S Options History — December 2007

In December 2007, S traded between $13.13 and $15.84. ATM implied volatility averaged 36.2%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 3.5% (HV 20d: 32.7%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 5.87.

Notable Days

  • 2007-12-31: Highest Volume — 401,627 contracts
  • 2007-12-19: Largest IV spike — 11.5% change
  • 2007-12-20: Highest IV Rank — 51.4%
  • 2007-12-20: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.38$13.13$15.84$15.84$13.13
Max Pain$18.70$16.00$20.00$16.00$17.50
ATM IV36.2%33.3%40.6%35.9%38.4%
Expected Move10.4%9.5%11.7%10.3%11.0%
HV 20d32.7%29.6%35.4%31.3%29.6%
HV 60d27.5%26.2%28.5%26.2%27.1%
IV Rank39.5%31.7%51.4%38.8%45.3%
IV Percentile75.9%62.7%92.2%74.5%87.2%
Term Structure0.5%-2.6%3.5%0.3%-1.2%
VWIV36.7%24.2%42.5%36.8%36.5%
Skew 25d-1.4%-6.4%6.9%-1.4%0.4%
Skew 10d-7.4%-19.4%10.8%0.8%8.3%
Call IV 25d38.9%36.5%41.1%38.3%38.2%
Put IV 25d37.5%32.6%44.2%36.9%38.6%
Bid-Ask Spread %13.257.5018.1912.769.76
Gamma HHI0.330.190.460.190.29
Net GEX-2.1M-2.7M-1.4M-1.6M-1.6M
Net DEX295.1M231.1M361.4M231.1M282.7M
Net VEX-1.2M-1.6M-805.0K-1.6M-805.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.870.0383.451.3183.45
Total Volume31,531.351,846401,6276,023401,627
Total OI773,517.6684,320824,147789,022690,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$15.84$16.0035.9%10.3%31.3%38.8%36.8%-1.4%0.3%-1.6M231.1M-1.6M1.3112.76N/AN/A2,6043,419433,069355,953
2007-12-04$15.44$16.0034.4%9.9%32.2%34.6%24.2%-3.2%1.9%-1.9M260.7M-1.5M0.0311.62N/AN/A12,560348427,881354,175
2007-12-05$15.42$16.0033.3%9.5%31.7%31.7%39.0%-3.5%2.6%-1.6M247.1M-1.6M1.0514.17N/AN/A902944438,832354,000
2007-12-06$15.79$16.0035.3%10.1%30.9%37.1%34.8%-6.4%-2.6%-1.4M235.9M-1.6M2.0815.29N/AN/A2,7955,801438,469353,021
2007-12-07$15.64$20.0033.4%10.1%31.0%32.0%35.2%-2.1%0.8%-1.7M233.2M-1.6M3.0910.83N/AN/A6722,075440,223353,127
2007-12-10$15.69$20.0036.8%9.8%30.7%41.1%34.4%-0.5%1.2%-1.7M244.7M-1.5M1.359.70N/AN/A1,3741,859440,385352,574
2007-12-11$14.97$20.0036.0%10.4%33.1%38.9%38.3%-1.9%0.7%-2.2M280.0M-1.4M0.4918.19N/AN/A5,1442,497440,782351,254
2007-12-12$14.66$20.0035.4%10.3%33.2%37.3%37.8%-1.7%0.3%-2.7M301.9M-1.4M0.2417.34N/AN/A9,6542,318443,416351,553
2007-12-13$14.27$20.0036.1%10.4%34.2%39.2%37.8%-1.1%0.1%-2.4M335.3M-1.2M0.6816.79N/AN/A4,6293,153451,126352,359
2007-12-14$14.17$20.0034.3%9.8%33.5%34.4%34.5%-3.1%1.8%-2.4M336.7M-1.1M14.6815.84N/AN/A3,41850,190449,832351,814
2007-12-17$13.91$20.0034.2%9.8%33.9%34.2%35.5%-2.4%3.5%-2.5M346.3M-1.1M0.0411.92N/AN/A21,747970450,364353,342
2007-12-18$13.76$20.0035.4%10.2%33.1%37.4%36.1%-1.7%1.8%-2.5M353.0M-1.0M0.8312.72N/AN/A4,8484,023450,885350,971
2007-12-19$13.44$20.0039.5%11.3%33.7%48.3%39.2%6.9%0.1%-2.1M361.4M-971.4K0.998.73N/AN/A12,16111,989453,006352,430
2007-12-20$13.80$20.0040.6%11.7%35.4%51.4%40.9%0.8%-1.9%-2.1M343.0M-1.1M2.9014.46N/AN/A5,76916,738460,310356,473
2007-12-21$13.72$20.0039.6%11.4%34.7%48.6%38.8%-1.9%-0.1%-2.4M346.5M-1.1M1.0916.09N/AN/A2,4622,681462,083362,064
2007-12-24$13.64$20.0036.1%10.4%33.6%39.4%37.5%0.0%0.7%-2.5M337.6M-1.0M0.1513.63N/AN/A2,016301389,231344,913
2007-12-26$13.74$17.5036.3%10.4%33.6%39.9%36.5%-1.6%-1.1%-2.6M270.7M-953.2K1.0216.55N/AN/A1,2441,272389,960294,360
2007-12-27$13.36$17.5038.0%10.9%33.7%44.2%42.5%0.3%0.3%-2.2M271.0M-928.2K0.0511.03N/AN/A11,751614389,998294,651
2007-12-28$13.16$17.5035.4%10.1%31.3%37.3%38.5%-4.0%1.6%-1.8M282.9M-827.6K1.797.50N/AN/A4,3207,738396,798294,162
2007-12-31$13.13$17.5038.4%11.0%29.6%45.3%36.5%0.4%-1.2%-1.6M282.7M-805.0K83.459.76N/AN/A4,756396,871398,729291,777