S Options History — February 2008

In February 2008, S traded between $7.11 and $10.74. ATM implied volatility averaged 60.1%, placing in the 72.5% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 34.2% (HV 20d: 94.3%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-02-29: Highest Volume — 161,828 contracts
  • 2008-02-27: Largest IV spike — 33.6% change
  • 2008-02-05: Highest IV Rank — 100.0%
  • 2008-02-27: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.33$7.11$10.74$10.44$7.11
Max Pain$9.75$9.00$11.00$11.00$9.00
ATM IV60.1%52.3%80.5%53.1%57.1%
Expected Move16.9%15.1%20.7%15.2%16.4%
HV 20d94.3%55.4%119.5%115.9%74.7%
HV 60d73.3%70.1%80.1%70.1%80.1%
IV Rank72.5%52.3%100.0%72.5%60.4%
IV Percentile96.3%92.1%100.0%97.2%94.0%
Term Structure1.4%-13.8%10.1%2.4%2.6%
VWIV59.7%51.9%69.3%56.1%60.1%
Skew 25d1.9%-9.8%12.2%-2.7%-9.8%
Skew 10d3.7%-19.4%34.5%6.7%-19.4%
Call IV 25d59.6%50.2%66.9%59.7%64.8%
Put IV 25d61.6%55.0%72.7%57.0%55.0%
Bid-Ask Spread %13.688.2022.849.798.20
Gamma HHI0.210.150.350.190.25
Net GEX569.2K-177.3K1.8M196.7K-177.3K
Net DEX44.4M10.5M99.9M50.5M99.9M
Net VEX-766.8K-890.2K-578.0K-709.5K-578.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.084.100.531.61
Total Volume37,997.252,498161,82811,045161,828
Total OI497,155.05409,217602,173409,217602,173

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$10.44$11.0053.1%15.2%115.9%72.5%56.1%-2.7%2.4%196.7K50.5M-709.5K0.539.79N/AN/A7,1993,846236,754172,463
2008-02-04$10.74$10.0054.2%15.1%116.8%75.2%51.9%12.2%4.2%615.6K36.7M-796.2K0.0822.84N/AN/A21,0101,696242,017174,936
2008-02-05$9.87$10.0065.1%18.3%119.5%100.0%65.2%4.1%5.0%91.2K43.7M-785.2K0.6621.47N/AN/A17,40311,409259,476175,720
2008-02-06$9.62$10.0064.8%18.6%119.4%99.3%65.3%5.4%10.1%-115.9K45.9M-799.6K0.5416.41N/AN/A25,79213,905270,221179,827
2008-02-07$9.56$10.0065.3%19.0%119.5%100.0%66.4%1.4%4.2%-94.7K43.7M-795.1K0.4211.67N/AN/A18,2437,664286,702183,102
2008-02-08$9.44$10.0063.3%18.4%117.9%95.4%63.9%3.2%4.6%-13.7K44.0M-808.7K0.2418.64N/AN/A21,1865,125299,053186,584
2008-02-11$9.73$10.0080.5%17.8%118.4%100.0%62.3%4.2%4.3%603.3K32.2M-819.8K0.7414.54N/AN/A14,23210,518315,011187,792
2008-02-12$9.99$10.0068.7%17.4%119.0%80.0%60.6%-1.8%0.4%1.0M23.4M-844.5K0.3213.26N/AN/A29,3099,266322,937193,248
2008-02-13$10.13$10.0052.3%16.3%119.3%52.3%57.7%3.9%1.3%1.8M10.5M-890.2K1.1212.35N/AN/A8,5479,555330,332191,434
2008-02-14$9.69$10.0056.2%16.1%119.4%58.8%55.9%0.4%1.5%1.0M39.8M-787.6K0.6713.67N/AN/A5,6533,814322,251197,636
2008-02-15$9.57$10.0058.6%16.8%119.3%62.9%58.8%3.4%2.1%625.6K39.7M-785.7K0.1311.47N/AN/A22,4672,883324,459198,087
2008-02-19$9.23$10.0060.0%17.2%62.0%65.2%60.0%-3.5%0.2%641.9K37.5M-762.0K0.4117.40N/AN/A18,9717,835275,579165,396
2008-02-20$8.71$10.0057.2%16.4%65.5%60.6%59.8%0.3%-0.2%658.3K48.6M-704.3K0.3412.88N/AN/A29,50810,051291,161170,698
2008-02-21$8.51$10.0058.9%16.9%66.0%63.5%57.0%-3.4%-1.5%706.3K50.9M-704.8K1.6613.02N/AN/A24,43240,448305,709175,673
2008-02-22$8.91$9.0053.2%15.3%66.4%53.8%57.0%1.8%-0.0%872.0K42.8M-767.8K1.0111.92N/AN/A3,9994,059326,285199,207
2008-02-25$8.95$9.0053.6%15.4%65.3%54.4%56.9%4.7%-0.6%911.5K41.3M-784.3K0.7012.27N/AN/A1,4701,028328,476201,399
2008-02-26$9.29$9.0054.0%15.5%62.7%55.1%53.0%4.3%-0.8%1.1M31.7M-782.6K1.3911.34N/AN/A3,6205,045328,816201,937
2008-02-27$8.95$9.0072.2%20.7%55.4%85.9%69.3%8.4%-13.8%839.5K41.3M-762.4K0.869.60N/AN/A43,55337,636328,338204,765
2008-02-28$8.09$9.0054.2%15.5%63.4%55.4%57.9%2.1%2.4%83.8K84.5M-668.0K4.1010.87N/AN/A18,76376,977351,010236,437
2008-02-29$7.11$9.0057.1%16.4%74.7%60.4%60.1%-9.8%2.6%-177.3K99.9M-578.0K1.618.20N/AN/A62,05499,774350,173252,000