S Options History — January 2007

In January 2007, S traded between $17.00 and $19.65. ATM implied volatility averaged 26.7%. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 26.7% (HV 20d: 53.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2007-01-09: Highest Volume — 167,547 contracts
  • 2007-01-09: Largest IV spike — 21.3% change
  • 2007-01-05: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.83$17.00$19.65$19.04$17.83
Max Pain$19.00$17.50$20.00$17.50$19.00
ATM IV26.7%22.8%31.9%24.1%22.8%
Expected Move7.7%6.5%8.5%6.9%6.5%
HV 20d53.4%50.6%56.7%56.7%50.6%
Term Structure1.2%-2.3%2.9%2.9%2.3%
VWIV27.0%22.8%29.9%23.2%22.8%
Skew 25d0.2%-6.7%7.2%4.1%-3.9%
Skew 10d0.4%-10.9%17.0%8.2%-7.0%
Call IV 25d27.5%22.7%31.4%25.1%25.4%
Put IV 25d27.7%20.8%31.4%29.2%21.5%
Bid-Ask Spread %10.414.7616.1310.669.16
Gamma HHI0.180.150.230.200.16
Net GEX3.5M900.0K7.5M5.6M3.6M
Net DEX-8.0M-319.7M179.8M-170.4M-46.2M
Net VEX-3.1M-3.4M-2.6M-3.0M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.092.030.450.21
Total Volume28,754.22,194167,5474,85110,721
Total OI958,684.2736,3031,136,476982,347842,267

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$19.04$17.5024.1%6.9%0.0%0.0%23.2%4.1%2.9%5.6M-170.4M-3.0M0.4510.66N/AN/A3,3391,512561,847420,500
2007-01-04$19.65$17.5023.7%6.8%0.0%0.0%23.6%2.7%2.6%7.0M-314.5M-3.0M0.0911.75N/AN/A10,575938561,969421,073
2007-01-05$19.21$20.0025.0%8.5%0.0%0.0%29.5%7.2%-1.4%6.1M-210.7M-3.0M0.399.00N/AN/A10,9914,335567,320421,624
2007-01-08$19.64$20.0026.3%8.2%0.0%0.0%28.9%2.5%-1.2%7.5M-319.7M-3.0M0.318.80N/AN/A6,7322,115575,444421,805
2007-01-09$17.45$20.0031.9%8.5%0.0%0.0%29.9%1.8%-2.3%2.0M147.1M-2.6M0.8116.13N/AN/A92,81774,730575,958423,611
2007-01-10$17.85$19.0030.4%8.5%0.0%0.0%29.5%3.3%-0.5%3.4M10.0M-3.0M0.7414.74N/AN/A12,1988,993634,955441,548
2007-01-11$17.44$19.0028.1%8.0%0.0%0.0%26.3%1.1%0.6%3.2M96.5M-2.9M0.3210.93N/AN/A18,1755,802630,265435,857
2007-01-12$17.25$19.0027.8%8.0%0.0%0.0%28.0%1.7%1.1%2.7M126.5M-2.9M0.669.52N/AN/A10,8597,178646,638437,985
2007-01-16$17.15$19.0027.4%7.9%0.0%0.0%27.3%3.0%0.8%2.0M161.8M-2.7M1.0415.55N/AN/A22,97823,957653,890437,759
2007-01-17$17.00$19.0028.4%8.2%0.0%0.0%28.5%1.3%0.9%900.0K179.8M-2.9M0.318.79N/AN/A20,5176,284673,172448,735
2007-01-18$17.21$19.0027.2%7.8%0.0%0.0%26.8%-0.6%1.4%3.0M122.7M-3.0M0.3514.85N/AN/A7,8032,722684,838449,601
2007-01-19$17.23$19.0027.1%7.8%0.0%0.0%28.7%-0.5%1.9%4.1M164.1M-2.9M1.6911.47N/AN/A14,63224,713689,348447,128
2007-01-22$17.30$19.0028.7%8.2%0.0%0.0%29.4%-0.5%2.8%2.2M4.1M-3.0M2.0310.56N/AN/A31,62064,129447,496288,807
2007-01-23$17.45$19.0026.7%7.7%0.0%0.0%26.7%1.1%2.9%2.3M810.0K-3.3M0.676.02N/AN/A9,6826,502465,294337,587
2007-01-24$17.84$19.0026.5%7.6%0.0%0.0%26.3%-3.0%1.5%3.5M-55.0M-3.3M0.438.28N/AN/A18,9488,115468,120333,760
2007-01-25$17.52$19.0026.2%7.5%56.7%0.0%27.0%0.9%0.9%2.9M-16.7M-3.4M0.8614.03N/AN/A4,0833,501481,554344,470
2007-01-26$17.49$19.0026.1%7.5%54.8%0.0%26.1%-5.9%2.0%2.9M-12.1M-3.4M0.514.76N/AN/A1,454740483,311346,539
2007-01-29$17.47$19.0025.8%7.4%53.1%0.0%27.3%-6.7%2.4%2.7M-4.9M-3.3M0.676.24N/AN/A7,4174,946484,291346,987
2007-01-30$17.65$19.0024.4%7.0%51.8%0.0%24.6%-6.3%2.2%3.2M-23.1M-3.3M0.647.04N/AN/A5,0873,244490,001350,330
2007-01-31$17.83$19.0022.8%6.5%50.6%0.0%22.8%-3.9%2.3%3.6M-46.2M-3.4M0.219.16N/AN/A8,8831,838490,203352,064