S Options History — February 2007

In February 2007, S traded between $17.72 and $19.53. ATM implied volatility averaged 27.8%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.1% (HV 20d: 24.6%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.13.

Notable Days

  • 2007-02-20: Highest Volume — 99,195 contracts
  • 2007-02-27: Largest IV spike — 52.5% change
  • 2007-02-27: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.49$17.72$19.53$17.88$19.30
Max Pain$18.11$18.00$19.00$19.00$19.00
ATM IV27.8%23.3%40.3%23.3%28.4%
Expected Move8.0%6.7%11.6%6.7%8.1%
HV 20d24.6%15.2%49.3%49.3%30.7%
Term Structure-1.7%-7.9%2.6%2.6%0.3%
VWIV28.0%20.4%37.1%20.4%28.7%
Skew 25d3.4%-2.4%6.8%-2.4%1.1%
Skew 10d3.9%-4.4%16.0%-4.4%-0.9%
Call IV 25d26.8%23.5%38.4%25.2%28.8%
Put IV 25d30.2%22.8%42.5%22.8%30.0%
Bid-Ask Spread %14.086.9820.416.9817.56
Gamma HHI0.200.150.680.160.19
Net GEX7.1M3.6M39.0M4.1M6.0M
Net DEX-161.0M-308.9M-41.2M-63.3M-272.7M
Net VEX-3.6M-4.1M-3.4M-3.4M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.122.770.741.36
Total Volume27,757.2111,95399,1956,44761,851
Total OI864,924.211779,926911,836848,866898,058

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$17.88$19.0023.3%6.7%49.3%0.0%20.4%-2.4%2.6%4.1M-63.3M-3.4M0.746.98N/AN/A3,7022,745496,018352,848
2007-02-02$17.72$18.0024.1%7.2%47.6%0.0%25.9%3.3%1.2%3.6M-44.8M-3.4M1.1712.95N/AN/A3,2653,822501,152354,888
2007-02-05$17.77$18.0025.6%7.3%47.2%0.0%25.4%2.7%1.2%3.9M-44.5M-3.4M0.3016.89N/AN/A1,506447503,498357,228
2007-02-06$17.75$18.0026.0%7.7%46.2%0.0%26.8%3.1%-0.9%3.6M-41.2M-3.4M0.4918.21N/AN/A5,5862,750504,017357,153
2007-02-07$18.05$18.0025.0%7.5%19.5%0.0%26.8%4.2%-0.3%4.6M-83.1M-3.4M1.329.79N/AN/A13,42417,737506,951358,207
2007-02-08$17.92$18.0026.7%7.7%18.1%0.0%26.7%1.5%0.8%4.2M-69.8M-3.4M0.6819.98N/AN/A5,8834,007514,771363,659
2007-02-09$18.00$18.0027.1%7.8%15.9%0.0%27.2%5.0%-0.4%4.7M-90.1M-3.4M2.7716.53N/AN/A2,1926,073520,232360,975
2007-02-12$17.90$18.0027.8%8.0%15.4%0.0%30.0%4.5%-1.3%4.5M-79.6M-3.4M1.5310.94N/AN/A2,0023,065521,275363,875
2007-02-13$18.36$18.0027.0%7.7%17.2%0.0%24.6%5.7%-2.7%5.1M-145.4M-3.4M2.6511.18N/AN/A6,01115,957520,940365,988
2007-02-14$18.53$18.0025.6%7.3%16.7%0.0%25.0%4.1%-1.2%6.3M-169.4M-3.4M1.7019.22N/AN/A4,5647,778523,507364,804
2007-02-15$18.58$18.0026.9%7.7%16.5%0.0%27.0%4.4%-2.1%6.8M-174.0M-3.4M0.1213.56N/AN/A23,9322,915525,803366,656
2007-02-16$18.97$18.0028.0%8.0%17.5%0.0%28.6%3.4%-1.5%39.0M-262.9M-3.5M1.0614.00N/AN/A27,75329,334544,910366,926
2007-02-20$19.12$18.0031.2%8.9%17.5%0.0%31.5%3.2%-5.0%6.9M-262.9M-3.7M0.4511.70N/AN/A68,26730,928453,409326,517
2007-02-21$18.97$18.0030.1%8.6%18.0%0.0%30.0%2.2%-4.5%6.3M-231.8M-3.8M0.458.99N/AN/A3,0461,367474,786354,553
2007-02-22$19.24$18.0028.8%8.3%17.2%0.0%28.9%4.1%-4.5%7.0M-266.3M-3.8M1.1510.84N/AN/A20,08123,025474,360355,608
2007-02-23$19.27$18.0029.4%8.4%15.2%0.0%32.1%3.2%-4.5%6.7M-273.9M-3.9M1.6115.15N/AN/A3,0504,920482,020366,476
2007-02-26$19.53$18.0026.4%7.6%15.3%0.0%29.9%6.8%-2.0%7.4M-308.9M-3.8M1.1212.62N/AN/A36,88441,447482,028366,577
2007-02-27$18.45$18.0040.3%11.6%26.9%0.0%37.1%4.2%-7.9%4.7M-173.6M-4.0M0.8520.41N/AN/A19,45316,618496,499386,388
2007-02-28$19.30$19.0028.4%8.1%30.7%0.0%28.7%1.1%0.3%6.0M-272.7M-4.1M1.3617.56N/AN/A26,19835,653499,883398,175