S Options History — October 2007 In October 2007, S traded between $17.04 and $19.28. ATM implied volatility averaged 35.3%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 12.2% (HV 20d: 23.2%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.83.
Notable Days 2007-10-09 : Highest Volume — 41,460 contracts2007-10-11 : Largest IV spike — 23.0% change2007-10-31 : Highest IV Rank — 49.6%2007-10-31 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $17.95 $17.04 $19.28 $19.05 $17.10 Max Pain $19.65 $18.00 $20.00 $18.00 $20.00 ATM IV 35.3% 29.3% 40.0% 35.3% 40.0% Expected Move 10.4% 8.7% 11.5% 10.1% 11.5% HV 20d 23.2% 18.5% 27.2% 27.2% 18.6% HV 60d 28.1% 26.2% 29.2% 28.9% 26.2% IV Rank 37.2% 21.0% 49.6% 37.1% 49.6% IV Percentile 78.0% 45.4% 92.3% 80.2% 92.3% Term Structure -1.5% -5.4% 6.9% 0.2% -4.6% VWIV 36.5% 30.4% 40.8% 35.5% 40.8% Skew 25d 2.7% -0.0% 7.9% 3.0% 4.5% Skew 10d 5.6% -2.1% 18.6% 12.2% 8.6% Call IV 25d 35.8% 31.1% 39.8% 33.7% 38.6% Put IV 25d 38.5% 33.8% 43.2% 36.6% 43.2% Bid-Ask Spread % 13.63 10.02 23.42 10.02 23.42 Gamma HHI 0.15 0.13 0.17 0.14 0.16 Net GEX -2.6M -4.3M 1.1M -176.3K -4.2M Net DEX 163.9M -7.9M 258.6M 26.8M 258.6M Net VEX -2.6M -3.0M -2.1M -2.9M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.83 0.21 4.21 3.18 1.34 Total Volume 13,188.174 1,812 41,460 18,832 11,539 Total OI 851,246.304 808,139 886,560 861,260 811,958
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 2007-10-01 $19.05 $18.00 35.3% 10.1% 27.2% 37.1% 35.5% 3.0% 0.2% -176.3K 26.8M -2.9M 3.18 10.02 N/A N/A 4,500 14,332 433,696 427,564 2007-10-02 $19.00 $18.00 34.9% 10.0% 27.0% 36.0% 35.4% 0.8% 2.2% -181.4K 34.1M -2.9M 1.07 10.50 N/A N/A 13,727 14,650 434,964 422,143 2007-10-03 $18.76 $18.00 30.3% 8.7% 25.1% 23.5% 30.4% 1.2% 6.9% 99.5K 55.2M -2.9M 2.99 16.71 N/A N/A 6,553 19,588 439,672 416,677 2007-10-04 $19.28 $18.00 35.8% 10.3% 26.8% 38.3% 34.4% 7.9% 2.0% 1.0M -7.9M -3.0M 0.49 10.96 N/A N/A 16,018 7,906 443,339 418,215 2007-10-05 $19.01 $20.00 31.7% 11.0% 23.9% 27.4% 38.7% 2.5% -5.4% 1.1M 24.3M -3.0M 2.28 15.74 N/A N/A 3,500 7,963 447,962 416,260 2007-10-08 $18.50 $20.00 36.1% 11.3% 25.9% 39.2% 38.8% 3.4% -4.8% -923.8K 100.7M -2.8M 0.59 10.10 N/A N/A 3,088 1,811 445,478 421,647 2007-10-09 $18.28 $20.00 31.5% 10.5% 26.3% 27.0% 36.8% 3.1% -1.5% -1.7M 137.3M -2.7M 0.89 11.36 N/A N/A 21,981 19,479 445,580 421,861 2007-10-10 $18.02 $20.00 29.3% 10.5% 26.6% 21.0% 36.6% 0.9% -2.7% -2.5M 162.1M -2.6M 1.34 11.85 N/A N/A 4,437 5,934 454,461 428,009 2007-10-11 $17.99 $20.00 36.1% 10.3% 26.6% 39.1% 36.6% 1.3% -2.1% -2.5M 166.8M -2.6M 2.58 11.25 N/A N/A 506 1,306 454,365 428,280 2007-10-12 $18.04 $20.00 35.3% 10.1% 25.7% 37.2% 35.4% 1.5% -2.3% -2.5M 163.9M -2.6M 0.41 10.20 N/A N/A 6,750 2,776 454,766 427,939 2007-10-15 $17.79 $20.00 35.9% 10.3% 25.7% 38.8% 36.2% 1.3% -1.5% -3.1M 189.8M -2.6M 2.26 12.21 N/A N/A 2,441 5,512 458,527 428,033 2007-10-16 $17.71 $20.00 37.6% 10.8% 25.2% 43.3% 37.7% 2.1% -4.0% -3.4M 201.6M -2.5M 0.68 16.47 N/A N/A 4,442 3,028 456,126 425,874 2007-10-17 $17.72 $20.00 35.8% 10.3% 24.9% 38.4% 36.7% 3.0% -1.8% -3.6M 205.8M -2.5M 3.19 14.43 N/A N/A 1,266 4,035 455,310 426,021 2007-10-18 $17.62 $20.00 36.2% 10.4% 24.9% 39.5% 36.8% 2.4% -2.4% -3.4M 214.5M -2.5M 4.15 13.91 N/A N/A 2,028 8,411 455,535 425,055 2007-10-19 $17.48 $20.00 38.8% 11.1% 20.5% 46.4% 39.3% 2.0% -3.3% -4.1M 217.7M -2.4M 0.90 10.11 N/A N/A 6,223 5,612 456,182 423,979 2007-10-22 $17.63 $20.00 34.8% 10.0% 19.8% 35.8% 35.5% 3.7% -0.6% -4.3M 219.1M -2.4M 3.29 15.51 N/A N/A 2,585 8,512 409,931 400,402 2007-10-23 $17.65 $20.00 32.9% 9.4% 19.5% 30.5% 34.3% 5.4% 0.6% -4.0M 208.7M -2.4M 0.70 12.49 N/A N/A 2,539 1,765 411,537 396,602 2007-10-24 $17.49 $20.00 37.1% 10.6% 18.6% 41.8% 35.2% 3.7% -2.8% -4.0M 218.3M -2.3M 2.40 16.95 N/A N/A 1,139 2,735 412,208 396,479 2007-10-25 $17.23 $20.00 38.0% 10.9% 18.8% 44.4% 38.6% 1.7% -1.7% -4.2M 238.6M -2.3M 1.57 13.13 N/A N/A 1,841 2,894 412,793 397,684 2007-10-26 $17.38 $20.00 36.7% 10.5% 18.5% 40.8% 36.1% 3.5% -2.7% -4.3M 236.7M -2.3M 1.41 12.21 N/A N/A 5,985 8,417 412,143 398,642 2007-10-29 $17.18 $20.00 36.4% 10.4% 18.5% 40.0% 36.1% 3.3% -2.4% -4.2M 239.6M -2.2M 0.21 19.26 N/A N/A 4,276 910 415,786 397,861 2007-10-30 $17.04 $20.00 36.3% 10.4% 18.5% 39.8% 36.5% -0.0% 0.3% -4.3M 256.6M -2.2M 4.21 14.76 N/A N/A 5,444 22,944 415,844 395,275 2007-10-31 $17.10 $20.00 40.0% 11.5% 18.6% 49.6% 40.8% 4.5% -4.6% -4.2M 258.6M -2.1M 1.34 23.42 N/A N/A 4,939 6,600 418,145 393,813
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