S Options History — September 2007

In September 2007, S traded between $17.38 and $19.10. ATM implied volatility averaged 33.1%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.0% (HV 20d: 28.1%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 1.68.

Notable Days

2007-09-12: Highest Volume — 64,138 contracts
2007-09-12: Largest IV spike — 17.3% change
2007-09-14: Highest IV Rank — 43.9%
2007-09-12: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.23	$17.38	$19.10	$19.10	$19.00
Max Pain	$18.42	$18.00	$20.00	$20.00	$18.00
ATM IV	33.1%	28.7%	37.8%	28.7%	32.9%
Expected Move	9.7%	8.2%	11.3%	8.2%	9.4%
HV 20d	28.1%	24.4%	33.3%	32.5%	27.2%
HV 60d	29.0%	28.1%	30.2%	28.1%	28.9%
IV Rank	31.2%	19.3%	43.9%	19.3%	30.6%
IV Percentile	71.9%	48.8%	87.5%	48.8%	72.6%
Term Structure	2.3%	-1.0%	5.4%	3.1%	2.9%
VWIV	34.2%	29.7%	40.3%	29.7%	31.5%
Skew 25d	2.1%	-3.6%	5.2%	-1.7%	5.1%
Skew 10d	7.0%	-10.6%	16.1%	-10.6%	14.1%
Call IV 25d	33.5%	29.7%	41.5%	31.4%	30.2%
Put IV 25d	35.6%	29.7%	41.9%	29.7%	35.3%
Bid-Ask Spread %	15.04	11.30	20.73	16.50	14.60
Gamma HHI	0.16	0.13	0.18	0.18	0.13
Net GEX	-2.3M	-5.0M	-293.5K	-293.5K	-451.5K
Net DEX	125.6M	32.7M	209.5M	50.3M	32.7M
Net VEX	-3.0M	-3.2M	-2.8M	-3.2M	-3.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.19	7.30	0.24	0.43
Total Volume	14,971.737	1,524	64,138	2,661	10,977
Total OI	859,563.526	818,461	907,293	819,027	854,823

Daily Data (19 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
2007-09-04	$19.10	$20.00	28.7%	8.2%	32.5%	19.3%	29.7%	-1.7%	3.1%	-293.5K	50.3M	-3.2M	0.24	16.50	N/A	N/A	2,139	522	410,167	408,860
2007-09-05	$18.53	$20.00	31.4%	9.0%	33.3%	26.6%	32.5%	-1.3%	1.7%	-1.6M	114.7M	-3.0M	0.53	18.07	N/A	N/A	3,406	1,814	410,686	409,221
2007-09-06	$18.60	$20.00	32.0%	9.2%	32.7%	28.3%	31.4%	-0.6%	-0.1%	-1.3M	95.5M	-3.1M	1.57	16.30	N/A	N/A	594	930	413,329	408,138
2007-09-07	$17.96	$19.00	31.7%	10.0%	31.1%	27.5%	34.2%	2.4%	0.4%	-2.6M	159.2M	-2.9M	0.32	14.06	N/A	N/A	7,509	2,386	413,305	405,156
2007-09-10	$17.82	$19.00	31.4%	9.8%	31.2%	26.7%	33.9%	1.2%	1.1%	-2.5M	162.8M	-2.8M	4.09	12.14	N/A	N/A	1,768	7,237	420,080	406,445
2007-09-11	$17.94	$18.00	30.0%	10.1%	28.4%	22.9%	35.2%	2.5%	-1.0%	-2.4M	154.9M	-2.9M	2.83	13.75	N/A	N/A	4,160	11,759	420,507	402,609
2007-09-12	$17.77	$18.00	35.2%	11.3%	25.0%	36.8%	40.3%	3.9%	-0.4%	-2.4M	165.5M	-2.8M	2.05	12.51	N/A	N/A	21,018	43,120	423,486	404,907
2007-09-13	$17.69	$18.00	36.1%	10.3%	25.0%	39.2%	35.8%	4.4%	3.6%	-3.8M	179.9M	-2.9M	0.85	18.42	N/A	N/A	15,001	12,749	439,700	437,274
2007-09-14	$17.38	$18.00	37.8%	10.8%	24.4%	43.9%	36.8%	2.4%	1.4%	-4.4M	209.5M	-2.9M	7.30	12.72	N/A	N/A	2,238	16,327	445,126	443,331
2007-09-17	$17.65	$18.00	37.6%	10.8%	25.0%	43.1%	38.5%	3.4%	1.3%	-4.8M	193.8M	-3.0M	2.38	11.30	N/A	N/A	2,222	5,290	446,323	456,934
2007-09-18	$17.90	$18.00	34.1%	9.8%	25.7%	33.9%	34.7%	3.6%	3.0%	-5.0M	180.6M	-3.0M	5.27	20.73	N/A	N/A	1,999	10,533	446,573	460,720
2007-09-19	$18.10	$18.00	33.7%	9.7%	25.4%	32.8%	34.0%	5.2%	3.3%	-3.3M	139.1M	-3.0M	1.79	15.43	N/A	N/A	1,223	2,193	447,168	449,868
2007-09-20	$18.01	$18.00	33.3%	9.6%	25.3%	31.8%	32.9%	3.8%	4.0%	-3.3M	149.6M	-2.9M	0.49	16.50	N/A	N/A	1,633	807	447,113	448,621
2007-09-21	$18.69	$18.00	36.8%	10.5%	28.8%	41.0%	39.0%	-3.6%	0.8%	-1.7M	80.9M	-3.0M	0.23	17.74	N/A	N/A	40,072	9,417	447,818	448,972
2007-09-24	$18.30	$18.00	32.2%	9.2%	28.8%	28.8%	32.6%	0.9%	4.7%	-1.1M	104.6M	-3.0M	0.21	15.50	N/A	N/A	15,954	3,324	447,619	428,338
2007-09-25	$18.43	$18.00	32.6%	9.3%	28.9%	29.8%	32.4%	1.9%	3.1%	-1.2M	96.0M	-2.9M	0.68	12.12	N/A	N/A	10,398	7,060	438,190	428,918
2007-09-26	$18.70	$18.00	31.3%	9.0%	29.0%	26.2%	32.5%	2.2%	5.4%	-1.0M	62.3M	-3.0M	0.47	14.21	N/A	N/A	2,185	1,028	428,880	426,471
2007-09-27	$18.79	$18.00	30.1%	8.6%	27.2%	23.1%	31.8%	4.2%	5.2%	-781.1K	54.2M	-2.9M	0.19	13.17	N/A	N/A	2,924	547	429,507	426,524
2007-09-28	$19.00	$18.00	32.9%	9.4%	27.2%	30.6%	31.5%	5.1%	2.9%	-451.5K	32.7M	-3.0M	0.43	14.60	N/A	N/A	7,681	3,296	428,339	426,484