TINY Options History — November 2007

In November 2007, TINY traded between $9.26 and $10.36. ATM implied volatility averaged 46.5%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 14.7% (HV 20d: 31.7%). 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 18 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2007-11-16: Highest Volume — 304 contracts
  • 2007-11-09: Largest IV spike — 8.2% change
  • 2007-11-26: Highest IV Rank — 65.6%
  • 2007-11-26: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.88$9.26$10.36$10.36$9.61
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV46.5%41.6%52.0%47.0%44.3%
Expected Move13.7%12.6%14.9%13.5%12.7%
HV 20d31.7%28.4%36.0%35.8%32.9%
HV 60d29.2%27.7%30.7%29.8%30.7%
IV Rank52.4%40.6%65.6%53.6%47.2%
IV Percentile70.9%39.5%97.3%76.2%53.0%
Term Structure1.5%-1.9%4.3%-1.1%2.4%
VWIV47.4%36.7%52.1%48.4%44.4%
Skew 25d-5.4%-16.6%5.5%-7.3%2.9%
Skew 10d-8.7%-28.8%8.9%-13.0%6.2%
Call IV 25d49.2%38.4%60.0%49.9%40.5%
Put IV 25d43.7%41.7%45.8%42.6%43.3%
Bid-Ask Spread %18.0610.6036.0633.8418.05
Gamma HHI0.510.490.550.550.49
Net GEX29.6K22.2K36.3K35.8K24.2K
Net DEX-563.8K-910.3K-192.3K-910.3K-288.6K
Net VEX-5.9K-6.9K-4.8K-6.9K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.060.140.26
Total Volume106.5241030480146
Total OI5,466.195,4085,5435,4315,475

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$10.36$10.0047.0%13.5%35.8%53.6%0.0%-7.3%-1.1%35.8K-910.3K-6.9K0.1433.84N/AN/A70104,3621,069
2007-11-02$10.21$10.0044.0%12.6%36.0%46.5%0.0%-6.3%3.2%35.5K-839.3K-6.9K0.4736.06N/AN/A30144,3721,079
2007-11-05$10.21$10.0046.5%14.0%35.9%52.5%48.4%-8.3%1.3%34.3K-811.1K-6.9K0.1313.52N/AN/A4054,4021,093
2007-11-06$10.35$10.0048.9%13.9%31.9%58.2%48.4%-6.3%2.7%36.3K-886.4K-6.9K2.0613.35N/AN/A17354,4071,098
2007-11-07$10.05$10.0045.1%14.2%32.8%49.1%50.9%-9.7%1.4%33.7K-749.4K-6.7K0.0014.69N/AN/A21904,4131,093
2007-11-08$10.06$10.0041.6%13.4%32.9%40.6%46.9%-9.5%3.9%32.5K-683.9K-6.4K0.1518.43N/AN/A190284,3991,093
2007-11-09$10.16$10.0045.0%13.9%33.1%48.8%48.5%-5.3%1.8%33.4K-784.4K-6.4K0.1414.38N/AN/A3554,3661,114
2007-11-12$10.01$10.0044.9%14.7%33.4%48.5%51.1%-9.5%-1.9%31.6K-665.1K-6.2K1.0514.47N/AN/A19204,3821,119
2007-11-13$10.13$10.0045.7%14.2%30.4%50.6%51.0%-5.1%0.0%32.1K-684.9K-6.2K0.0025.49N/AN/A16804,3741,129
2007-11-14$10.17$10.0045.9%13.3%30.5%51.1%44.6%-5.5%2.0%32.8K-758.0K-6.1K0.2219.18N/AN/A90204,4141,129
2007-11-15$10.01$10.0047.2%13.5%30.9%54.2%50.6%-5.1%2.1%29.8K-582.1K-6.0K0.0013.84N/AN/A4404,3841,139
2007-11-16$9.90$10.0047.1%13.5%30.4%53.9%46.7%-7.3%1.1%29.8K-484.1K-5.7K0.1215.32N/AN/A271334,4001,139
2007-11-19$9.66$10.0047.8%13.7%28.4%55.6%47.8%-10.2%1.8%27.2K-454.0K-5.7K0.0013.74N/AN/A13604,3521,076
2007-11-20$9.82$10.0045.6%13.1%29.2%50.4%44.7%5.5%4.3%28.2K-482.7K-5.7K0.8513.52N/AN/A13114,3501,076
2007-11-21$9.58$10.0048.8%14.0%29.8%57.9%36.7%1.2%0.7%26.6K-399.0K-5.6K0.1717.89N/AN/A3054,3401,071
2007-11-23$9.76$10.0048.9%14.0%29.6%58.2%0.0%-9.7%0.7%27.2K-485.9K-5.7K0.0017.74N/AN/A1004,3421,066
2007-11-26$9.26$10.0052.0%14.9%29.0%65.6%52.1%-16.6%-1.5%23.1K-202.0K-5.0K0.1710.60N/AN/A133224,3421,066
2007-11-27$9.26$10.0048.0%13.8%28.9%56.0%47.7%-1.9%0.7%22.6K-192.3K-4.9K0.5420.62N/AN/A94514,3471,079
2007-11-28$9.57$10.0045.5%13.1%32.2%50.1%45.5%0.5%3.3%23.4K-285.0K-5.0K1.2718.64N/AN/A70894,3081,100
2007-11-29$9.42$10.0046.3%13.3%32.4%52.0%46.3%-0.8%2.6%22.2K-210.3K-4.8K0.1915.94N/AN/A54104,3001,131
2007-11-30$9.61$10.0044.3%12.7%32.9%47.2%44.4%2.9%2.4%24.2K-288.6K-4.9K0.2618.05N/AN/A116304,3441,131