TINY Options History — August 2011

In August 2011, TINY traded between $3.96 and $5.09. ATM implied volatility averaged 57.5%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 8.0% (HV 20d: 65.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 2.85.

Notable Days

  • 2011-08-08: Highest Volume — 146 contracts
  • 2011-08-11: Largest IV drop — 51.5% change
  • 2011-08-10: Highest IV Rank — 64.3%
  • 2011-08-09: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.29$3.96$5.09$5.09$4.15
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV57.5%44.4%95.8%51.0%53.4%
Expected Move15.3%12.7%17.9%14.6%15.3%
HV 20d65.5%35.2%78.0%35.2%77.3%
HV 60d52.3%45.1%57.6%45.1%52.7%
IV Rank27.5%14.9%64.3%21.3%23.6%
IV Percentile64.2%25.0%92.9%54.4%62.7%
Term Structure2.5%-14.4%15.4%3.3%-2.5%
VWIV50.6%45.9%56.7%53.9%49.4%
Bid-Ask Spread %83.2555.52113.20109.9567.78
Gamma HHI0.650.480.860.620.65
Net GEX1.4K3833.8K3.8K740
Net DEX92.7K-139.3K197.3K-139.3K171.8K
Net VEX-1.2K-1.6K-916-1.5K-984
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.850.0015.000.600.00
Total Volume34.130146162
Total OI3,714.3483,4773,8493,4773,747

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$5.09$5.0051.0%14.6%35.2%21.3%0.0%0.0%3.3%3.8K-139.3K-1.5K0.60109.95N/AN/A1062,747730
2011-08-02$4.90$5.0054.7%15.7%37.5%24.8%0.0%0.0%-7.3%3.6K-104.4K-1.4K0.00109.74N/AN/A0382,752736
2011-08-03$4.90$5.0053.6%15.4%35.7%23.7%53.9%0.0%-1.8%3.2K-63.4K-1.5K0.03110.58N/AN/A11642,752774
2011-08-04$4.52$5.0054.6%15.7%41.9%24.7%56.7%0.0%0.8%3.2K-14.2K-1.5K0.75113.20N/AN/A72542,853778
2011-08-05$4.38$5.0060.8%15.6%42.6%30.7%47.3%0.0%-7.5%2.6K42.8K-1.5K1.5055.52N/AN/A20302,897832
2011-08-08$3.96$5.0085.6%15.0%53.2%54.5%54.6%0.0%13.2%916117.0K-1.2K0.0766.27N/AN/A136102,917842
2011-08-09$4.35$5.0074.7%17.9%64.5%44.0%46.7%0.0%15.4%3.4K10.5K-1.6K15.0092.63N/AN/A3452,897852
2011-08-10$4.00$5.0095.8%15.7%69.1%64.3%0.0%0.0%8.7%872115.8K-1.1K0.0093.28N/AN/A002,898837
2011-08-11$4.24$5.0046.4%13.3%73.8%16.9%45.9%0.0%15.3%1.0K114.4K-1.2K8.0064.46N/AN/A2162,898837
2011-08-12$4.13$5.0050.4%14.5%74.0%20.7%49.4%0.0%12.7%1.0K111.7K-1.2K10.4066.06N/AN/A5522,900827
2011-08-15$4.25$5.0049.3%14.1%75.3%19.7%0.0%0.0%8.6%759132.0K-1.1K0.0093.43N/AN/A002,905866
2011-08-16$4.30$5.0054.7%15.7%74.1%24.8%0.0%0.0%11.7%1.2K91.6K-1.3K0.0093.97N/AN/A1202,905866
2011-08-17$4.30$5.0052.6%15.1%74.1%22.8%0.0%0.0%10.2%956104.5K-1.2K0.7166.22N/AN/A35252,912866
2011-08-18$4.14$5.0049.5%14.2%73.6%19.8%0.0%0.0%14.6%782138.7K-1.1K0.0066.50N/AN/A5202,925872
2011-08-19$4.00$5.0056.3%16.1%74.0%26.3%0.0%0.0%4.3%736144.3K-1.1K0.0067.00N/AN/A0252,977872
2011-08-22$4.01$5.0044.4%12.7%74.2%14.9%0.0%0.0%11.7%383197.3K-9160.0066.86N/AN/A002,840897
2011-08-23$4.10$5.0056.5%16.2%75.0%26.5%0.0%0.0%-11.7%640157.4K-1.1K0.0092.33N/AN/A202,840897
2011-08-24$4.19$5.0056.6%16.2%74.3%26.6%0.0%0.0%-11.4%777143.5K-1.1K0.0095.16N/AN/A002,838897
2011-08-25$4.02$5.0060.1%17.2%75.2%30.0%0.0%0.0%-14.4%569161.6K-1.0K0.0093.49N/AN/A002,838897
2011-08-26$4.12$5.0057.2%16.4%76.1%27.2%0.0%0.0%-14.0%634162.7K-1.0K0.0065.87N/AN/A002,838897
2011-08-29$4.28$5.0058.7%16.8%78.0%28.6%0.0%0.0%-10.9%808142.0K-1.1K0.0096.05N/AN/A1302,838897
2011-08-30$4.23$5.0046.1%13.2%77.2%16.5%0.0%0.0%9.0%664193.8K-9540.0068.29N/AN/A002,850897
2011-08-31$4.15$5.0053.4%15.3%77.3%23.6%0.0%0.0%-2.5%740171.8K-9840.0067.78N/AN/A022,850897