S Options History — August 2007 In August 2007, S traded between $18.20 and $20.62. ATM implied volatility averaged 40.2%, placing in the 56.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 8.9% (HV 20d: 31.3%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.54.
Notable Days 2007-08-08 : Highest Volume — 53,390 contracts2007-08-08 : Largest IV drop — 31.4% change2007-08-01 : Highest IV Rank — 100.0%2007-08-03 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $19.11 $18.20 $20.62 $20.62 $18.92 Max Pain $20.65 $20.00 $25.00 $20.00 $20.00 ATM IV 40.2% 29.3% 58.8% 46.2% 29.6% Expected Move 10.6% 8.4% 13.3% 13.3% 8.5% HV 20d 31.3% 24.6% 35.0% 24.6% 32.4% HV 60d 28.1% 25.5% 29.7% 25.5% 28.1% IV Rank 56.8% 20.9% 100.0% 100.0% 21.7% IV Percentile 83.6% 52.7% 100.0% 100.0% 52.7% Term Structure -2.2% -9.5% 3.7% -9.5% 2.9% VWIV 37.8% 30.0% 48.3% 47.3% 31.4% Skew 25d -0.1% -4.3% 3.9% 3.6% -4.3% Skew 10d -2.4% -18.0% 13.3% -3.3% -13.9% Call IV 25d 38.7% 31.9% 52.4% 43.7% 34.0% Put IV 25d 38.7% 29.6% 49.8% 47.3% 29.6% Bid-Ask Spread % 18.27 10.68 24.90 23.47 20.18 Gamma HHI 0.18 0.15 0.20 0.20 0.18 Net GEX -240.0K -2.3M 3.3M 3.3M -564.6K Net DEX 39.8M -150.5M 165.8M -150.5M 58.5M Net VEX -3.5M -3.9M -3.2M -3.9M -3.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.54 0.14 4.57 0.72 1.91 Total Volume 16,620.522 1,059 53,390 22,102 6,152 Total OI 874,467.522 795,953 955,782 883,257 811,015
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $20.62 $20.00 46.2% 13.3% 24.6% 100.0% 47.3% 3.6% -9.5% 3.3M -150.5M -3.9M 0.72 23.47 N/A N/A 12,879 9,223 463,170 420,087 2007-08-02 $20.57 $20.00 46.0% 13.2% 24.6% 99.0% 48.3% -3.3% -9.4% 2.9M -145.2M -3.9M 0.31 15.51 N/A N/A 7,714 2,388 463,478 426,232 2007-08-03 $19.77 $20.00 46.3% 13.3% 27.5% 100.0% 47.7% -2.6% -8.3% 1.2M -32.4M -3.8M 0.78 16.06 N/A N/A 27,729 21,526 468,358 425,302 2007-08-06 $19.90 $25.00 51.0% 11.5% 27.3% 100.0% 40.9% 3.3% -5.3% 1.4M -53.4M -3.8M 0.72 22.03 N/A N/A 9,171 6,639 474,468 433,756 2007-08-07 $20.22 $22.50 55.2% 11.6% 28.2% 100.0% 40.7% 1.8% -6.8% 2.3M -107.9M -3.8M 0.72 19.07 N/A N/A 24,159 17,433 478,053 438,059 2007-08-08 $19.77 $22.50 37.9% 9.4% 26.7% 48.6% 32.6% 0.4% -2.5% -510.3K -2.1M -3.7M 0.41 18.14 N/A N/A 37,738 15,652 488,651 445,002 2007-08-09 $18.90 $22.50 39.8% 10.2% 30.0% 54.5% 35.9% 0.6% -2.7% -1.4M 88.6M -3.5M 2.98 15.84 N/A N/A 10,841 32,256 493,576 446,426 2007-08-10 $18.85 $22.50 38.8% 11.3% 29.9% 51.3% 39.7% -0.8% -4.0% -1.5M 91.5M -3.7M 1.18 13.42 N/A N/A 6,239 7,375 498,235 457,547 2007-08-13 $19.49 $20.00 48.4% 10.5% 30.4% 80.0% 38.4% 1.8% -2.2% 156.9K 1.7M -3.7M 0.53 10.68 N/A N/A 7,491 3,944 501,109 454,552 2007-08-14 $18.71 $20.00 58.8% 11.4% 32.7% 100.0% 35.8% -2.0% -3.3% -843.6K 81.4M -3.5M 4.23 13.64 N/A N/A 2,197 9,302 502,439 437,382 2007-08-15 $18.63 $20.00 50.7% 11.6% 32.6% 78.4% 47.0% -1.2% -3.3% -2.0M 102.8M -3.4M 1.64 24.90 N/A N/A 3,095 5,091 504,249 436,897 2007-08-16 $18.20 $20.00 43.0% 12.3% 33.0% 57.8% 44.2% 3.7% -4.6% -2.3M 165.8M -3.3M 0.22 21.43 N/A N/A 22,764 5,108 504,116 439,871 2007-08-17 $18.32 $20.00 41.7% 12.0% 33.4% 54.3% 42.4% -0.1% -2.1% -1.3M 161.7M -3.3M 3.33 19.08 N/A N/A 2,386 7,937 499,121 440,368 2007-08-20 $18.26 $20.00 38.1% 10.9% 33.2% 44.6% 37.0% 3.9% -1.6% -1.4M 115.3M -3.2M 0.33 22.65 N/A N/A 5,523 1,802 403,655 392,298 2007-08-21 $18.54 $20.00 36.5% 10.5% 34.4% 40.2% 35.7% 3.5% -1.6% -844.4K 87.7M -3.3M 3.61 22.20 N/A N/A 1,973 7,118 408,036 391,999 2007-08-22 $18.63 $20.00 31.9% 9.2% 34.7% 28.0% 33.2% 1.6% 1.9% -993.1K 85.5M -3.2M 0.62 15.24 N/A N/A 3,967 2,472 408,644 396,826 2007-08-23 $18.58 $20.00 31.7% 9.1% 33.0% 27.4% 31.9% -0.1% 2.0% -951.3K 85.9M -3.2M 4.57 16.60 N/A N/A 945 4,317 409,535 395,301 2007-08-24 $18.95 $20.00 29.3% 8.4% 34.1% 20.9% 30.0% -1.3% 3.7% -446.8K 53.6M -3.3M 1.12 16.95 N/A N/A 2,045 2,288 410,058 398,409 2007-08-27 $18.91 $20.00 29.6% 8.5% 33.3% 21.7% 32.9% -3.0% 2.1% -330.7K 51.7M -3.3M 0.79 20.91 N/A N/A 2,820 2,216 411,670 399,919 2007-08-28 $18.63 $20.00 32.9% 9.4% 33.1% 30.8% 35.7% -3.5% 1.5% -785.3K 75.3M -3.2M 0.14 21.81 N/A N/A 4,715 649 411,013 400,412 2007-08-29 $19.15 $20.00 30.5% 8.7% 34.9% 24.1% 30.9% 0.2% 1.0% -45.1K 39.6M -3.2M 1.60 14.94 N/A N/A 5,360 8,574 412,114 399,832 2007-08-30 $18.93 $20.00 30.2% 8.7% 35.0% 23.4% 30.2% -3.5% 1.4% -569.9K 60.8M -3.2M 2.98 15.38 N/A N/A 266 793 409,814 401,699 2007-08-31 $18.92 $20.00 29.6% 8.5% 32.4% 21.7% 31.4% -4.3% 2.9% -564.6K 58.5M -3.2M 1.91 20.18 N/A N/A 2,112 4,040 409,301 401,714
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