S Options History — November 2008

In November 2008, S traded between $1.37 and $4.15. ATM implied volatility averaged 161.3%, placing in the 80.4% IV rank vs the trailing year. The 30-day expected move averaged 47.6%. IV traded below realized volatility by 47.5% (HV 20d: 208.8%). Max pain ranged from $3.00 to $7.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.17.

Notable Days

  • 2008-11-12: Highest Volume — 28,744 contracts
  • 2008-11-13: Largest IV spike — 67.0% change
  • 2008-11-13: Highest IV Rank — 100.0%
  • 2008-11-12: Largest Expected Move — 62.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.65$1.37$4.15$4.00$2.79
Max Pain$4.00$3.00$7.00$7.00$3.00
ATM IV161.3%113.5%212.6%120.6%156.9%
Expected Move47.6%32.5%62.1%34.6%45.0%
HV 20d208.8%170.7%258.0%188.6%256.1%
HV 60d149.8%126.5%182.3%126.5%182.3%
IV Rank80.4%61.2%100.0%66.9%68.9%
IV Percentile96.3%92.1%100.0%93.7%95.6%
Term Structure-3.1%-32.0%25.1%-1.6%-0.1%
VWIV157.6%110.8%216.1%123.5%156.8%
Skew 25d1.1%-87.0%20.9%-3.2%20.9%
Skew 10d24.1%-87.0%109.4%2.0%69.9%
Call IV 25d164.6%105.0%223.1%132.3%134.4%
Put IV 25d165.6%117.4%216.5%129.1%155.3%
Bid-Ask Spread %13.775.0724.2914.4412.26
Gamma HHI0.290.190.430.410.25
Net GEX-59.5K-192.5K-2.1K-192.5K-35.5K
Net DEX32.0M18.2M46.7M43.3M20.9M
Net VEX-110.9K-210.5K-31.9K-192.0K-105.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.037.500.031.34
Total Volume5,466.4741,16528,74412,9221,441
Total OI496,924405,458531,446503,761407,801

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$4.00$7.00120.6%34.6%188.6%66.9%123.5%-3.2%-1.6%-192.5K43.3M-192.0K0.0314.44N/AN/A12,546376302,508201,253
2008-11-04$4.15$7.00113.5%32.5%187.6%61.2%116.1%-1.3%-1.2%-186.5K41.1M-210.5K0.288.55N/AN/A1,269359313,604201,510
2008-11-05$3.71$7.00131.1%37.6%189.0%74.6%131.4%-2.4%-20.7%-148.7K42.8M-177.4K0.9317.00N/AN/A604561313,728201,662
2008-11-06$3.68$7.00132.6%38.0%179.7%75.8%134.2%12.9%-12.6%-153.2K42.9M-173.1K0.4017.62N/AN/A1,308525313,941201,880
2008-11-07$3.37$4.00128.6%33.5%181.5%72.7%110.8%12.4%-11.7%-110.9K46.7M-129.2K0.2224.29N/AN/A2,592570314,361200,495
2008-11-10$3.23$4.00133.1%34.7%170.7%76.1%114.7%14.2%25.1%-83.9K45.3M-125.4K2.1517.18N/AN/A9532,048313,962199,803
2008-11-11$2.53$4.00124.6%42.6%189.3%69.7%144.5%5.5%-2.9%-42.1K38.2M-92.1K1.5612.60N/AN/A4,2756,659314,224199,951
2008-11-12$1.95$3.00123.6%62.1%198.5%68.9%216.1%13.7%-32.0%-18.8K29.4M-77.3K1.3712.25N/AN/A12,11316,631316,881202,488
2008-11-13$2.24$3.00206.4%59.2%206.9%100.0%203.4%13.6%-2.0%-3.5K28.9M-107.4K0.3322.14N/AN/A10,1873,367320,822203,592
2008-11-14$2.30$3.00196.9%56.4%206.1%94.5%192.6%15.9%-12.8%-14.8K31.5M-100.0K0.5216.93N/AN/A1,754913325,733203,513
2008-11-17$2.18$3.00197.4%56.6%197.2%94.8%197.4%-0.0%-8.9%-15.6K30.7M-87.5K0.3911.81N/AN/A998389326,154199,157
2008-11-18$2.15$3.00194.1%55.7%193.9%92.9%194.1%-0.0%-1.9%-23.6K31.9M-83.0K0.8011.48N/AN/A1,076866326,525203,707
2008-11-19$1.88$3.00201.4%57.7%196.1%97.1%0.0%-1.3%1.5%-13.9K27.7M-75.7K7.509.41N/AN/A3192,394326,598203,518
2008-11-20$1.37$3.00179.6%51.5%220.1%84.5%0.0%-87.0%1.5%-2.1K25.0M-31.9K0.745.07N/AN/A1,014753326,747204,699
2008-11-21$1.71$3.00212.6%61.0%238.8%100.0%0.0%3.6%7.7%-7.4K24.6M-72.0K0.4511.35N/AN/A2,8791,307327,043204,366
2008-11-24$2.20$3.00183.4%52.6%258.0%83.7%0.0%-0.2%-0.4%-17.2K18.2M-84.5K0.549.76N/AN/A2,2421,214262,996142,462
2008-11-25$2.33$3.00164.5%47.2%253.5%73.2%164.5%-2.8%19.4%-25.3K18.9M-89.4K0.6814.33N/AN/A1,5231,040263,928142,758
2008-11-26$2.50$3.00163.9%47.0%255.1%72.8%163.8%6.3%-5.1%-34.4K20.6M-92.1K2.0413.16N/AN/A1,5803,218263,979143,207
2008-11-28$2.79$3.00156.9%45.0%256.1%68.9%156.8%20.9%-0.1%-35.5K20.9M-105.9K1.3412.26N/AN/A617824264,204143,597