S Options History — May 2007

In May 2007, S traded between $20.01 and $22.85. ATM implied volatility averaged 28.4%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.9% (HV 20d: 21.5%). 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 11 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2007-05-21: Highest Volume — 66,289 contracts
  • 2007-05-02: Largest IV drop — 23.6% change
  • 2007-05-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.08$20.01$22.85$20.01$22.85
Max Pain$19.86$19.00$20.00$19.00$20.00
ATM IV28.4%23.9%37.3%37.3%31.3%
Expected Move8.2%7.1%10.7%10.7%9.0%
HV 20d21.5%19.1%23.1%20.0%21.1%
HV 60d25.2%21.5%26.9%25.6%22.0%
Term Structure0.0%-7.5%4.1%-7.5%-1.1%
VWIV28.9%24.6%37.8%37.8%31.4%
Skew 25d-1.4%-6.5%8.7%-2.1%-4.8%
Skew 10d-1.9%-10.8%15.1%0.3%-9.5%
Call IV 25d28.6%20.4%41.4%41.4%32.1%
Put IV 25d27.2%20.2%39.3%39.3%27.3%
Bid-Ask Spread %9.625.5317.299.146.20
Gamma HHI0.310.220.360.230.36
Net GEX10.3M5.4M14.2M8.5M10.7M
Net DEX-464.4M-550.6M-348.3M-368.6M-550.6M
Net VEX-3.9M-4.1M-3.8M-3.9M-4.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.103.870.800.10
Total Volume21,942.2275,77466,28926,87211,532
Total OI943,542.727754,2261,077,240974,666824,989

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$20.01$19.0037.3%10.7%20.0%0.0%37.8%-2.1%-7.5%8.5M-368.6M-3.9M0.809.14N/AN/A14,96211,910547,871426,795
2007-05-02$20.67$19.0028.5%8.2%22.8%0.0%27.7%8.6%-1.5%11.4M-499.2M-3.8M0.235.62N/AN/A20,9204,888554,406432,870
2007-05-03$20.79$19.0028.0%8.0%22.5%0.0%29.2%-1.3%-1.2%11.1M-511.3M-3.8M0.376.34N/AN/A28,93510,741545,370434,355
2007-05-04$20.70$20.0027.1%7.7%22.6%0.0%26.9%-2.5%1.4%11.3M-497.2M-3.9M0.368.56N/AN/A18,4716,572560,707435,410
2007-05-07$20.63$20.0024.9%7.5%21.5%0.0%26.2%-3.0%2.0%11.0M-497.8M-3.8M0.3710.64N/AN/A24,3139,109569,827440,387
2007-05-08$20.55$20.0023.9%7.5%21.7%0.0%26.1%-2.2%1.2%11.3M-484.4M-3.9M1.0511.05N/AN/A3,1313,286576,404446,840
2007-05-09$20.50$20.0024.5%7.2%21.4%0.0%26.2%-3.3%3.0%12.0M-483.0M-3.9M0.1317.29N/AN/A17,2032,199573,531447,063
2007-05-10$20.28$20.0025.1%7.2%19.1%0.0%27.1%-5.7%2.6%13.3M-445.6M-3.9M0.2411.67N/AN/A6,5211,545577,712447,305
2007-05-11$20.71$20.0026.1%7.5%20.3%0.0%27.1%-2.9%2.1%12.1M-523.0M-3.9M1.6612.52N/AN/A4,1836,953581,637447,830
2007-05-14$20.37$20.0025.3%7.3%20.8%0.0%26.3%-5.7%3.1%14.0M-464.8M-3.8M2.2312.69N/AN/A10,89324,249584,095452,670
2007-05-15$20.07$20.0024.6%7.1%21.2%0.0%24.6%-6.5%3.5%12.8M-387.4M-4.0M0.597.40N/AN/A17,98810,583587,481473,626
2007-05-16$20.40$20.0026.1%7.5%21.6%0.0%26.2%-6.0%2.7%14.2M-464.9M-3.9M3.8712.11N/AN/A2,5519,872594,706482,534
2007-05-17$20.52$20.0025.9%7.4%20.8%0.0%25.9%-3.9%3.0%7.6M-502.4M-3.9M0.8714.06N/AN/A7,1526,188584,283488,523
2007-05-18$20.79$20.0025.8%7.4%21.1%0.0%28.0%-2.9%4.1%5.4M-544.3M-3.9M0.2010.41N/AN/A18,1173,560588,504488,413
2007-05-21$21.40$20.0031.2%9.0%21.8%0.0%31.2%2.5%-2.9%6.3M-348.3M-4.0M0.1310.50N/AN/A58,8437,446411,669342,557
2007-05-22$21.46$20.0033.0%9.5%21.6%0.0%33.5%-3.1%-5.1%7.9M-370.5M-4.1M0.188.54N/AN/A13,5452,487443,459347,130
2007-05-23$21.87$20.0031.2%8.9%22.3%0.0%31.2%-0.8%-2.8%8.4M-410.4M-4.0M0.3211.64N/AN/A14,9994,870439,591349,103
2007-05-24$22.05$20.0031.6%9.0%22.0%0.0%31.1%-2.2%-2.2%8.7M-436.3M-4.1M0.265.53N/AN/A15,1263,975443,167352,509
2007-05-25$22.10$20.0030.7%8.8%21.9%0.0%30.6%8.3%-1.6%9.0M-446.5M-4.1M0.595.56N/AN/A9,3585,515448,590355,596
2007-05-29$22.15$20.0030.8%8.8%21.3%0.0%30.6%8.7%-0.7%9.5M-450.3M-4.0M1.097.47N/AN/A2,7583,016453,750358,963
2007-05-30$22.85$20.0031.5%9.0%23.1%0.0%31.7%0.1%-1.8%10.4M-529.8M-4.0M0.186.61N/AN/A18,8963,368455,404360,308
2007-05-31$22.85$20.0031.3%9.0%21.1%0.0%31.4%-4.8%-1.1%10.7M-550.6M-4.0M0.106.20N/AN/A10,4891,043463,537361,452