S Options History — April 2007

In April 2007, S traded between $19.18 and $20.64. ATM implied volatility averaged 28.7%. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.0% (HV 20d: 22.7%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2007-04-17: Highest Volume — 26,170 contracts
  • 2007-04-09: Largest IV spike — 19.0% change
  • 2007-04-30: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.93$19.18$20.64$19.30$20.03
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV28.7%21.5%34.2%25.4%34.2%
Expected Move8.5%6.2%9.8%7.3%9.8%
HV 20d22.7%20.4%25.2%22.2%20.8%
HV 60d26.9%24.7%35.8%35.8%25.7%
Term Structure-1.6%-5.6%7.3%5.0%-5.4%
VWIV30.4%21.9%35.5%25.0%34.9%
Skew 25d2.0%0.3%4.0%3.8%0.8%
Skew 10d5.5%-4.3%12.1%3.9%5.7%
Call IV 25d29.4%21.4%35.9%23.8%35.9%
Put IV 25d31.4%22.1%36.7%27.6%36.7%
Bid-Ask Spread %9.885.4918.9617.356.63
Gamma HHI0.230.180.310.180.23
Net GEX8.4M3.8M13.1M4.7M8.7M
Net DEX-359.4M-526.3M-198.0M-216.3M-370.7M
Net VEX-4.0M-4.1M-3.9M-4.1M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.025.971.000.51
Total Volume12,744.51,64726,1707,49019,785
Total OI970,868.8946,7151,005,974950,597964,793

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$19.30$19.0025.4%7.3%22.2%0.0%25.0%3.8%5.0%4.7M-216.3M-4.1M1.0017.35N/AN/A3,7493,741527,856422,741
2007-04-03$19.40$19.0024.7%7.1%22.2%0.0%24.2%0.3%4.9%5.4M-247.8M-4.1M0.249.07N/AN/A16,5153,977529,397423,609
2007-04-04$19.64$19.0022.1%6.3%22.6%0.0%22.5%2.8%7.2%6.6M-305.9M-4.1M0.5514.71N/AN/A2,8781,586539,478426,141
2007-04-05$19.60$19.0021.5%6.2%22.0%0.0%21.9%2.3%7.3%6.2M-286.4M-4.1M4.2414.17N/AN/A1,1454,851535,224426,800
2007-04-09$19.27$19.0025.6%8.7%22.8%0.0%29.9%1.1%-3.4%4.5M-219.0M-4.0M1.507.58N/AN/A660987533,987430,062
2007-04-10$19.33$19.0026.1%9.2%22.8%0.0%33.6%4.0%-5.3%4.8M-230.0M-4.0M0.867.24N/AN/A1,8891,619534,152430,263
2007-04-11$19.18$19.0026.1%9.0%21.5%0.0%34.4%2.3%-3.8%3.8M-198.0M-4.0M5.977.79N/AN/A3151,881534,437430,993
2007-04-12$19.80$19.0029.1%8.3%23.4%0.0%31.0%3.3%-2.6%7.5M-322.9M-3.9M0.358.58N/AN/A13,9094,833534,589431,860
2007-04-13$19.93$19.0029.9%8.6%22.8%0.0%30.1%2.5%-3.3%8.6M-355.0M-4.0M0.0218.96N/AN/A20,629492544,966432,602
2007-04-16$20.20$19.0030.1%8.6%23.0%0.0%32.4%1.5%-3.4%11.7M-431.3M-3.9M0.428.06N/AN/A14,3226,083554,031432,912
2007-04-17$20.41$19.0029.1%8.3%23.1%0.0%29.2%0.4%-2.0%12.1M-465.4M-3.9M0.3312.20N/AN/A19,7436,427549,479435,224
2007-04-18$20.64$19.0028.6%8.2%23.3%0.0%29.7%0.3%-1.6%11.1M-526.3M-3.9M0.427.98N/AN/A3,4831,453560,693435,873
2007-04-19$20.28$19.0030.9%8.8%24.5%0.0%32.2%2.6%-4.0%13.1M-449.4M-3.9M1.558.98N/AN/A4,4536,904561,385432,949
2007-04-20$20.44$19.0031.4%9.0%24.4%0.0%31.9%2.0%-3.7%11.6M-499.1M-3.9M0.0710.38N/AN/A22,2341,538567,613438,361
2007-04-23$20.04$19.0031.5%9.0%25.2%0.0%32.8%1.8%-3.2%9.0M-374.5M-3.9M1.565.49N/AN/A6,95810,825536,408410,307
2007-04-24$20.27$19.0031.3%9.0%23.0%0.0%31.7%0.3%-3.1%9.6M-417.4M-3.9M0.749.31N/AN/A12,7269,434541,677420,027
2007-04-25$20.41$19.0031.9%9.1%23.0%0.0%35.5%1.1%-3.4%9.9M-453.9M-3.9M0.4510.91N/AN/A6,3822,892550,140423,833
2007-04-26$20.27$19.0031.4%9.0%21.8%0.0%31.6%3.7%-3.5%8.9M-410.2M-3.9M0.305.78N/AN/A8,7362,611542,522420,413
2007-04-27$20.21$19.0033.1%9.5%20.4%0.0%34.0%2.7%-5.6%9.6M-407.9M-3.9M0.526.39N/AN/A1,481764548,212421,367
2007-04-30$20.03$19.0034.2%9.8%20.8%0.0%34.9%0.8%-5.4%8.7M-370.7M-3.9M0.516.63N/AN/A13,0706,715542,932421,861