TINY Options History — October 2007

In October 2007, TINY traded between $10.01 and $10.96. ATM implied volatility averaged 45.9%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 16.6% (HV 20d: 29.4%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.33.

Notable Days

  • 2007-10-09: Highest Volume — 527 contracts
  • 2007-10-11: Largest IV spike — 58.6% change
  • 2007-10-30: Highest IV Rank — 62.3%
  • 2007-10-30: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.46$10.01$10.96$10.41$10.61
Max Pain$9.67$7.50$10.00$10.00$10.00
ATM IV45.9%30.5%50.6%45.0%46.7%
Expected Move13.6%12.7%14.5%12.9%13.4%
HV 20d29.4%21.6%37.1%22.5%35.8%
HV 60d36.9%32.2%38.4%37.1%32.2%
IV Rank51.1%14.1%62.3%48.9%53.0%
IV Percentile72.6%7.2%95.2%66.3%73.7%
Term Structure-0.4%-5.4%6.0%1.1%2.4%
VWIV47.7%44.2%54.0%44.2%45.8%
Skew 25d-2.8%-9.1%5.3%-6.6%-0.8%
Skew 10d-4.2%-18.7%20.1%-5.0%-2.0%
Call IV 25d46.4%41.9%51.2%47.4%47.5%
Put IV 25d43.5%40.8%51.9%40.8%46.7%
Bid-Ask Spread %40.5623.1762.2732.6234.72
Gamma HHI0.600.490.650.630.60
Net GEX35.9K29.2K43.4K29.2K42.9K
Net DEX-1.0M-1.3M-746.1K-746.1K-1.2M
Net VEX-7.7K-8.3K-7.2K-7.4K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.003.000.100.00
Total Volume80.4781527531
Total OI5,049.9134,5255,4304,5275,430

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$10.41$10.0045.0%12.9%22.5%48.9%0.0%-6.6%1.1%29.2K-746.1K-7.4K0.1032.62N/AN/A4853,4971,030
2007-10-02$10.39$10.0044.3%12.7%21.6%47.1%0.0%-4.9%6.0%29.9K-808.3K-7.5K0.7129.28N/AN/A34243,541984
2007-10-03$10.24$10.0045.5%13.0%21.6%50.0%0.0%5.3%2.0%29.6K-808.1K-7.5K0.0927.79N/AN/A9283,5751,006
2007-10-04$10.50$10.0046.4%13.3%23.2%52.3%0.0%-1.8%1.3%32.2K-875.8K-7.6K1.0037.10N/AN/A20203,6661,014
2007-10-05$10.41$10.0043.8%13.8%23.3%46.1%0.0%-1.1%-0.5%30.5K-803.9K-7.5K0.0057.63N/AN/A2403,6861,034
2007-10-08$10.47$10.0046.5%14.0%22.5%52.6%0.0%-0.3%0.9%31.2K-835.2K-7.5K0.0058.51N/AN/A033,7101,034
2007-10-09$10.96$10.0037.4%14.4%27.2%30.6%44.2%2.1%-1.8%38.2K-1.3M-8.2K0.0133.86N/AN/A52253,7101,034
2007-10-10$10.75$10.0030.5%13.2%28.2%14.1%0.0%-3.2%2.2%39.6K-1.2M-8.3K0.0038.70N/AN/A6603,9371,027
2007-10-11$10.70$10.0048.4%13.9%28.1%57.0%47.5%-1.2%-0.4%38.4K-1.1M-8.0K0.0046.51N/AN/A16803,9761,027
2007-10-12$10.60$10.0048.1%13.8%28.3%56.3%48.1%-2.8%-2.0%39.6K-1.2M-8.2K0.0059.98N/AN/A1304,1041,027
2007-10-15$10.60$10.0047.3%13.6%28.1%54.4%0.0%-0.6%-1.1%38.9K-1.1M-7.8K0.0057.40N/AN/A104,1161,027
2007-10-16$10.17$10.0048.8%14.0%32.2%58.0%54.0%-4.8%-5.4%32.8K-873.6K-7.3K0.2258.25N/AN/A45104,1161,027
2007-10-17$10.16$7.5048.2%13.8%31.3%56.6%0.0%-6.0%-1.0%35.0K-1.1M-8.2K0.5059.39N/AN/A50254,1531,037
2007-10-18$10.21$7.5047.6%13.7%30.6%55.2%0.0%-6.3%-2.0%37.8K-1.1M-8.2K0.0062.27N/AN/A10204,1881,015
2007-10-19$10.01$7.5048.6%13.9%31.3%57.6%48.6%-9.1%-2.6%30.1K-844.4K-7.2K3.0023.78N/AN/A11334,2301,015
2007-10-22$10.37$10.0046.7%13.4%33.8%52.9%46.6%-5.6%-0.2%35.9K-943.5K-7.2K0.6723.17N/AN/A105704,178961
2007-10-23$10.39$10.0046.4%13.3%31.8%52.3%0.0%-4.4%0.9%36.3K-991.3K-7.6K0.0025.77N/AN/A6804,2781,022
2007-10-24$10.48$10.0048.7%14.0%31.9%57.8%48.7%-3.1%-3.5%38.0K-1.0M-7.6K0.7428.25N/AN/A68504,2761,017
2007-10-25$10.19$10.0045.8%13.1%32.9%50.9%46.0%-7.8%-0.4%32.8K-819.8K-7.2K0.0028.10N/AN/A3504,2491,062
2007-10-26$10.67$10.0045.8%13.1%37.1%50.7%45.8%-1.1%1.1%40.6K-1.1M-7.7K0.0036.27N/AN/A5304,2821,062
2007-10-29$10.68$10.0049.2%14.1%36.2%59.1%0.0%-0.9%-2.7%43.1K-1.2M-7.6K0.0037.11N/AN/A1504,3281,062
2007-10-30$10.68$10.0050.6%14.5%36.1%62.3%0.0%0.2%-4.3%43.4K-1.2M-7.4K0.1436.38N/AN/A5074,3361,062
2007-10-31$10.61$10.0046.7%13.4%35.8%53.0%0.0%-0.8%2.4%42.9K-1.2M-7.6K0.0034.72N/AN/A104,3611,069