TINY Options History — June 2011

In June 2011, TINY traded between $4.98 and $5.57. ATM implied volatility averaged 47.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 6.0% (HV 20d: 53.1%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.91.

Notable Days

  • 2011-06-08: Highest Volume — 342 contracts
  • 2011-06-06: Largest IV spike — 52.6% change
  • 2011-06-07: Highest IV Rank — 19.7%
  • 2011-06-15: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.17$4.98$5.57$5.35$5.13
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV47.2%35.9%56.6%35.9%36.9%
Expected Move13.3%10.3%15.3%10.3%10.6%
HV 20d53.1%35.5%61.9%60.5%35.5%
HV 60d44.3%43.1%44.9%43.8%44.7%
IV Rank13.0%5.0%19.7%5.0%5.7%
IV Percentile35.4%4.0%64.3%4.0%4.4%
Term Structure4.7%-7.1%17.2%12.1%17.2%
VWIV45.4%35.5%54.2%39.0%35.5%
Bid-Ask Spread %97.7967.04117.2567.04102.27
Gamma HHI0.560.490.690.620.62
Net GEX8.0K4.6K10.2K7.9K10.2K
Net DEX-237.2K-471.9K-103.3K-379.4K-191.8K
Net VEX-1.8K-2.0K-1.6K-1.8K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.910.0040.000.000.00
Total Volume56.9090342945
Total OI3,774.0913,1314,1903,8253,510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$5.35$5.0035.9%10.3%60.5%5.0%39.0%0.0%12.1%7.9K-379.4K-1.8K0.0067.04N/AN/A903,113712
2011-06-02$5.56$5.0043.9%12.6%61.1%10.6%0.0%0.0%13.8%8.8K-455.7K-1.9K0.0092.32N/AN/A11203,115712
2011-06-03$5.57$5.0036.4%12.4%60.6%5.3%0.0%0.0%3.8%8.9K-471.9K-1.8K0.00109.47N/AN/A0203,197712
2011-06-06$5.41$5.0055.6%12.2%61.9%18.9%0.0%0.0%3.4%8.2K-386.1K-1.9K0.00111.35N/AN/A003,197732
2011-06-07$5.32$5.0056.6%13.6%61.2%19.7%0.0%0.0%-7.1%7.6K-345.1K-1.8K0.00109.99N/AN/A603,197732
2011-06-08$5.10$5.0056.0%14.5%61.0%19.2%50.5%0.0%2.4%6.5K-242.8K-1.8K1.4688.18N/AN/A1392033,203732
2011-06-09$5.14$5.0051.1%14.7%58.4%15.7%0.0%0.0%3.0%7.3K-251.1K-2.0K0.0088.18N/AN/A303,298824
2011-06-10$5.17$5.0051.6%14.8%57.2%16.1%0.0%0.0%2.5%7.4K-271.0K-2.0K40.0089.57N/AN/A1403,298824
2011-06-13$5.05$5.0051.5%14.8%57.0%16.0%0.0%0.0%3.2%6.5K-187.3K-1.9K0.0093.86N/AN/A003,298864
2011-06-14$5.16$5.0051.1%14.7%56.7%15.7%51.1%0.0%-0.7%7.1K-276.0K-1.8K5.0090.12N/AN/A2103,298864
2011-06-15$5.00$5.0053.3%15.3%57.9%17.3%0.0%0.0%-3.7%7.2K-148.2K-1.7K1.6798.01N/AN/A15253,298854
2011-06-16$4.99$5.0050.3%14.4%57.8%15.2%0.0%0.0%3.3%7.9K-137.4K-1.8K0.0095.85N/AN/A2503,311879
2011-06-17$4.98$5.0044.3%12.7%47.9%10.9%44.3%0.0%9.6%8.2K-123.7K-1.7K1.2893.64N/AN/A47603,308879
2011-06-20$4.98$5.0044.6%12.8%47.9%11.2%44.6%0.0%7.6%4.6K-103.3K-1.7K0.07102.83N/AN/A219152,539592
2011-06-21$5.23$5.0043.8%12.6%49.5%10.6%43.6%0.0%8.7%8.7K-199.2K-1.8K0.0089.93N/AN/A12502,708607
2011-06-22$5.04$5.0048.5%13.9%50.6%13.9%54.2%0.0%-1.4%8.1K-171.0K-1.7K0.0098.60N/AN/A202,782607
2011-06-23$5.13$5.0048.1%13.8%51.1%13.6%0.0%0.0%8.5%9.0K-176.0K-1.8K0.0091.17N/AN/A0232,784607
2011-06-24$5.07$5.0049.6%14.2%46.3%14.6%0.0%0.0%4.0%8.0K-164.3K-1.7K0.00111.28N/AN/A6502,784630
2011-06-27$5.16$5.0037.2%10.7%45.4%5.9%0.0%0.0%14.8%10.1K-195.0K-1.7K0.00117.25N/AN/A602,844630
2011-06-28$5.09$5.0043.5%12.5%45.0%10.4%0.0%0.0%2.6%9.5K-167.7K-1.8K0.00106.59N/AN/A052,845630
2011-06-29$5.09$5.0047.8%13.7%38.4%13.4%0.0%0.0%-4.3%9.2K-173.4K-1.7K0.00103.86N/AN/A3002,845635
2011-06-30$5.13$5.0036.9%10.6%35.5%5.7%35.5%0.0%17.2%10.2K-191.8K-1.6K0.00102.27N/AN/A4502,875635