S Options History — June 2008

In June 2008, S traded between $7.72 and $9.50. ATM implied volatility averaged 54.7%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 13.7% (HV 20d: 41.0%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2008-06-26: Highest Volume — 64,063 contracts
  • 2008-06-25: Largest IV spike — 28.6% change
  • 2008-06-25: Highest IV Rank — 42.3%
  • 2008-06-25: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.62$7.72$9.50$9.42$9.50
Max Pain$9.62$9.00$10.00$9.00$9.00
ATM IV54.7%47.4%60.9%49.1%59.1%
Expected Move15.7%13.6%17.5%14.1%16.9%
HV 20d41.0%36.7%54.8%54.8%48.9%
HV 60d51.0%45.7%58.5%58.5%49.8%
IV Rank35.9%26.1%42.3%29.9%39.3%
IV Percentile67.3%56.0%77.8%63.1%74.2%
Term Structure3.8%-4.0%14.0%-4.0%4.0%
VWIV55.3%43.4%61.4%53.3%59.6%
Skew 25d0.9%-5.4%6.6%-1.5%2.4%
Skew 10d1.3%-20.0%22.7%3.0%16.4%
Call IV 25d56.7%48.5%67.1%54.2%59.4%
Put IV 25d57.6%50.1%63.6%52.7%61.8%
Bid-Ask Spread %19.4111.8230.9017.6719.40
Gamma HHI0.270.180.370.370.27
Net GEX1.4M578.5K2.5M2.5M2.2M
Net DEX-46.5M-134.9M-1.6M-82.1M-134.9M
Net VEX-834.1K-978.8K-468.3K-952.5K-863.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.054.940.280.69
Total Volume18,051.0482,62664,06314,10430,803
Total OI786,733.476556,664863,083788,479755,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$9.42$9.0049.1%14.1%54.8%29.9%53.3%-1.5%-4.0%2.5M-82.1M-952.5K0.2817.67N/AN/A10,9943,110449,638338,841
2008-06-03$9.38$9.0051.4%14.8%43.1%32.6%53.7%-1.3%-1.6%2.5M-80.6M-944.5K0.2218.26N/AN/A21,1114,689457,157341,282
2008-06-04$9.25$9.0053.9%15.4%39.4%35.4%54.9%-1.4%0.3%2.4M-73.1M-958.6K0.5214.52N/AN/A30,46715,743465,701343,887
2008-06-05$9.20$9.0054.4%15.6%39.4%36.1%55.2%-0.3%1.7%2.3M-72.4M-959.7K0.5311.82N/AN/A6,6993,521467,945344,931
2008-06-06$9.04$10.0056.3%16.2%39.3%38.3%55.9%-0.0%3.3%2.1M-61.9M-978.8K0.2628.28N/AN/A3,069809471,975345,907
2008-06-09$8.82$10.0059.1%16.7%36.7%41.6%59.0%-0.7%4.2%1.7M-43.6M-923.6K1.8223.07N/AN/A1,9863,613472,874346,104
2008-06-10$8.59$10.0056.8%17.1%37.4%38.9%60.9%1.4%2.9%1.2M-24.2M-883.3K0.6522.87N/AN/A4,5032,927473,107346,191
2008-06-11$8.45$10.0059.2%16.8%37.2%41.7%59.5%-1.0%4.6%1.1M-17.8M-872.2K0.2316.28N/AN/A3,393777476,574345,649
2008-06-12$8.08$10.0058.6%16.8%38.5%41.0%58.8%0.5%4.3%673.0K-1.6M-816.3K1.1016.50N/AN/A7,8248,577474,614339,044
2008-06-13$8.19$10.0056.0%16.1%38.5%38.0%56.1%4.4%3.2%751.0K-3.3M-825.8K0.2017.24N/AN/A40,0177,876477,962343,406
2008-06-16$8.20$10.0056.1%16.1%38.0%38.0%57.5%3.7%1.9%620.7K-22.7M-468.3K3.5326.76N/AN/A1,9836,993326,068230,596
2008-06-17$8.34$10.0052.6%15.1%38.4%34.0%53.7%2.1%4.1%976.0K-34.1M-807.1K4.9430.90N/AN/A9254,569515,297347,768
2008-06-18$8.22$10.0053.6%15.4%38.5%35.1%53.6%2.8%4.9%987.1K-27.6M-794.3K0.8224.06N/AN/A1,7681,451513,676349,407
2008-06-19$8.28$10.0052.2%15.0%37.3%33.5%52.7%1.7%5.3%980.6K-33.7M-792.5K0.0529.19N/AN/A2,494132516,350344,924
2008-06-20$7.91$10.0051.6%14.8%40.1%32.6%52.4%1.5%5.4%1.1M-8.5M-738.0K0.8817.08N/AN/A4,5714,017517,015344,390
2008-06-23$7.72$10.0049.2%14.1%40.1%29.6%43.4%6.6%10.3%578.5K-8.9M-713.8K2.5215.49N/AN/A4,32110,879418,615299,984
2008-06-24$8.11$10.0047.4%13.6%43.7%26.1%46.9%1.6%14.0%728.4K-24.5M-749.0K0.7817.03N/AN/A3,3472,622420,242301,856
2008-06-25$8.55$9.0060.9%17.5%45.1%42.3%61.4%2.3%3.2%1.0M-57.9M-814.9K0.3316.14N/AN/A24,9098,293421,033300,002
2008-06-26$8.84$9.0054.9%15.7%43.0%34.4%56.2%-5.4%0.8%1.6M-77.3M-811.0K0.9912.94N/AN/A32,11531,948436,428301,690
2008-06-27$8.91$9.0055.4%15.9%42.9%35.0%56.0%0.1%6.7%1.6M-86.7M-849.7K0.5312.12N/AN/A12,5526,675436,428301,690
2008-06-30$9.50$9.0059.1%16.9%48.9%39.3%59.6%2.4%4.0%2.2M-134.9M-863.1K0.6919.40N/AN/A18,25912,544450,964304,191