S Options History — November 2007 In November 2007, S traded between $14.48 and $17.21. ATM implied volatility averaged 37.6%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 11.3% (HV 20d: 26.3%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.92.
Notable Days 2007-11-02 : Highest Volume — 65,831 contracts2007-11-07 : Largest IV spike — 16.2% change2007-11-12 : Highest IV Rank — 65.4%2007-11-08 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $15.74 $14.48 $17.21 $16.58 $15.52 Max Pain $16.57 $15.00 $20.00 $20.00 $15.00 ATM IV 37.6% 31.4% 45.8% 31.4% 33.4% Expected Move 10.4% 9.0% 11.5% 9.0% 9.6% HV 20d 26.3% 16.7% 33.1% 16.7% 33.0% HV 60d 25.6% 24.8% 26.6% 26.5% 26.6% IV Rank 43.2% 26.6% 65.4% 26.6% 31.9% IV Percentile 80.2% 56.7% 96.3% 56.7% 63.9% Term Structure 0.9% -3.9% 3.6% 1.9% 2.3% VWIV 37.2% 32.5% 41.3% 32.6% 33.8% Skew 25d -1.1% -6.7% 8.4% 2.4% 2.3% Skew 10d -3.3% -12.6% 17.3% 6.9% 7.2% Call IV 25d 37.7% 31.2% 44.5% 32.4% 33.9% Put IV 25d 36.5% 33.4% 42.3% 34.8% 36.2% Bid-Ask Spread % 17.45 12.19 22.66 12.19 21.02 Gamma HHI 0.21 0.13 0.37 0.18 0.22 Net GEX -3.6M -4.9M -2.3M -4.9M -2.3M Net DEX 296.2M 242.3M 355.8M 309.4M 246.2M Net VEX -1.8M -2.2M -1.3M -1.9M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.92 0.14 5.79 0.76 0.27 Total Volume 16,824.571 2,070 65,831 10,328 31,040 Total OI 829,303.571 763,773 920,350 816,807 785,002
Daily Data (21 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 2007-11-01 $16.58 $20.00 31.4% 9.0% 16.7% 26.6% 32.6% 2.4% 1.9% -4.9M 309.4M -1.9M 0.76 12.19 N/A N/A 5,860 4,468 419,545 397,262 2007-11-02 $17.15 $20.00 32.1% 9.2% 22.0% 28.4% 32.5% 2.2% 0.7% -4.7M 252.0M -2.1M 0.64 21.98 N/A N/A 40,238 25,593 421,764 397,807 2007-11-05 $17.01 $17.00 34.4% 9.8% 20.4% 34.7% 34.8% -0.6% 0.1% -4.6M 255.6M -2.2M 0.43 18.10 N/A N/A 4,742 2,062 445,631 419,523 2007-11-06 $17.21 $17.00 34.2% 10.3% 21.0% 34.1% 36.4% 1.4% -0.2% -4.4M 242.3M -2.2M 0.24 16.30 N/A N/A 17,514 4,167 444,327 415,897 2007-11-07 $16.57 $17.00 39.7% 10.6% 24.1% 48.9% 37.4% 0.2% -0.7% -4.1M 277.3M -2.1M 0.95 14.34 N/A N/A 5,036 4,774 456,572 408,817 2007-11-08 $16.54 $17.00 44.6% 11.5% 24.1% 61.9% 41.1% -4.3% -1.3% -3.9M 268.7M -2.1M 1.05 16.22 N/A N/A 7,219 7,556 457,738 410,440 2007-11-09 $16.31 $17.00 40.9% 11.3% 24.2% 52.0% 41.3% -5.0% 0.4% -4.0M 284.8M -2.0M 1.69 17.24 N/A N/A 2,866 4,843 463,508 412,011 2007-11-12 $15.80 $17.00 45.8% 10.9% 25.8% 65.4% 38.1% -6.7% 3.3% -4.1M 332.9M -1.9M 0.18 13.75 N/A N/A 10,765 1,929 463,765 413,091 2007-11-13 $15.98 $16.00 44.8% 11.2% 26.5% 62.6% 40.9% -5.1% 2.4% -3.5M 309.0M -1.9M 0.20 16.25 N/A N/A 37,125 7,283 472,365 413,058 2007-11-14 $15.84 $16.00 43.8% 10.6% 26.5% 59.8% 40.6% -4.7% 0.6% -2.9M 304.9M -2.0M 0.70 20.66 N/A N/A 5,365 3,764 497,131 417,601 2007-11-15 $15.48 $16.00 37.7% 10.8% 27.2% 43.5% 39.1% -1.0% 1.8% -2.8M 338.0M -1.9M 1.18 22.66 N/A N/A 1,790 2,112 500,333 420,017 2007-11-16 $15.46 $16.00 35.3% 10.1% 27.2% 37.1% 36.0% -2.5% -0.0% -3.0M 355.8M -1.8M 2.15 13.58 N/A N/A 1,348 2,899 499,602 418,643 2007-11-19 $15.06 $16.00 36.6% 10.5% 27.6% 40.7% 36.2% 1.1% 1.3% -3.1M 288.7M -1.6M 0.22 20.51 N/A N/A 23,335 5,134 410,360 359,797 2007-11-20 $15.05 $16.00 35.2% 10.1% 27.5% 36.8% 37.2% -4.8% 1.8% -3.3M 304.4M -1.6M 0.80 18.48 N/A N/A 1,906 1,517 401,738 363,877 2007-11-21 $14.85 $16.00 36.6% 10.5% 27.5% 40.5% 37.8% -4.1% 2.0% -3.3M 306.7M -1.5M 0.73 17.16 N/A N/A 1,198 872 401,272 364,192 2007-11-23 $15.08 $16.00 34.0% 9.8% 28.6% 33.6% 34.7% -1.7% 3.6% -3.4M 299.7M -1.6M 0.61 21.11 N/A N/A 1,334 810 401,453 363,954 2007-11-26 $14.66 $16.00 37.0% 10.6% 29.0% 41.8% 36.7% 0.3% 1.1% -3.5M 331.2M -1.4M 0.22 15.30 N/A N/A 5,882 1,322 402,214 363,921 2007-11-27 $14.48 $16.00 34.7% 10.0% 29.0% 35.5% 36.7% -2.1% 3.1% -3.3M 340.6M -1.3M 5.79 12.44 N/A N/A 4,196 24,310 406,434 364,960 2007-11-28 $14.76 $16.00 39.0% 11.2% 30.6% 46.9% 39.8% 8.4% -3.9% -3.4M 311.4M -1.4M 0.14 16.94 N/A N/A 19,146 2,601 408,290 355,483 2007-11-29 $15.20 $15.00 38.4% 11.0% 33.1% 45.4% 37.6% 0.4% -2.3% -2.4M 261.1M -1.6M 0.33 20.15 N/A N/A 13,053 4,342 421,453 354,527 2007-11-30 $15.52 $15.00 33.4% 9.6% 33.0% 31.9% 33.8% 2.3% 2.3% -2.3M 246.2M -1.6M 0.27 21.02 N/A N/A 24,508 6,532 428,630 356,372
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