S Options History — October 2008 In October 2008, S traded between $2.92 and $6.54. ATM implied volatility averaged 129.0%, placing in the 81.8% IV rank vs the trailing year. The 30-day expected move averaged 36.3%. IV traded below realized volatility by 7.9% (HV 20d: 136.8%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.14.
Notable Days 2008-10-09 : Highest Volume — 36,834 contracts2008-10-16 : Largest IV spike — 59.6% change2008-10-06 : Highest IV Rank — 100.0%2008-10-31 : Largest Expected Move — 44.2%Monthly Statistics Metric Avg Min Max Open Close Price $3.99 $2.92 $6.54 $6.54 $3.13 Max Pain $7.39 $7.00 $8.00 $7.00 $7.00 ATM IV 129.0% 78.0% 164.3% 78.0% 154.1% Expected Move 36.3% 22.4% 44.2% 22.4% 44.2% HV 20d 136.8% 105.6% 162.8% 105.6% 162.8% HV 60d 101.7% 81.5% 118.8% 81.5% 117.5% IV Rank 81.8% 44.4% 100.0% 61.1% 92.3% IV Percentile 97.5% 88.1% 100.0% 88.1% 99.6% Term Structure -13.3% -67.4% 5.0% 5.0% -67.4% VWIV 120.4% 77.6% 152.2% 77.6% 124.8% Skew 25d 3.8% -69.0% 42.0% -2.2% -69.0% Skew 10d 15.8% -83.9% 86.7% -8.5% -83.9% Call IV 25d 123.6% 78.5% 159.3% 78.5% 159.3% Put IV 25d 127.3% 76.4% 165.2% 76.4% 90.4% Bid-Ask Spread % 17.66 10.41 38.35 12.25 16.50 Gamma HHI 0.31 0.13 0.44 0.14 0.35 Net GEX -86.5K -184.0K 109.9K 109.9K -104.4K Net DEX 45.6M 27.0M 57.3M 27.0M 38.1M Net VEX -216.5K -422.8K -123.7K -422.8K -150.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.14 0.12 19.01 1.42 0.65 Total Volume 8,675.174 659 36,834 2,606 1,507 Total OI 543,402.043 499,999 599,505 544,305 503,803
Daily Data (23 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 2008-10-01 $6.54 $7.00 78.0% 22.4% 105.6% 61.1% 77.6% -2.2% 5.0% 109.9K 27.0M -422.8K 1.42 12.25 N/A N/A 1,075 1,531 336,500 207,805 2008-10-02 $6.03 $7.00 99.5% 28.5% 106.9% 88.1% 99.4% 6.6% -9.9% 52.2K 35.7M -386.1K 0.27 16.99 N/A N/A 1,496 397 335,020 207,933 2008-10-03 $5.70 $7.00 94.8% 27.2% 107.8% 82.2% 98.5% 6.1% -24.8% -60.1K 47.4M -325.1K 0.35 20.52 N/A N/A 12,197 4,299 336,059 207,962 2008-10-06 $5.28 $8.00 122.2% 26.9% 109.8% 100.0% 88.9% 11.5% -7.1% 3.0K 45.2M -315.5K 0.78 21.83 N/A N/A 9,952 7,796 344,481 209,988 2008-10-07 $4.86 $8.00 109.1% 30.5% 112.0% 85.9% 103.9% 10.3% -5.1% 6.9K 48.3M -298.0K 0.30 38.35 N/A N/A 13,928 4,208 352,273 215,223 2008-10-08 $4.44 $8.00 143.3% 35.9% 113.4% 100.0% 115.8% 18.2% -3.6% 2.2K 44.1M -273.2K 1.55 28.47 N/A N/A 2,006 3,104 351,700 211,485 2008-10-09 $3.76 $8.00 145.5% 35.1% 123.9% 100.0% 118.6% 19.0% 1.8% -20.6K 43.0M -222.9K 19.01 24.93 N/A N/A 1,841 34,993 350,135 212,201 2008-10-10 $3.57 $8.00 153.8% 41.8% 123.2% 100.0% 122.7% 42.0% -20.4% -106.5K 51.1M -221.5K 4.88 20.47 N/A N/A 2,264 11,052 350,745 243,993 2008-10-13 $4.21 $8.00 164.3% 39.3% 141.7% 100.0% 128.0% 28.1% -17.0% -148.4K 56.8M -258.7K 1.40 20.83 N/A N/A 3,428 4,808 351,207 246,915 2008-10-14 $4.04 $8.00 133.5% 37.2% 141.8% 76.8% 118.9% 11.7% -17.9% -150.7K 57.2M -237.8K 0.55 12.89 N/A N/A 8,606 4,731 352,505 247,000 2008-10-15 $3.33 $8.00 90.3% 42.3% 150.0% 44.4% 111.5% 4.5% -29.4% -116.4K 53.4M -181.1K 0.82 21.04 N/A N/A 8,452 6,898 354,203 244,412 2008-10-16 $3.33 $8.00 144.1% 41.3% 144.8% 84.8% 135.8% 10.9% -33.5% -140.7K 57.3M -154.4K 2.18 15.73 N/A N/A 2,527 5,517 353,417 244,176 2008-10-17 $3.06 $7.00 135.9% 39.0% 132.6% 78.6% 137.2% 0.5% -0.3% -111.0K 51.3M -146.6K 0.69 12.54 N/A N/A 2,962 2,045 350,771 237,821 2008-10-20 $3.55 $7.00 119.8% 34.4% 147.1% 66.5% 122.1% -9.1% -4.6% -150.3K 45.1M -170.9K 0.43 11.77 N/A N/A 2,741 1,187 301,425 206,111 2008-10-21 $3.82 $7.00 119.3% 34.2% 149.7% 66.1% 118.0% 11.9% -7.4% -184.0K 46.4M -179.7K 0.18 16.30 N/A N/A 1,943 357 301,668 204,159 2008-10-22 $3.47 $7.00 128.5% 36.8% 151.5% 73.0% 127.0% -8.3% -3.6% -127.6K 41.4M -170.8K 0.74 17.34 N/A N/A 856 633 302,127 200,250 2008-10-23 $3.48 $7.00 141.1% 40.4% 149.4% 82.5% 138.3% 14.0% -11.3% -136.2K 44.3M -154.8K 0.12 11.51 N/A N/A 7,831 909 302,481 199,562 2008-10-24 $3.16 $7.00 140.2% 40.2% 150.4% 81.9% 140.0% -11.1% -10.3% -105.8K 41.1M -144.0K 2.59 12.14 N/A N/A 441 1,143 301,012 198,987 2008-10-27 $2.92 $7.00 143.3% 41.1% 147.6% 84.2% 152.2% -11.6% -9.4% -91.3K 40.3M -123.7K 9.52 10.88 N/A N/A 1,355 12,894 301,124 199,958 2008-10-28 $3.34 $7.00 138.1% 39.6% 159.3% 80.3% 138.4% -5.1% -12.5% -128.3K 46.0M -142.9K 0.41 20.60 N/A N/A 801 326 302,131 205,428 2008-10-29 $3.18 $7.00 132.8% 38.1% 155.0% 76.3% 135.7% -5.8% -8.7% -120.9K 43.0M -144.1K 0.25 10.41 N/A N/A 528 131 302,127 205,426 2008-10-30 $3.49 $7.00 134.3% 38.5% 160.5% 77.4% 116.8% 13.6% -9.2% -160.5K 44.8M -152.7K 0.13 11.94 N/A N/A 1,617 216 302,461 202,077 2008-10-31 $3.13 $7.00 154.1% 44.2% 162.8% 92.3% 124.8% -69.0% -67.4% -104.4K 38.1M -150.9K 0.65 16.50 N/A N/A 915 592 302,160 201,643
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