%1.0%25.3K-357.1K-7.5K0.0050.57N/AN/A2603,9151,642
2007-08-27$11.02$12.5051.0%14.6%47.9%63.2%47.9%5.4%1.1%26.0K-415.4K-7.5K0.6531.31N/AN/A46303,8991,642
2007-08-28$10.50$12.5049.4%14.2%51.3%59.4%0.0%5.7%-0.3%23.7K-46.9K-6.8K0.0719.99N/AN/A8663,8901,642
2007-08-29$10.37$12.5047.9%13.7%51.6%55.8%47.9%5.5%1.2%24.1K-51.9K-6.7K0.1417.90N/AN/A172243,9761,648
2007-08-30$10.30$12.5048.7%14.0%51.6%57.8%48.7%3.5%0.9%25.3K-105.6K-7.3K0.0015.01N/AN/A3304,1331,667
2007-08-31$10.30$12.5044.7%12.8%50.5%48.1%0.0%4.5%3.5%26.8K-147.3K-7.0K0.0120.35N/AN/A18914,1591,637