S Options History — July 2008 In July 2008, S traded between $8.14 and $9.04. ATM implied volatility averaged 75.6%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 15.7% (HV 20d: 59.9%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.46.
Notable Days 2008-07-15 : Highest Volume — 71,833 contracts2008-07-15 : Largest IV spike — 26.9% change2008-07-15 : Highest IV Rank — 78.6%2008-07-15 : Largest Expected Move — 26.3%Monthly Statistics Metric Avg Min Max Open Close Price $8.56 $8.14 $9.04 $8.83 $8.14 Max Pain $7.73 $7.00 $9.00 $9.00 $8.00 ATM IV 75.6% 64.2% 91.8% 72.5% 79.5% Expected Move 22.0% 19.3% 26.3% 20.8% 22.8% HV 20d 59.9% 51.1% 68.8% 55.5% 51.7% HV 60d 52.9% 48.5% 56.0% 51.8% 48.5% IV Rank 58.5% 44.2% 78.6% 55.7% 63.2% IV Percentile 89.3% 81.3% 96.4% 90.1% 90.5% Term Structure -8.8% -22.9% 6.5% -2.8% -6.1% VWIV 78.1% 68.1% 92.2% 72.5% 86.5% Skew 25d -0.7% -10.0% 5.8% -0.6% -8.8% Skew 10d -2.2% -26.5% 20.1% 13.4% -4.4% Call IV 25d 78.8% 68.2% 96.7% 75.6% 88.2% Put IV 25d 78.1% 71.7% 88.9% 75.0% 79.4% Bid-Ask Spread % 13.19 9.01 25.38 10.16 10.51 Gamma HHI 0.23 0.20 0.26 0.24 0.25 Net GEX 1.8M 1.3M 2.2M 1.7M 1.8M Net DEX -75.6M -109.7M -42.4M -89.3M -42.4M Net VEX -779.5K -851.0K -705.2K -845.2K -705.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.09 1.82 0.51 1.82 Total Volume 13,315.409 1,861 71,833 33,556 18,737 Total OI 759,526.227 729,881 797,994 753,868 750,555
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 2008-07-01 $8.83 $9.00 72.5% 20.8% 55.5% 55.7% 72.5% -0.6% -2.8% 1.7M -89.3M -845.2K 0.51 10.16 N/A N/A 22,225 11,331 453,242 300,626 2008-07-02 $8.74 $9.00 67.4% 19.3% 55.4% 49.5% 69.6% 2.4% 6.5% 1.7M -83.8M -845.4K 0.30 16.86 N/A N/A 16,668 4,930 451,058 299,942 2008-07-03 $8.51 $9.00 67.2% 19.3% 56.0% 47.9% 68.1% 3.5% 5.3% 1.9M -76.4M -851.0K 0.59 22.55 N/A N/A 1,540 916 471,890 301,825 2008-07-07 $8.63 $7.00 70.2% 22.6% 56.1% 51.7% 77.9% 5.1% -17.1% 1.6M -77.5M -823.5K 0.20 14.31 N/A N/A 6,130 1,218 457,287 301,836 2008-07-08 $8.96 $7.00 64.2% 21.8% 57.2% 44.2% 75.1% 4.7% -15.1% 1.9M -99.1M -840.0K 0.10 10.10 N/A N/A 5,642 561 458,615 301,422 2008-07-09 $8.60 $7.00 65.8% 21.2% 58.3% 46.2% 75.8% 1.1% -11.5% 1.7M -76.8M -803.6K 0.09 14.25 N/A N/A 3,010 263 457,771 300,974 2008-07-10 $8.58 $7.00 73.8% 21.2% 58.0% 56.2% 73.5% 5.8% -12.4% 1.7M -72.4M -794.6K 0.31 12.04 N/A N/A 2,002 619 457,732 301,007 2008-07-11 $8.43 $7.00 75.8% 21.7% 55.9% 58.7% 74.5% 4.1% -10.2% 1.5M -64.5M -783.2K 0.90 10.65 N/A N/A 1,584 1,423 458,651 301,037 2008-07-14 $8.26 $7.00 72.4% 20.7% 56.3% 54.4% 75.8% -0.9% -9.7% 1.3M -49.4M -742.4K 0.61 9.01 N/A N/A 1,154 707 458,271 301,416 2008-07-15 $9.04 $7.00 91.8% 26.3% 64.7% 78.6% 92.2% -10.0% -22.9% 1.8M -109.7M -826.2K 0.49 25.38 N/A N/A 48,331 23,502 458,528 300,955 2008-07-16 $8.69 $7.00 77.1% 22.1% 66.4% 60.3% 77.0% -2.2% -9.6% 1.9M -88.7M -816.2K 0.77 15.06 N/A N/A 7,523 5,769 485,501 312,493 2008-07-17 $8.31 $7.00 75.2% 21.6% 68.2% 57.9% 75.9% -4.2% -5.8% 1.4M -58.7M -745.5K 0.77 13.80 N/A N/A 4,487 3,462 483,689 307,451 2008-07-18 $8.53 $8.00 75.1% 21.5% 68.8% 57.8% 74.3% 5.1% -8.6% 1.8M -70.2M -762.2K 0.10 12.99 N/A N/A 3,820 389 485,943 308,472 2008-07-21 $8.58 $8.00 76.9% 22.1% 66.5% 60.1% 76.1% -5.1% -9.4% 1.8M -77.6M -755.1K 0.31 9.08 N/A N/A 9,215 2,821 446,713 283,168 2008-07-22 $8.42 $8.00 75.0% 21.5% 66.2% 57.6% 72.7% 2.1% -7.3% 1.7M -66.8M -738.5K 0.10 14.36 N/A N/A 10,564 1,055 456,737 285,581 2008-07-23 $8.51 $8.00 72.6% 20.8% 64.2% 54.7% 80.6% -10.0% -11.2% 1.9M -78.2M -769.1K 0.19 10.33 N/A N/A 4,803 916 458,553 283,742 2008-07-24 $8.50 $8.00 73.7% 21.1% 61.3% 56.0% 72.6% -1.2% -1.4% 1.9M -69.4M -730.3K 0.11 11.62 N/A N/A 8,506 961 460,799 284,524 2008-07-25 $8.74 $8.00 74.0% 21.2% 61.0% 56.4% 79.1% 4.2% -5.3% 2.2M -91.6M -752.1K 0.63 10.30 N/A N/A 15,976 10,026 464,415 284,758 2008-07-28 $8.46 $8.00 86.8% 24.9% 61.9% 72.3% 89.1% -2.3% -11.9% 1.9M -79.4M -738.5K 0.37 12.24 N/A N/A 17,453 6,512 469,453 283,820 2008-07-29 $8.49 $8.00 89.1% 25.5% 56.8% 75.2% 89.3% -5.3% -15.9% 2.0M -84.5M -749.2K 0.49 13.94 N/A N/A 1,939 948 483,314 286,861 2008-07-30 $8.34 $8.00 87.1% 25.0% 51.1% 72.7% 90.1% -3.4% -11.4% 1.9M -56.6M -732.8K 0.37 10.69 N/A N/A 2,414 887 461,505 287,445 2008-07-31 $8.14 $8.00 79.5% 22.8% 51.7% 63.2% 86.5% -8.8% -6.1% 1.8M -42.4M -705.2K 1.82 10.51 N/A N/A 6,635 12,102 462,680 287,875
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