S Options History — May 2008

In May 2008, S traded between $7.89 and $9.40. ATM implied volatility averaged 64.5%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 10.4% (HV 20d: 54.1%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2008-05-05: Highest Volume — 137,176 contracts
  • 2008-05-09: Largest IV spike — 69.3% change
  • 2008-05-09: Highest IV Rank — 99.8%
  • 2008-05-05: Largest Expected Move — 24.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.97$7.89$9.40$8.02$9.36
Max Pain$8.43$7.00$9.00$8.00$9.00
ATM IV64.5%46.5%108.9%61.6%46.5%
Expected Move17.9%13.3%24.6%17.7%13.3%
HV 20d54.1%46.6%56.9%46.7%55.6%
HV 60d66.0%58.0%69.6%65.4%58.9%
IV Rank47.9%26.8%99.8%44.5%26.8%
IV Percentile78.6%61.9%99.6%81.3%61.9%
Term Structure-3.2%-23.3%4.5%-4.6%-3.8%
VWIV63.5%48.8%86.8%61.9%57.0%
Skew 25d2.9%-2.8%12.9%-1.9%-2.8%
Skew 10d0.4%-16.5%21.2%13.9%-5.8%
Call IV 25d62.4%49.1%86.0%63.8%53.0%
Put IV 25d65.4%50.3%88.1%61.9%50.3%
Bid-Ask Spread %15.937.0522.908.3212.89
Gamma HHI0.260.150.360.160.36
Net GEX2.3M1.3M3.6M1.4M2.4M
Net DEX-85.6M-146.3M-18.4M-21.8M-79.3M
Net VEX-988.5K-1.1M-833.4K-833.4K-961.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.152.550.190.15
Total Volume33,497.9521,595137,1769,0447,837
Total OI861,693.476752,4061,014,559807,737785,084

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$8.02$8.0061.6%17.7%46.7%44.5%61.9%-1.9%-4.6%1.4M-21.8M-833.4K0.198.32N/AN/A7,5791,465475,564332,173
2008-05-02$7.89$8.0079.6%22.8%46.6%65.6%79.3%12.9%-23.3%1.3M-18.4M-859.7K0.957.05N/AN/A21,87220,810481,578332,170
2008-05-05$8.72$7.00104.4%24.6%55.5%94.6%86.8%2.1%-13.7%1.8M-84.5M-967.8K0.6018.36N/AN/A85,92351,253495,520342,472
2008-05-06$9.19$7.0088.2%22.8%55.4%75.7%83.3%11.0%-9.7%2.2M-117.5M-1.1M0.4817.51N/AN/A59,30328,285534,239379,480
2008-05-07$9.16$7.0070.1%19.2%54.5%54.5%65.6%8.9%-1.4%2.8M-120.8M-1.0M0.2814.36N/AN/A45,05712,479561,275390,735
2008-05-08$8.98$7.0064.3%17.3%56.0%47.7%60.9%3.8%3.4%2.7M-106.2M-1.0M0.8518.77N/AN/A22,97919,451562,754394,347
2008-05-09$9.38$7.00108.9%23.4%55.5%99.8%81.4%11.9%-17.3%2.8M-146.3M-1.1M0.3721.79N/AN/A72,70026,961565,733399,743
2008-05-12$9.24$9.0061.2%19.9%56.0%44.0%69.8%2.8%-3.3%3.2M-116.4M-1.0M0.4622.06N/AN/A47,01921,428574,644407,667
2008-05-13$9.06$9.0059.3%18.0%56.2%41.7%64.0%-2.0%1.7%3.5M-108.0M-1.1M0.4114.85N/AN/A13,4095,492596,567408,665
2008-05-14$9.28$9.0053.4%17.8%56.2%34.9%63.1%-0.7%3.4%3.4M-124.2M-1.0M0.5522.10N/AN/A15,8618,724593,744407,223
2008-05-15$9.40$9.0059.4%17.0%55.5%41.9%63.0%-1.5%3.2%2.4M-138.7M-1.0M0.2222.90N/AN/A12,1962,662596,850408,663
2008-05-16$9.17$9.0057.0%16.3%56.9%39.1%57.4%0.5%4.5%3.6M-121.3M-1.0M0.2511.86N/AN/A20,3715,182604,079410,480
2008-05-19$9.27$9.0057.2%16.4%56.8%39.4%56.2%2.7%0.0%2.2M-84.2M-1.0M0.5015.24N/AN/A5,0842,550437,936314,470
2008-05-20$9.27$9.0059.2%17.0%55.5%41.7%58.0%5.3%-1.0%2.3M-86.4M-1.0M0.8516.74N/AN/A1,8071,529439,691314,568
2008-05-21$8.96$9.0056.3%16.1%51.3%38.3%57.2%0.4%1.0%1.9M-65.6M-999.5K1.2713.61N/AN/A1,8902,391440,682313,675
2008-05-22$8.90$9.0053.7%15.4%51.2%35.2%53.9%-0.3%3.3%1.9M-60.4M-969.3K0.2419.99N/AN/A1,282313440,612313,940
2008-05-23$8.68$9.0059.1%16.9%52.3%41.6%60.5%0.1%-2.5%1.6M-46.3M-955.4K0.2610.28N/AN/A2,764706440,501313,941
2008-05-27$8.44$9.0057.7%16.5%53.1%39.9%55.4%3.3%-0.3%1.3M-28.8M-898.4K0.549.23N/AN/A3,7272,008441,520314,016
2008-05-28$8.81$9.0048.6%13.9%53.6%29.3%48.8%1.4%-2.4%1.8M-48.6M-918.2K2.5520.75N/AN/A6,21615,847440,689314,698
2008-05-29$9.26$9.0049.3%14.1%55.6%30.1%49.5%3.7%-5.1%2.4M-74.4M-939.9K1.5616.00N/AN/A7,43511,610444,594328,581
2008-05-30$9.36$9.0046.5%13.3%55.6%26.8%57.0%-2.8%-3.8%2.4M-79.3M-961.7K0.1512.89N/AN/A6,8171,020446,495338,589