S Options History — July 2007

In July 2007, S traded between $20.53 and $22.37. ATM implied volatility averaged 36.4%, placing in the 81.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.6% (HV 20d: 26.8%). 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 3 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2007-07-11: Highest Volume — 54,829 contracts
  • 2007-07-05: Largest IV spike — 25.5% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.65$20.53$22.37$21.58$20.53
Max Pain$20.36$20.00$22.50$22.50$20.00
ATM IV36.4%26.7%43.3%29.6%43.3%
Expected Move10.5%7.7%12.4%8.5%12.4%
HV 20d26.8%24.8%29.5%28.0%24.8%
HV 60d24.6%23.9%25.7%24.7%25.5%
IV Rank81.2%47.8%100.0%63.8%100.0%
IV Percentile94.6%75.6%100.0%93.7%100.0%
Term Structure-4.2%-9.8%6.5%3.2%-9.7%
VWIV36.6%26.5%43.4%29.5%43.4%
Skew 25d1.3%-4.1%4.0%-0.6%0.4%
Skew 10d3.7%-11.4%9.9%2.4%9.9%
Call IV 25d36.5%26.0%43.4%28.9%43.4%
Put IV 25d37.8%28.3%44.0%28.3%43.7%
Bid-Ask Spread %12.668.7718.6610.8010.65
Gamma HHI0.260.200.340.250.20
Net GEX7.3M3.0M12.1M6.2M3.0M
Net DEX-317.0M-435.6M-145.3M-310.5M-145.3M
Net VEX-4.0M-4.1M-3.8M-4.0M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0516.050.120.21
Total Volume12,068.6671,13154,82911,96614,797
Total OI868,161.762836,096903,643836,096880,300

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$21.58$22.5029.6%8.5%28.0%0.0%29.5%-0.6%3.2%6.2M-310.5M-4.0M0.1210.80N/AN/A10,7321,234447,477388,619
2007-07-03$21.74$22.5026.7%7.7%27.7%0.0%26.5%4.0%6.5%7.1M-339.6M-4.0M0.2311.26N/AN/A2,118497453,517388,854
2007-07-05$21.67$22.5033.5%9.6%27.4%63.8%33.6%-4.1%1.1%6.9M-324.0M-4.0M0.2610.32N/AN/A11,0232,911454,083388,970
2007-07-06$21.87$20.0030.5%9.6%24.8%47.8%32.9%1.1%-2.9%7.5M-357.0M-4.0M0.7210.78N/AN/A659472454,986390,234
2007-07-09$21.48$20.0034.6%10.0%25.4%69.6%35.2%1.5%-4.7%6.6M-307.4M-3.9M1.139.84N/AN/A1,9632,211455,886390,549
2007-07-10$21.40$20.0031.5%10.0%25.4%53.3%35.1%0.3%-4.6%6.4M-294.2M-3.9M0.229.99N/AN/A4,069904456,414391,858
2007-07-11$21.99$20.0039.5%10.9%26.5%95.6%37.9%0.8%-6.0%7.6M-366.0M-3.9M0.0715.44N/AN/A51,2483,581456,886391,923
2007-07-12$22.03$20.0036.7%10.5%24.8%80.8%36.7%1.8%-4.8%8.7M-375.9M-4.0M1.0912.21N/AN/A3,8834,250468,495394,371
2007-07-13$21.70$20.0037.9%10.9%25.3%87.0%37.1%2.6%-6.1%7.9M-332.5M-4.0M0.1111.50N/AN/A10,6981,212470,560395,805
2007-07-16$22.37$20.0037.5%10.8%27.6%85.1%37.4%2.9%-3.7%11.4M-435.6M-3.9M0.8612.96N/AN/A21,77918,739478,846396,201
2007-07-17$22.17$20.0040.0%11.5%27.2%98.5%40.6%-1.4%-7.2%10.7M-388.4M-4.1M0.0510.90N/AN/A15,380792486,662412,166
2007-07-18$22.16$20.0037.3%10.7%27.1%83.7%37.6%2.9%-4.6%12.1M-388.5M-4.1M0.3815.23N/AN/A1,941734491,028412,615
2007-07-19$22.01$20.0037.2%10.7%26.8%83.4%37.3%1.8%-4.9%10.7M-362.3M-4.0M0.2318.12N/AN/A2,680615486,734411,875
2007-07-20$21.98$20.0036.7%10.5%26.8%81.0%36.8%0.8%-4.5%9.2M-357.8M-4.0M0.4016.85N/AN/A1,612637487,134411,745
2007-07-23$22.02$20.0035.1%10.1%26.7%72.3%35.2%3.1%-3.4%7.0M-362.0M-4.0M0.2415.42N/AN/A4,4831,054457,434406,769
2007-07-24$21.82$20.0034.4%9.9%26.9%68.9%34.6%1.9%-2.4%6.8M-334.7M-4.0M3.318.77N/AN/A1,6695,517459,933407,322
2007-07-25$21.66$20.0035.5%10.2%27.0%74.3%36.9%1.4%-4.2%6.2M-304.5M-4.0M0.7514.39N/AN/A1,5561,171460,629412,591
2007-07-26$20.89$20.0042.2%12.1%29.5%100.0%40.8%3.6%-7.1%4.2M-205.3M-4.0M16.0518.66N/AN/A1,42722,897460,830416,842
2007-07-27$20.61$20.0042.5%12.2%28.7%100.0%42.6%0.9%-7.5%3.4M-161.3M-4.0M2.3911.21N/AN/A1,5113,612461,224416,779
2007-07-30$20.93$20.0042.2%12.1%28.4%98.6%40.9%2.6%-9.8%4.3M-204.1M-3.9M3.0310.51N/AN/A3,76711,407461,526414,725
2007-07-31$20.53$20.0043.3%12.4%24.8%100.0%43.4%0.4%-9.7%3.0M-145.3M-3.8M0.2110.65N/AN/A12,2502,547460,374419,926