S Options History — August 2008

In August 2008, S traded between $7.34 and $9.33. ATM implied volatility averaged 62.2%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 14.5% (HV 20d: 76.8%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-08-11: Highest Volume — 74,211 contracts
  • 2008-08-08: Largest IV drop — 33.8% change
  • 2008-08-05: Highest IV Rank — 83.1%
  • 2008-08-07: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.70$7.34$9.33$8.09$8.72
Max Pain$8.10$8.00$9.00$8.00$8.00
ATM IV62.2%51.3%95.5%66.8%53.4%
Expected Move16.3%14.7%20.6%19.2%15.3%
HV 20d76.8%50.7%87.8%50.9%81.3%
HV 60d60.7%48.4%64.1%48.5%63.3%
IV Rank41.8%28.2%83.1%47.5%30.8%
IV Percentile63.0%43.3%98.0%77.8%47.6%
Term Structure2.3%-6.8%7.9%-1.7%1.0%
VWIV57.7%51.7%73.5%67.8%57.1%
Skew 25d1.3%-6.1%11.5%-5.0%6.5%
Skew 10d-1.5%-39.4%26.0%-39.4%26.0%
Call IV 25d58.7%51.0%81.2%81.2%56.9%
Put IV 25d60.0%51.0%78.0%76.2%63.4%
Bid-Ask Spread %15.429.2525.239.2512.66
Gamma HHI0.320.170.620.230.27
Net GEX2.2M92.5K5.4M1.7M1.7M
Net DEX-65.2M-159.5M31.0M-38.6M-55.1M
Net VEX-687.7K-736.1K-573.5K-695.6K-648.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.044.862.090.61
Total Volume21,886.0481,43074,21115,7753,955
Total OI689,787.476529,474875,214761,260553,604

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$8.09$8.0066.8%19.2%50.9%47.5%67.8%-5.0%-1.7%1.7M-38.6M-695.6K2.099.25N/AN/A5,10410,671464,808296,452
2008-08-04$8.13$8.0080.8%19.2%50.7%64.8%64.8%5.0%-6.8%1.7M-39.2M-668.1K0.7725.23N/AN/A22,54917,307463,988301,438
2008-08-05$8.55$9.0095.5%17.7%52.2%83.1%62.4%6.0%0.6%2.1M-63.5M-721.8K3.3819.97N/AN/A11,41338,606468,715312,713
2008-08-06$7.34$9.0076.9%17.4%73.7%60.0%58.2%3.9%3.7%92.5K31.0M-573.5K0.8018.84N/AN/A16,77113,345471,724326,462
2008-08-07$7.79$8.0094.6%20.6%77.5%82.0%73.5%6.1%-5.8%1.1M-13.5M-684.3K0.3720.79N/AN/A48,13917,620479,180328,007
2008-08-08$8.72$8.0062.6%15.5%87.8%42.2%56.0%11.5%2.3%3.3M-81.3M-724.9K0.2918.32N/AN/A42,84212,519505,305331,309
2008-08-11$8.80$8.0063.2%15.5%87.5%42.9%55.2%3.8%6.5%3.9M-93.4M-729.0K0.1018.57N/AN/A67,6976,514513,590335,902
2008-08-12$8.68$8.0063.0%15.9%81.3%42.7%55.4%6.5%4.2%4.4M-90.7M-736.1K0.0721.54N/AN/A16,9941,183539,729335,485
2008-08-13$8.65$8.0057.7%15.8%80.1%36.1%55.0%4.4%5.0%3.9M-77.9M-709.7K0.1715.14N/AN/A2,263379523,524334,189
2008-08-14$8.81$8.0051.6%14.8%78.6%28.5%52.8%2.3%7.9%5.4M-91.1M-704.8K0.5013.16N/AN/A2,0491,021521,284330,414
2008-08-15$9.33$8.0055.3%15.8%80.5%33.1%56.9%-1.2%4.9%2.9M-159.5M-697.1K0.0718.42N/AN/A16,6331,238506,573330,633
2008-08-18$9.12$8.0056.3%16.1%81.1%34.3%58.2%-4.4%1.7%1.4M-69.4M-697.0K0.0913.27N/AN/A12,9741,220327,097202,377
2008-08-19$9.03$8.0056.2%16.1%80.9%34.3%57.1%1.3%2.2%1.5M-66.4M-698.0K0.3813.13N/AN/A1,035395332,272203,130
2008-08-20$9.11$8.0053.2%15.3%80.8%30.6%53.8%-6.1%3.5%1.6M-69.0M-683.9K0.8512.60N/AN/A2,9412,487332,908203,185
2008-08-21$8.98$8.0053.5%15.3%81.1%30.9%54.8%-5.1%6.6%1.5M-63.2M-694.4K0.0411.74N/AN/A9,175395334,367205,111
2008-08-22$9.24$8.0051.3%14.7%81.1%28.2%51.7%-1.0%4.3%1.8M-79.1M-696.3K0.1312.73N/AN/A14,3691,871341,866205,156
2008-08-25$8.93$8.0053.6%15.4%81.2%31.0%53.9%-3.4%1.5%1.8M-66.7M-683.6K0.8614.81N/AN/A3,2322,782348,741206,595
2008-08-26$8.77$8.0053.2%15.2%81.5%30.5%53.3%-5.8%2.2%1.7M-58.3M-660.4K0.8211.38N/AN/A925763348,251205,794
2008-08-27$8.96$8.0051.7%14.8%81.5%28.7%53.8%-3.9%6.4%1.8M-65.6M-671.3K0.6612.55N/AN/A4,1082,704348,725206,101
2008-08-28$8.90$8.0056.9%16.3%80.9%35.1%60.3%5.1%-1.3%1.7M-58.7M-663.4K4.869.70N/AN/A3,65617,763350,997207,836
2008-08-29$8.72$8.0053.4%15.3%81.3%30.8%57.1%6.5%1.0%1.7M-55.1M-648.2K0.6112.66N/AN/A2,4561,499352,316201,288