S Options History — March 2007

In March 2007, S traded between $18.51 and $19.96. ATM implied volatility averaged 26.6%. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 5.1% (HV 20d: 31.7%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.06.

Notable Days

  • 2007-03-01: Highest Volume — 59,401 contracts
  • 2007-03-15: Largest IV drop — 17.1% change
  • 2007-03-02: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.29$18.51$19.96$19.95$18.96
Max Pain$19.41$19.00$20.00$19.00$19.00
ATM IV26.6%22.0%31.4%29.8%24.8%
Expected Move7.5%6.3%8.6%8.5%7.1%
HV 20d31.7%21.8%34.4%32.3%21.8%
HV 60d37.8%36.2%39.8%39.8%36.2%
Term Structure2.7%-2.8%6.1%-2.8%6.0%
VWIV26.3%22.1%30.9%30.9%24.8%
Skew 25d2.1%-1.7%6.5%2.1%2.5%
Skew 10d3.5%-10.0%12.4%7.8%-3.3%
Call IV 25d25.3%20.1%30.3%30.0%24.4%
Put IV 25d27.4%21.8%32.2%32.2%26.9%
Bid-Ask Spread %11.568.3018.0811.0214.88
Gamma HHI0.210.150.280.220.17
Net GEX6.5M2.0M14.4M7.6M3.3M
Net DEX-241.5M-386.2M-90.5M-383.9M-154.7M
Net VEX-4.2M-4.4M-4.0M-4.2M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.126.550.380.43
Total Volume15,400.4553,74459,40159,40116,051
Total OI939,497.182911,827970,205923,403949,633

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$19.95$19.0029.8%8.5%32.3%0.0%30.9%2.1%-2.8%7.6M-383.9M-4.2M0.3811.02N/AN/A43,08116,320508,459414,944
2007-03-02$19.96$19.0030.1%8.6%32.4%0.0%30.1%0.5%-1.4%8.8M-386.2M-4.2M0.7712.99N/AN/A20,96616,116526,033392,430
2007-03-05$19.61$20.0031.1%8.4%33.0%0.0%30.2%0.9%0.2%8.1M-309.2M-4.3M0.4018.08N/AN/A4,7021,860528,579403,438
2007-03-06$19.69$20.0029.6%8.2%33.0%0.0%28.7%2.3%1.5%8.3M-328.8M-4.2M0.609.39N/AN/A19,88311,990525,387401,920
2007-03-07$19.81$20.0028.0%8.2%32.9%0.0%28.6%1.8%0.4%9.1M-359.7M-4.4M0.1815.44N/AN/A6,9101,235535,995412,929
2007-03-08$19.54$20.0027.6%7.7%33.3%0.0%26.9%1.0%2.6%8.7M-309.2M-4.4M0.289.71N/AN/A6,3411,778537,810412,301
2007-03-09$19.47$20.0025.9%7.8%33.2%0.0%26.9%0.0%1.9%9.1M-290.8M-4.3M0.128.30N/AN/A10,6521,264538,459413,189
2007-03-12$19.47$20.0027.9%8.0%33.2%0.0%27.8%-0.5%0.8%9.1M-293.8M-4.2M6.558.86N/AN/A1,83011,986535,009413,907
2007-03-13$19.04$20.0029.7%7.9%34.4%0.0%29.0%-1.7%2.7%6.8M-201.1M-4.2M0.3516.19N/AN/A8,6913,085535,052424,213
2007-03-14$19.40$20.0031.4%7.7%33.9%0.0%26.8%6.5%2.1%8.0M-261.9M-4.2M1.0110.40N/AN/A9,5049,595533,393425,204
2007-03-15$19.13$20.0026.0%7.5%34.3%0.0%26.0%3.2%2.2%7.2M-211.6M-4.3M0.4110.39N/AN/A5,0392,052539,900428,030
2007-03-16$19.04$19.0025.5%7.3%34.4%0.0%25.4%3.6%3.9%14.4M-200.9M-4.2M0.508.97N/AN/A12,4096,174542,997427,208
2007-03-19$19.06$19.0024.3%7.0%33.6%0.0%24.0%3.5%3.8%3.9M-190.9M-4.1M2.678.93N/AN/A2,0305,430509,060402,767
2007-03-20$19.15$19.0024.4%7.0%33.5%0.0%23.3%4.7%3.1%4.1M-198.3M-4.2M0.3511.04N/AN/A2,767977510,349404,616
2007-03-21$19.29$19.0023.1%6.6%33.5%0.0%23.1%3.4%4.2%4.5M-223.5M-4.2M0.2711.28N/AN/A13,8643,757511,251404,927
2007-03-22$19.45$19.0022.3%6.4%33.2%0.0%22.2%2.8%6.1%5.6M-257.7M-4.2M0.969.05N/AN/A5,3015,068519,147407,360
2007-03-23$19.22$19.0022.0%6.3%33.5%0.0%22.1%-0.2%5.8%4.7M-209.5M-4.2M2.049.38N/AN/A1,9884,059521,999411,330
2007-03-26$18.72$19.0025.0%7.2%34.3%0.0%26.1%1.9%4.3%2.8M-121.6M-4.1M1.2611.45N/AN/A7,6649,629519,813412,280
2007-03-27$18.86$19.0025.1%7.2%27.7%0.0%25.5%1.5%4.0%3.3M-154.6M-4.1M1.6112.81N/AN/A2,9114,678523,981416,802
2007-03-28$18.51$19.0025.0%7.2%23.1%0.0%25.1%1.9%4.5%2.0M-90.5M-4.0M1.1910.48N/AN/A4,3975,219522,299417,724
2007-03-29$19.00$19.0025.5%7.3%21.8%0.0%26.0%4.0%4.4%3.7M-175.0M-4.1M1.0715.33N/AN/A4,6254,932525,814421,000
2007-03-30$18.96$19.0024.8%7.1%21.8%0.0%24.8%2.5%6.0%3.3M-154.7M-4.1M0.4314.88N/AN/A11,2094,842526,948422,685