S Options History — September 2008

In September 2008, S traded between $5.79 and $8.83. ATM implied volatility averaged 65.2%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 4.2% (HV 20d: 69.4%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2008-09-05: Highest Volume — 48,939 contracts
  • 2008-09-29: Largest IV spike — 50.8% change
  • 2008-09-29: Highest IV Rank — 80.9%
  • 2008-09-29: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.11$5.79$8.83$8.83$6.10
Max Pain$7.43$7.00$9.00$8.00$7.00
ATM IV65.2%51.5%93.8%51.5%85.7%
Expected Move18.6%14.8%26.9%14.8%24.6%
HV 20d69.4%41.2%101.4%81.4%101.0%
HV 60d70.3%63.2%80.5%63.2%80.5%
IV Rank45.1%28.4%80.9%28.4%70.7%
IV Percentile69.0%41.7%96.8%41.7%91.7%
Term Structure6.2%-2.8%13.4%3.4%1.4%
VWIV66.2%56.3%107.7%59.5%107.7%
Skew 25d2.9%-3.5%11.5%-0.4%-1.7%
Skew 10d3.8%-25.5%39.4%4.7%-21.9%
Call IV 25d65.8%53.3%92.2%59.2%92.2%
Put IV 25d68.7%56.5%98.4%58.8%90.6%
Bid-Ask Spread %18.5612.5029.8315.9319.88
Gamma HHI0.200.140.330.280.14
Net GEX391.2K-631.1K1.9M1.9M44.2K
Net DEX12.1M-59.2M54.9M-59.2M35.5M
Net VEX-502.1K-618.9K-382.5K-618.9K-385.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.052.850.290.10
Total Volume12,260.3811,42548,93919,1623,808
Total OI584,654.857530,885635,067553,351541,973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$8.83$8.0051.5%14.8%81.4%28.4%59.5%-0.4%3.4%1.9M-59.2M-618.9K0.2915.93N/AN/A14,8514,311352,085201,266
2008-09-03$8.57$8.0053.1%15.2%80.3%30.4%59.3%1.4%1.8%1.7M-47.2M-618.4K0.1512.50N/AN/A32,9704,972353,941201,277
2008-09-04$8.04$8.0057.7%16.5%62.0%35.6%57.9%11.5%-0.1%1.1M-21.5M-617.1K0.2815.18N/AN/A8,3682,370360,478205,418
2008-09-05$7.99$9.0058.0%17.0%58.6%36.0%61.4%1.8%9.3%1.1M-19.6M-594.9K0.8912.86N/AN/A25,89023,049362,888205,455
2008-09-08$7.94$9.0060.2%17.0%41.2%38.7%59.8%7.1%9.1%1.0M-13.9M-609.4K1.9224.07N/AN/A3,2076,159384,141228,119
2008-09-09$7.79$8.0062.3%17.3%41.2%41.4%60.9%6.3%7.4%855.6K-9.8M-602.4K0.2723.74N/AN/A3,560959385,083232,613
2008-09-10$7.27$8.0065.2%16.4%46.8%45.1%57.3%-0.6%13.4%235.5K16.3M-540.0K0.4214.20N/AN/A14,7576,244386,366230,120
2008-09-11$7.14$7.0058.1%16.7%46.9%36.2%58.1%-0.3%12.5%129.8K20.5M-525.5K0.8617.24N/AN/A5,8185,019392,611234,527
2008-09-12$7.19$7.0055.5%15.9%46.2%32.9%56.3%-3.5%12.6%102.9K19.5M-533.4K0.0525.18N/AN/A6,138309395,078237,988
2008-09-15$6.78$7.0059.8%17.1%41.8%38.3%61.5%3.6%10.3%-121.8K35.2M-477.4K0.7517.69N/AN/A1,3551,013398,686236,381
2008-09-16$6.57$7.0061.7%17.7%42.1%40.7%61.7%0.2%8.7%-128.3K40.5M-454.5K0.5320.35N/AN/A1,734919398,975233,524
2008-09-17$5.79$7.0068.7%19.7%57.3%49.4%66.3%3.0%6.6%15.5K54.9M-382.5K0.2517.49N/AN/A6,2561,566399,016231,929
2008-09-18$6.28$7.0067.7%19.4%67.4%48.2%68.3%5.5%7.8%-15.1K48.7M-415.6K0.1429.83N/AN/A5,524795399,460231,897
2008-09-19$7.15$7.0073.5%21.1%85.6%55.4%72.3%3.4%-2.8%-631.1K14.4M-505.3K0.8717.26N/AN/A4,3073,737399,841231,735
2008-09-22$6.50$7.0074.6%21.4%89.1%56.9%73.5%1.3%2.8%84.5K28.2M-438.7K1.8813.01N/AN/A7,56114,239328,225206,905
2008-09-23$6.77$7.0071.8%20.6%91.2%53.3%73.1%3.4%2.1%200.7K21.9M-450.2K0.7818.11N/AN/A2,3481,843331,405201,987
2008-09-24$6.64$7.0067.3%19.3%91.2%47.7%63.8%0.1%7.0%125.7K24.5M-436.4K2.8514.08N/AN/A4,68613,338329,473201,412
2008-09-25$6.94$7.0060.8%17.4%92.7%39.5%61.0%-0.6%9.7%192.1K17.9M-460.0K0.1319.69N/AN/A7,240965333,283208,391
2008-09-26$6.93$7.0062.2%17.8%92.8%41.3%63.1%9.2%8.9%191.0K18.2M-457.2K0.1419.51N/AN/A1,245180333,905207,953
2008-09-29$6.10$7.0093.8%26.9%101.4%80.9%88.5%10.7%-1.7%116.1K28.6M-420.6K1.9421.97N/AN/A1,3132,545333,906208,036
2008-09-30$6.10$7.0085.7%24.6%101.0%70.7%107.7%-1.7%1.4%44.2K35.5M-385.4K0.1019.88N/AN/A3,468340334,140207,833