S Options History — June 2007

In June 2007, S traded between $20.71 and $23.34. ATM implied volatility averaged 28.9%. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.8% (HV 20d: 25.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2007-06-12: Highest Volume — 36,067 contracts
  • 2007-06-13: Largest IV drop — 23.6% change
  • 2007-06-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.08$20.71$23.34$22.87$20.71
Max Pain$22.38$20.00$22.50$20.00$22.50
ATM IV28.9%23.6%36.6%31.4%27.3%
Expected Move7.8%6.8%9.0%9.0%7.8%
HV 20d25.1%21.1%27.5%21.1%24.3%
HV 60d23.0%22.0%23.9%22.0%23.3%
Term Structure3.0%-2.4%5.1%-2.4%4.7%
VWIV27.5%23.4%36.3%36.3%27.2%
Skew 25d-1.3%-10.8%5.8%-8.6%-0.1%
Skew 10d-2.8%-17.0%9.9%-14.8%-2.3%
Call IV 25d28.2%20.3%36.5%36.5%26.8%
Put IV 25d27.0%15.5%30.8%27.9%26.7%
Bid-Ask Spread %12.495.3925.7112.0311.42
Gamma HHI0.320.220.600.360.22
Net GEX9.3M4.1M13.7M10.9M4.1M
Net DEX-406.7M-612.3M-194.6M-565.0M-194.6M
Net VEX-3.9M-4.2M-1.8M-4.0M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.072.240.751.09
Total Volume14,932.7622,79536,06722,4928,763
Total OI818,515.238362,755877,205829,827829,711

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$22.87$20.0031.4%9.0%21.1%0.0%36.3%-8.6%-2.4%10.9M-565.0M-4.0M0.7512.03N/AN/A12,8629,630467,583362,244
2007-06-04$23.34$22.5036.6%8.6%21.5%0.0%29.2%3.3%0.8%10.9M-612.3M-3.9M0.0715.77N/AN/A23,9641,668464,581367,355
2007-06-05$22.90$22.5035.7%8.4%23.1%0.0%29.2%1.0%1.8%11.6M-558.4M-4.1M0.4812.40N/AN/A7,4013,557476,185368,574
2007-06-06$22.62$22.5034.0%8.3%23.7%0.0%29.1%1.2%2.5%11.9M-525.2M-4.1M0.3715.93N/AN/A16,9806,279476,667367,621
2007-06-07$21.85$22.5033.9%8.4%27.5%0.0%25.1%-0.4%2.4%10.1M-401.4M-4.1M0.2614.93N/AN/A17,1504,457474,763372,118
2007-06-08$22.04$22.5031.2%8.2%27.0%0.0%28.3%0.9%2.5%11.4M-440.7M-4.1M2.2411.68N/AN/A6,10513,692484,435373,541
2007-06-11$22.00$22.5032.0%8.2%26.4%0.0%28.8%-0.5%3.0%8.1M-195.6M-1.8M0.3614.38N/AN/A6,6162,365220,843141,912
2007-06-12$21.60$22.5036.2%8.1%26.5%0.0%28.9%-0.8%2.5%9.4M-358.3M-4.1M0.9322.38N/AN/A18,65617,411474,270379,946
2007-06-13$22.16$22.5027.7%7.9%26.8%0.0%28.7%0.2%2.3%13.7M-443.6M-4.2M0.1313.77N/AN/A3,966520483,726390,101
2007-06-14$21.99$22.5027.6%7.9%26.8%0.0%27.7%0.5%2.5%12.2M-416.6M-4.1M1.6111.06N/AN/A6,0299,727486,939390,266
2007-06-15$22.07$22.5026.3%7.5%26.8%0.0%26.3%-1.3%3.2%10.3M-414.1M-4.0M0.2825.71N/AN/A4,7651,343483,711387,763
2007-06-18$22.41$22.5024.0%6.9%26.9%0.0%24.0%-5.6%4.5%8.9M-446.1M-4.0M0.247.38N/AN/A4,9181,192447,743370,445
2007-06-19$22.29$22.5024.4%7.0%25.4%0.0%24.4%-6.6%3.7%8.9M-430.0M-4.0M0.527.55N/AN/A7,8894,104448,676371,040
2007-06-20$21.99$22.5023.6%6.8%26.0%0.0%23.4%-10.8%4.5%8.5M-399.4M-4.0M0.176.91N/AN/A11,9112,057455,553373,392
2007-06-21$22.09$22.5023.8%6.8%25.2%0.0%25.4%5.8%4.3%8.2M-397.2M-4.0M0.227.40N/AN/A2,652578447,328372,694
2007-06-22$22.02$22.5024.1%6.9%25.0%0.0%27.5%-0.5%5.1%7.9M-392.1M-4.0M0.658.28N/AN/A17,01711,016444,609372,189
2007-06-25$21.99$22.5026.3%7.5%25.0%0.0%26.3%-1.5%3.4%7.8M-380.3M-4.1M0.665.39N/AN/A1,6821,113457,622382,681
2007-06-26$21.96$22.5025.6%7.3%25.0%0.0%24.7%-1.0%2.8%7.9M-382.3M-4.0M0.268.31N/AN/A3,265841458,158383,342
2007-06-27$21.63$22.5028.2%8.1%22.5%0.0%28.3%-0.7%3.3%6.9M-327.7M-4.1M0.1013.62N/AN/A22,9682,305458,519383,617
2007-06-28$21.13$22.5026.6%7.6%23.7%0.0%28.0%-1.0%4.9%5.5M-259.5M-4.0M0.1816.08N/AN/A12,0272,147451,833384,524
2007-06-29$20.71$22.5027.3%7.8%24.3%0.0%27.2%-0.1%4.7%4.1M-194.6M-3.9M1.0911.42N/AN/A4,1934,570444,504385,207