S Options History — March 2008

In March 2008, S traded between $5.63 and $7.01. ATM implied volatility averaged 82.6%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded above realized volatility by 4.7% (HV 20d: 78.0%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.34.

Notable Days

  • 2008-03-11: Highest Volume — 144,027 contracts
  • 2008-03-12: Largest IV spike — 29.4% change
  • 2008-03-11: Highest IV Rank — 100.0%
  • 2008-03-17: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.42$5.63$7.01$6.98$6.69
Max Pain$7.30$6.00$9.00$9.00$6.00
ATM IV82.6%58.9%109.0%58.9%83.8%
Expected Move23.7%16.9%28.4%16.9%24.0%
HV 20d78.0%69.8%92.4%74.6%73.3%
HV 60d83.9%80.0%89.3%80.1%89.3%
IV Rank78.0%60.0%100.0%63.4%71.2%
IV Percentile97.9%95.2%100.0%95.2%95.2%
Term Structure0.2%-10.2%7.2%1.9%5.6%
VWIV83.4%60.2%102.4%61.5%84.4%
Skew 25d2.3%-10.6%11.6%-10.2%4.3%
Skew 10d7.8%-7.5%40.9%1.6%40.9%
Call IV 25d83.2%60.4%101.5%66.0%87.3%
Put IV 25d85.5%55.7%106.3%55.7%91.6%
Bid-Ask Spread %14.107.2920.088.3315.71
Gamma HHI0.140.120.160.160.13
Net GEX261.6K-136.7K631.2K-99.6K486.2K
Net DEX58.7M25.5M87.3M87.3M25.7M
Net VEX-892.8K-976.9K-784.5K-784.5K-969.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.057.901.440.10
Total Volume35,555.36,879144,02756,1488,586
Total OI833,722.45720,797957,621720,797823,823

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$6.98$9.0058.9%16.9%74.6%63.4%61.5%-10.2%1.9%-99.6K87.3M-784.5K1.448.33N/AN/A23,03833,110405,825314,972
2008-03-04$6.88$9.0062.6%17.9%72.4%69.6%60.5%-4.6%-1.4%-38.8K83.4M-845.6K7.907.29N/AN/A6,63752,445424,720336,899
2008-03-05$7.00$9.0060.2%17.2%69.8%65.5%60.2%-2.8%1.2%-136.7K85.0M-882.7K0.897.59N/AN/A10,7729,569428,882352,490
2008-03-06$6.80$9.0061.1%17.5%69.9%67.1%61.4%-10.6%4.2%111.9K79.9M-830.7K0.567.98N/AN/A4,4122,467436,684335,883
2008-03-07$7.01$8.0061.8%19.1%71.8%68.3%64.8%6.2%7.2%76.6K75.3M-895.4K0.6412.10N/AN/A42,88927,550438,806340,870
2008-03-10$6.72$8.0069.5%20.7%72.4%81.4%72.3%-0.4%4.0%167.6K74.1M-931.7K1.7311.55N/AN/A14,22624,628470,263365,132
2008-03-11$6.17$8.0084.3%26.2%74.0%100.0%91.4%5.6%-10.2%44.3K79.6M-844.9K2.3015.51N/AN/A43,671100,356476,899371,918
2008-03-12$6.22$8.00109.0%27.2%72.7%100.0%97.1%7.6%-5.9%312.2K60.0M-929.5K0.2019.41N/AN/A29,9145,908504,653355,107
2008-03-13$5.99$8.0090.6%26.0%71.5%79.0%91.2%0.3%-3.4%631.2K43.5M-896.7K1.8517.98N/AN/A4,8288,930526,780356,157
2008-03-14$6.02$7.0089.9%25.8%71.9%78.2%93.1%-2.0%2.3%523.4K56.6M-904.0K1.1115.57N/AN/A4,3894,870529,175360,924
2008-03-17$5.66$7.0099.0%28.4%73.0%88.6%102.4%4.8%-0.0%562.0K65.7M-827.2K0.8119.34N/AN/A6,2765,078530,020363,904
2008-03-18$5.92$7.0092.5%26.5%77.1%81.1%97.1%7.5%0.8%617.5K67.8M-825.4K0.9819.22N/AN/A4,6614,591531,261363,862
2008-03-19$5.63$7.0090.2%25.8%76.7%78.5%89.8%4.9%2.4%386.7K72.4M-821.7K1.6812.30N/AN/A25,59842,939533,498364,055
2008-03-20$6.37$6.0086.1%24.7%92.4%73.8%85.1%5.0%-1.4%66.3K44.3M-920.9K1.8420.08N/AN/A15,97129,338555,140402,481
2008-03-24$6.58$6.0074.0%21.2%91.4%60.0%76.6%6.3%5.7%150.0K40.1M-934.4K0.5814.41N/AN/A6,5023,765432,683358,271
2008-03-25$6.42$6.0093.3%26.8%91.1%82.1%96.4%1.0%0.2%123.1K42.5M-942.5K0.1012.15N/AN/A37,4923,770434,102360,398
2008-03-26$6.52$6.0094.2%27.0%89.7%83.1%96.9%11.6%-1.0%431.8K25.5M-976.9K2.0313.69N/AN/A6,28212,769461,204360,762
2008-03-27$6.49$6.0098.8%28.3%89.5%88.3%94.5%2.7%-5.2%358.4K29.9M-960.3K0.0516.32N/AN/A21,9311,137462,130365,543
2008-03-28$6.41$6.0093.0%26.7%83.7%81.7%91.6%9.7%-2.6%458.5K35.0M-931.2K0.0515.56N/AN/A18,927884477,634360,639
2008-03-31$6.69$6.0083.8%24.0%73.3%71.2%84.4%4.3%5.6%486.2K25.7M-969.7K0.1015.71N/AN/A7,773813462,770361,053