TINY Options History — September 2007

In September 2007, TINY traded between $9.99 and $10.68. ATM implied volatility averaged 46.0%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 18.8% (HV 20d: 27.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.46.

Notable Days

  • 2007-09-21: Highest Volume — 465 contracts
  • 2007-09-11: Largest IV drop — 14.6% change
  • 2007-09-25: Highest IV Rank — 56.8%
  • 2007-09-10: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.28$9.99$10.68$10.48$10.64
Max Pain$10.13$10.00$12.50$12.50$10.00
ATM IV46.0%41.1%48.3%48.2%44.3%
Expected Move13.4%12.7%14.4%13.8%12.7%
HV 20d27.3%20.9%50.3%50.3%20.9%
HV 60d38.1%36.4%41.7%41.7%37.3%
IV Rank51.4%39.5%56.8%56.6%47.1%
IV Percentile73.7%44.5%88.5%87.5%61.8%
Term Structure2.2%-1.3%5.8%0.5%3.4%
VWIV46.2%44.1%48.1%48.0%44.3%
Skew 25d4.9%-2.3%9.0%4.9%-2.3%
Skew 10d17.6%0.9%27.5%9.7%0.9%
Call IV 25d46.3%41.7%49.4%47.9%44.9%
Put IV 25d51.2%42.5%54.2%52.8%42.6%
Bid-Ask Spread %26.1812.9368.5118.1635.97
Gamma HHI0.490.420.610.420.61
Net GEX32.0K23.8K44.9K28.6K32.0K
Net DEX-435.5K-889.3K-132.0K-216.5K-889.3K
Net VEX-6.9K-8.0K-6.3K-7.1K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.900.711.69
Total Volume113.158204652443
Total OI5,458.4213,9776,0565,8624,504

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$10.48$12.5048.2%13.8%50.3%56.6%0.0%4.9%0.5%28.6K-216.5K-7.1K0.7118.16N/AN/A14104,2241,638
2007-09-05$10.32$10.0047.6%13.7%38.2%55.2%0.0%5.5%1.6%28.4K-225.4K-6.9K2.1522.93N/AN/A20434,2281,563
2007-09-06$10.26$10.0048.0%13.8%29.7%56.2%48.0%7.4%1.2%28.7K-222.0K-6.9K0.0020.97N/AN/A2004,2401,550
2007-09-07$10.18$10.0046.7%14.0%29.2%52.9%0.0%6.0%0.5%28.8K-132.0K-6.6K0.0036.65N/AN/A2504,2451,540
2007-09-10$10.02$10.0048.1%14.4%29.4%56.4%0.0%3.8%-0.6%29.1K-149.9K-6.5K0.4053.65N/AN/A25104,2581,464
2007-09-11$10.12$10.0041.1%13.1%29.7%39.5%45.6%5.4%4.2%32.1K-249.2K-6.5K2.9012.93N/AN/A20584,2661,471
2007-09-12$10.05$10.0041.4%13.8%25.1%40.3%48.1%2.5%1.4%32.9K-185.1K-6.5K0.0021.70N/AN/A3804,2831,470
2007-09-13$9.99$10.0047.1%13.5%24.7%54.0%0.0%5.7%2.4%33.1K-132.4K-6.3K0.0016.86N/AN/A10004,2951,470
2007-09-14$10.10$10.0046.5%13.3%25.1%52.6%46.5%6.7%4.7%34.2K-255.9K-6.6K0.0918.76N/AN/A116104,3871,458
2007-09-17$10.02$10.0046.7%13.4%23.8%53.1%0.0%4.0%4.1%39.2K-266.9K-6.7K0.0019.40N/AN/A8004,4751,468
2007-09-18$10.03$10.0047.4%13.6%22.9%54.8%47.4%4.9%2.6%42.6K-264.4K-6.6K0.2920.43N/AN/A58174,5281,468
2007-09-19$10.24$10.0044.2%12.7%24.2%46.9%44.1%5.5%5.8%44.9K-523.9K-6.9K0.0014.83N/AN/A8604,5441,473
2007-09-20$10.43$10.0047.2%13.5%25.3%54.2%47.2%5.3%2.1%31.8K-737.8K-6.7K0.1919.71N/AN/A206404,5811,473
2007-09-21$10.37$10.0045.1%12.9%25.2%49.1%45.1%4.8%3.6%30.5K-680.6K-6.7K0.0924.09N/AN/A425404,5531,503
2007-09-24$10.30$10.0045.2%13.0%25.3%49.3%45.2%7.1%1.7%23.8K-590.3K-6.7K0.2124.19N/AN/A264563,007970
2007-09-25$10.63$10.0048.3%13.8%27.2%56.8%0.0%9.0%-1.3%27.6K-815.3K-7.7K0.0022.93N/AN/A19603,2071,023
2007-09-26$10.54$10.0046.9%13.4%21.1%53.4%46.8%6.8%1.1%29.2K-855.1K-8.0K0.0124.85N/AN/A10613,3781,023
2007-09-27$10.68$10.0044.8%12.8%21.0%48.3%0.0%-0.5%2.8%31.7K-882.5K-7.9K0.0068.51N/AN/A2303,4591,023
2007-09-28$10.64$10.0044.3%12.7%20.9%47.1%44.3%-2.3%3.4%32.0K-889.3K-7.9K1.6935.97N/AN/A16273,4811,023