S Options History — April 2008 In April 2008, S traded between $6.31 and $8.08. ATM implied volatility averaged 68.6%, placing in the 52.9% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 11.4% (HV 20d: 57.1%). Max pain ranged from $6.00 to $9.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.39.
Notable Days 2008-04-01 : Highest Volume — 46,298 contracts2008-04-10 : Largest IV spike — 37.9% change2008-04-14 : Highest IV Rank — 67.2%2008-04-04 : Largest Expected Move — 23.4%Monthly Statistics Metric Avg Min Max Open Close Price $6.94 $6.31 $8.08 $6.68 $7.99 Max Pain $8.09 $6.00 $9.00 $6.00 $8.00 ATM IV 68.6% 53.3% 81.0% 69.3% 61.8% Expected Move 20.6% 17.7% 23.4% 19.9% 17.7% HV 20d 57.1% 34.8% 73.2% 73.1% 46.7% HV 60d 78.6% 67.2% 89.9% 89.3% 67.5% IV Rank 52.9% 34.7% 67.2% 54.6% 44.7% IV Percentile 89.4% 80.6% 94.8% 93.3% 81.7% Term Structure -1.5% -8.6% 14.2% 14.2% -3.1% VWIV 72.0% 60.4% 80.3% 68.0% 60.4% Skew 25d 1.7% -12.6% 6.7% -12.6% -2.9% Skew 10d 2.0% -18.3% 27.9% 12.3% 6.7% Call IV 25d 72.3% 57.6% 81.4% 79.7% 63.0% Put IV 25d 73.9% 60.2% 82.9% 67.2% 60.2% Bid-Ask Spread % 10.44 6.43 15.34 13.73 6.88 Gamma HHI 0.16 0.14 0.18 0.15 0.16 Net GEX 507.4K -7.7K 1.3M 537.2K 1.3M Net DEX 24.0M -26.2M 45.2M 33.4M -21.5M Net VEX -850.2K -946.4K -764.3K -890.5K -840.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.03 1.33 0.65 0.50 Total Volume 12,509.045 1,524 46,298 46,298 12,597 Total OI 820,892.955 769,807 856,380 827,195 805,410
Daily Data (22 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 2008-04-01 $6.68 $6.00 69.3% 19.9% 73.1% 54.6% 68.0% -12.6% 14.2% 537.2K 33.4M -890.5K 0.65 13.73 N/A N/A 28,004 18,294 465,981 361,214 2008-04-02 $6.60 $6.00 71.5% 20.5% 73.0% 57.2% 74.1% 3.6% 10.5% 357.9K 37.9M -920.9K 0.36 14.00 N/A N/A 30,755 11,077 463,319 364,461 2008-04-03 $6.64 $6.00 67.3% 19.3% 72.7% 52.4% 70.2% -0.1% 13.7% 383.2K 34.4M -942.8K 0.12 14.71 N/A N/A 2,064 240 482,467 373,913 2008-04-04 $6.52 $9.00 69.3% 23.4% 72.3% 54.7% 78.0% 1.5% -8.6% 360.4K 37.3M -915.3K 0.34 10.63 N/A N/A 2,218 752 482,356 370,460 2008-04-07 $6.81 $9.00 63.0% 22.0% 73.2% 47.5% 78.1% 2.4% -2.5% 466.7K 27.7M -946.4K 0.05 14.06 N/A N/A 30,125 1,406 482,689 369,588 2008-04-08 $6.64 $9.00 53.3% 22.3% 72.2% 34.7% 80.3% 4.6% -4.4% 356.8K 39.8M -831.7K 0.10 9.70 N/A N/A 4,774 486 468,639 368,249 2008-04-09 $6.53 $9.00 56.2% 22.7% 65.3% 38.2% 78.6% -1.6% -6.2% 344.9K 40.5M -844.9K 0.18 15.34 N/A N/A 8,478 1,526 478,870 367,100 2008-04-10 $6.58 $9.00 77.5% 22.2% 65.3% 63.1% 78.4% 2.3% -2.4% 367.4K 37.8M -848.1K 1.12 11.65 N/A N/A 1,045 1,166 473,119 362,316 2008-04-11 $6.47 $9.00 76.5% 21.9% 64.0% 62.0% 76.2% 0.5% 2.6% 295.5K 40.9M -831.5K 0.09 10.64 N/A N/A 1,959 174 471,615 361,070 2008-04-14 $6.42 $9.00 81.0% 23.2% 64.1% 67.2% 79.8% -0.3% -3.7% 261.3K 45.2M -771.3K 1.33 11.11 N/A N/A 2,540 3,377 472,376 360,595 2008-04-15 $6.31 $9.00 80.9% 23.2% 60.0% 67.1% 78.2% 5.2% -2.6% -7.7K 44.9M -778.5K 0.16 9.34 N/A N/A 4,417 694 472,985 361,992 2008-04-16 $6.43 $8.00 75.5% 21.7% 58.4% 60.8% 76.3% 3.8% -0.1% 268.1K 41.3M -784.2K 0.31 11.71 N/A N/A 1,390 427 474,426 357,758 2008-04-17 $6.39 $8.00 75.9% 21.8% 55.0% 61.2% 74.8% 2.9% -2.3% 66.5K 41.7M -764.3K 0.03 11.81 N/A N/A 1,478 46 475,185 357,864 2008-04-18 $6.67 $8.00 70.8% 20.3% 36.5% 55.2% 74.3% 4.2% -2.1% 75.7K 37.0M -806.3K 0.35 8.41 N/A N/A 7,259 2,555 475,542 357,584 2008-04-21 $6.70 $8.00 70.1% 20.1% 34.8% 54.5% 70.4% 3.0% -3.4% 129.5K 40.6M -777.8K 0.37 6.43 N/A N/A 3,889 1,434 438,154 331,653 2008-04-22 $7.05 $8.00 68.1% 19.5% 37.6% 52.1% 67.8% 3.4% -4.2% 332.2K 30.2M -789.7K 0.71 8.14 N/A N/A 7,380 5,207 438,154 331,653 2008-04-23 $7.67 $8.00 65.1% 18.7% 47.0% 48.6% 65.0% 2.2% -7.4% 751.1K 1.2M -891.4K 0.32 8.29 N/A N/A 21,823 6,936 443,626 332,113 2008-04-24 $7.85 $8.00 62.7% 18.0% 47.0% 45.8% 63.8% 0.1% -7.3% 1.0M -12.1M -896.8K 0.82 8.75 N/A N/A 10,551 8,617 456,275 337,151 2008-04-25 $7.91 $8.00 64.1% 18.4% 46.3% 47.4% 63.9% 6.7% -3.0% 1.0M -12.9M -898.9K 0.13 9.34 N/A N/A 15,923 2,059 461,648 342,710 2008-04-28 $7.78 $8.00 63.5% 18.2% 45.6% 46.7% 64.8% 3.0% -4.2% 1.1M -11.7M -865.0K 0.39 8.16 N/A N/A 2,732 1,078 469,172 333,728 2008-04-29 $8.08 $8.00 64.6% 18.5% 46.7% 48.0% 62.8% 4.4% -6.4% 1.3M -26.2M -867.6K 0.28 6.89 N/A N/A 4,898 1,349 470,692 333,773 2008-04-30 $7.99 $8.00 61.8% 17.7% 46.7% 44.7% 60.4% -2.9% -3.1% 1.3M -21.5M -840.8K 0.50 6.88 N/A N/A 8,420 4,177 472,417 332,993
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