TINY Options History — December 2007

In December 2007, TINY traded between $8.02 and $9.28. ATM implied volatility averaged 43.8%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 4.8% (HV 20d: 39.0%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.93.

Notable Days

  • 2007-12-11: Highest Volume — 272 contracts
  • 2007-12-27: Largest IV drop — 27.6% change
  • 2007-12-10: Highest IV Rank — 69.1%
  • 2007-12-18: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.74$8.02$9.28$9.13$8.79
Max Pain$8.00$7.50$10.00$10.00$7.50
ATM IV43.8%32.9%53.4%38.6%34.6%
Expected Move12.6%9.4%15.0%11.1%9.9%
HV 20d39.0%34.3%47.7%36.8%47.7%
HV 60d34.1%32.0%38.7%32.4%38.7%
IV Rank46.0%19.9%69.1%33.4%23.9%
IV Percentile54.1%8.5%97.9%22.1%10.0%
Term Structure5.4%-2.8%21.9%1.1%13.1%
VWIV44.0%31.1%54.0%31.1%44.3%
Skew 25d-24.5%-56.5%-7.8%-7.9%-55.4%
Skew 10d-33.4%-91.3%-5.9%-8.8%-91.3%
Call IV 25d71.6%46.2%122.9%46.2%122.9%
Put IV 25d47.1%38.3%67.6%38.3%67.6%
Bid-Ask Spread %54.0310.6877.3728.4261.25
Gamma HHI0.440.390.490.490.43
Net GEX15.5K8.1K21.3K20.9K13.5K
Net DEX10.6K-463.7K408.0K-32.5K-254.4K
Net VEX-3.6K-4.4K-2.4K-4.2K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.0037.860.080.00
Total Volume94.9519272175266
Total OI5,084.152,9145,9165,4373,035

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$9.13$10.0038.6%11.1%36.8%33.4%31.1%-7.9%1.1%20.9K-32.5K-4.2K0.0828.42N/AN/A162134,3361,101
2007-12-04$9.07$10.0041.0%11.8%36.8%39.4%48.9%-9.5%-2.2%21.3K-93.0K-4.4K0.2429.27N/AN/A1744,4911,106
2007-12-05$8.94$10.0047.3%13.6%36.1%54.5%47.3%-7.9%-2.8%19.7K-20.8K-4.1K0.5010.68N/AN/A54274,4881,110
2007-12-06$8.96$10.0044.5%12.7%35.3%47.6%47.7%-10.1%-1.9%20.5K-50.0K-4.2K0.1527.14N/AN/A110164,5351,135
2007-12-07$8.82$7.5046.3%13.8%35.4%52.0%0.0%-7.8%-1.7%20.3K-21.2K-4.3K0.2959.05N/AN/A35104,6311,151
2007-12-10$8.78$7.5053.4%14.2%34.9%69.1%31.3%-13.1%-1.6%21.0K-42.2K-4.2K0.1945.97N/AN/A1634,6661,141
2007-12-11$8.72$7.5045.1%12.2%34.8%49.0%0.0%-24.1%20.7%19.0K58.6K-3.7K37.8648.60N/AN/A72654,6741,141
2007-12-12$8.50$7.5039.5%12.8%34.6%35.6%0.0%-52.4%11.6%11.5K320.5K-3.2K1.5845.17N/AN/A19304,6741,223
2007-12-13$8.49$7.5039.9%11.4%34.4%36.7%54.0%-56.5%21.9%13.0K220.2K-3.5K0.4751.24N/AN/A64304,6751,203
2007-12-14$8.40$7.5047.2%13.5%34.3%54.3%47.2%-55.4%3.2%12.6K236.1K-3.5K0.2874.05N/AN/A67194,7001,213
2007-12-17$8.02$7.5048.5%13.9%36.8%57.2%0.0%0.0%1.6%8.1K408.0K-2.4K1.4271.00N/AN/A36514,7161,200
2007-12-18$8.28$7.5052.2%15.0%39.3%66.2%51.9%0.0%-2.1%8.8K345.0K-2.5K1.1768.83N/AN/A36424,7241,149
2007-12-19$8.33$7.5050.8%14.6%38.7%62.8%0.0%0.0%1.8%9.3K324.7K-2.6K2.0077.37N/AN/A24484,7291,142
2007-12-20$8.30$7.5048.9%14.0%38.2%58.2%0.0%0.0%1.9%11.6K218.7K-3.2K9.7574.92N/AN/A4394,7221,166
2007-12-21$8.89$7.5045.6%13.1%46.0%50.2%45.8%0.0%3.6%14.1K114.1K-3.8K2.3172.23N/AN/A451044,7261,175
2007-12-24$9.15$7.5036.2%10.4%43.8%27.8%0.0%0.0%6.0%16.9K-420.9K-4.0K0.0074.45N/AN/A6302,273641
2007-12-26$9.28$7.5045.5%13.1%44.1%50.1%43.3%0.0%1.1%17.9K-463.7K-4.0K0.1738.69N/AN/A2952,297641
2007-12-27$8.87$7.5032.9%9.4%45.1%19.9%0.0%0.0%12.8%14.1K-293.3K-3.6K0.0861.33N/AN/A6152,314641
2007-12-28$9.15$7.5038.0%10.9%46.5%32.0%35.4%0.0%20.5%15.7K-341.6K-3.8K0.0060.97N/AN/A7302,352646
2007-12-31$8.79$7.5034.6%9.9%47.7%23.9%44.3%0.0%13.1%13.5K-254.4K-3.5K0.0061.25N/AN/A26602,389646