S Options History — January 2008

In January 2008, S traded between $8.70 and $13.01. ATM implied volatility averaged 46.6%, placing in the 61.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 16.3% (HV 20d: 62.9%). Max pain ranged from $11.00 to $17.50. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 9.15.

Notable Days

2008-01-08: Highest Volume — 187,805 contracts
2008-01-18: Largest IV spike — 51.8% change
2008-01-18: Highest IV Rank — 100.0%
2008-01-18: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.25	$8.70	$13.01	$13.01	$10.53
Max Pain	$13.86	$11.00	$17.50	$17.50	$11.00
ATM IV	46.6%	35.0%	65.0%	37.9%	52.6%
Expected Move	13.3%	10.3%	18.6%	10.9%	15.1%
HV 20d	62.9%	25.0%	116.0%	27.6%	116.0%
HV 60d	45.2%	26.7%	70.5%	27.1%	70.1%
IV Rank	61.7%	36.2%	100.0%	44.1%	71.6%
IV Percentile	91.8%	65.5%	100.0%	85.7%	96.8%
Term Structure	0.4%	-9.8%	4.8%	-1.2%	-2.2%
VWIV	46.5%	24.8%	64.7%	38.2%	52.8%
Skew 25d	1.1%	-7.0%	5.6%	-1.2%	-2.7%
Skew 10d	2.9%	-26.8%	34.1%	4.1%	13.7%
Call IV 25d	47.2%	36.4%	64.9%	38.3%	59.2%
Put IV 25d	48.3%	36.1%	65.5%	37.0%	56.5%
Bid-Ask Spread %	11.30	7.31	16.30	9.89	9.43
Gamma HHI	0.19	0.12	0.29	0.26	0.23
Net GEX	-447.0K	-1.5M	358.6K	-1.5M	358.6K
Net DEX	166.2M	41.2M	253.4M	253.4M	43.7M
Net VEX	-647.3K	-769.1K	-373.1K	-769.1K	-717.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	9.15	0.19	57.60	12.08	3.92
Total Volume	36,505.19	5,025	187,805	42,389	13,455
Total OI	538,616.286	315,099	664,743	664,742	408,453

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
2008-01-02	$13.01	$17.50	37.9%	10.9%	27.6%	44.1%	38.2%	-1.2%	-1.2%	-1.5M	253.4M	-769.1K	12.08	9.89	N/A	N/A	3,240	39,149	398,092	266,650
2008-01-03	$12.97	$17.50	37.6%	10.8%	27.0%	43.1%	24.8%	-4.4%	-2.1%	-1.3M	247.1M	-767.5K	48.48	9.49	N/A	N/A	2,218	107,538	399,144	259,674
2008-01-04	$12.83	$15.00	37.3%	10.3%	26.9%	42.3%	36.0%	2.3%	4.3%	-1.1M	247.8M	-749.2K	9.10	12.33	N/A	N/A	2,285	20,793	400,471	259,667
2008-01-07	$12.95	$15.00	35.0%	10.9%	25.0%	36.2%	38.2%	2.0%	2.6%	-962.6K	251.9M	-724.9K	1.77	10.59	N/A	N/A	2,126	3,765	400,927	260,086
2008-01-08	$12.55	$15.00	41.7%	10.8%	26.1%	54.3%	38.5%	-0.5%	3.4%	-845.0K	252.4M	-672.0K	57.60	16.30	N/A	N/A	3,205	184,600	401,938	260,249
2008-01-09	$12.34	$14.00	40.2%	11.2%	25.6%	50.3%	39.4%	3.7%	3.9%	-804.4K	241.3M	-643.8K	5.87	10.72	N/A	N/A	3,546	20,804	402,873	251,675
2008-01-10	$12.82	$14.00	37.9%	10.9%	27.9%	44.1%	40.8%	-0.5%	4.3%	-940.9K	228.6M	-756.4K	1.97	12.15	N/A	N/A	3,787	7,456	403,354	249,998
2008-01-11	$12.25	$14.00	42.0%	12.0%	30.7%	55.1%	40.8%	2.9%	1.6%	-826.6K	227.5M	-706.8K	1.00	12.58	N/A	N/A	2,517	2,508	405,588	247,074
2008-01-14	$12.36	$14.00	39.7%	11.4%	30.6%	48.9%	42.5%	4.4%	2.1%	-910.0K	233.4M	-652.2K	0.97	10.17	N/A	N/A	6,407	6,246	407,103	246,526
2008-01-15	$12.33	$14.00	40.3%	11.6%	30.6%	50.6%	39.7%	3.9%	2.0%	-842.4K	228.3M	-714.9K	35.66	12.46	N/A	N/A	2,458	87,643	412,874	249,547
2008-01-16	$11.83	$14.00	40.4%	11.6%	32.8%	50.7%	42.5%	4.6%	2.4%	-563.8K	225.8M	-700.2K	0.87	8.95	N/A	N/A	5,946	5,159	413,994	250,749
2008-01-17	$11.57	$14.00	42.8%	12.3%	33.1%	57.3%	42.9%	0.5%	0.8%	-170.9K	220.1M	-617.7K	6.52	16.14	N/A	N/A	861	5,612	416,867	242,788
2008-01-18	$8.70	$14.00	65.0%	18.6%	103.7%	100.0%	64.7%	0.6%	-9.8%	-123.1K	184.3M	-373.1K	0.58	7.31	N/A	N/A	39,403	22,744	415,259	243,084
2008-01-22	$8.80	$13.00	64.1%	18.4%	102.9%	97.8%	64.0%	1.1%	-4.7%	46.6K	73.0M	-494.4K	0.55	13.35	N/A	N/A	6,699	3,655	182,977	135,438
2008-01-23	$8.72	$13.00	62.5%	17.9%	102.8%	94.1%	62.8%	5.6%	-4.5%	93.5K	63.4M	-512.6K	3.08	14.50	N/A	N/A	2,302	7,096	187,180	127,919
2008-01-24	$9.09	$13.00	55.0%	15.8%	105.2%	77.0%	56.5%	3.7%	1.4%	117.1K	58.9M	-546.8K	0.56	11.27	N/A	N/A	10,676	5,952	187,570	129,211
2008-01-25	$9.38	$13.00	52.8%	15.1%	106.4%	71.8%	51.5%	3.2%	1.4%	148.9K	59.3M	-540.8K	0.21	7.63	N/A	N/A	9,281	1,911	191,592	131,278
2008-01-28	$9.97	$13.00	46.7%	13.4%	110.0%	58.0%	49.6%	4.8%	3.9%	192.7K	58.7M	-557.8K	0.19	11.93	N/A	N/A	17,582	3,280	194,708	131,054
2008-01-29	$10.80	$12.00	56.4%	16.2%	115.0%	80.1%	57.7%	-7.0%	-5.5%	354.3K	41.2M	-686.1K	1.00	8.81	N/A	N/A	36,247	36,289	207,869	131,145
2008-01-30	$10.36	$11.00	51.6%	14.8%	115.5%	69.1%	53.0%	-3.1%	4.8%	266.2K	50.0M	-688.6K	0.29	11.32	N/A	N/A	15,665	4,503	233,642	164,655
2008-01-31	$10.53	$11.00	52.6%	15.1%	116.0%	71.6%	52.8%	-2.7%	-2.2%	358.6K	43.7M	-717.4K	3.92	9.43	N/A	N/A	2,736	10,719	243,901	164,552