S Options History — December 2008 In December 2008, S traded between $1.58 and $2.73. ATM implied volatility averaged 152.3%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 44.1%. IV traded below realized volatility by 72.1% (HV 20d: 224.4%). Max pain ranged from $3.00 to $7.50. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.42.
Notable Days 2008-12-22 : Highest Volume — 22,145 contracts2008-12-29 : Largest IV spike — 56.3% change2008-12-01 : Highest IV Rank — 98.3%2008-12-01 : Largest Expected Move — 60.1%Monthly Statistics Metric Avg Min Max Open Close Price $2.07 $1.58 $2.73 $2.11 $1.83 Max Pain $6.61 $3.00 $7.50 $3.00 $6.00 ATM IV 152.3% 69.9% 209.5% 209.5% 69.9% Expected Move 44.1% 20.0% 60.1% 60.1% 20.0% HV 20d 224.4% 115.0% 271.4% 271.4% 115.0% HV 60d 196.7% 190.0% 198.3% 190.0% 197.9% IV Rank 66.1% 19.7% 98.3% 98.3% 19.7% IV Percentile 89.6% 52.4% 99.6% 99.6% 52.4% Term Structure -5.7% -29.0% 57.9% -13.7% 57.9% VWIV 163.0% 136.2% 175.9% 175.9% 151.0% Skew 25d -3.7% -51.0% 42.9% 1.2% -45.6% Skew 10d 12.1% -51.0% 86.3% 1.2% -45.6% Call IV 25d 155.2% 125.5% 208.9% 208.9% 127.8% Put IV 25d 151.5% 82.2% 210.1% 210.1% 82.2% Bid-Ask Spread % 5.84 2.82 14.90 9.71 4.40 Gamma HHI 0.25 0.16 0.32 0.26 0.23 Net GEX -14.7K -49.8K 17.5K -26.4K 16.6K Net DEX 19.8M 16.0M 23.7M 18.1M 16.5M Net VEX -65.4K -98.1K -37.1K -77.3K -59.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.42 0.01 4.09 0.11 0.05 Total Volume 3,101.364 220 22,145 1,790 2,204 Total OI 414,955.636 407,675 432,444 407,675 419,193
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 2008-12-01 $2.11 $3.00 209.5% 60.1% 271.4% 98.3% 0.0% 1.2% -13.7% -26.4K 18.1M -77.3K 0.11 9.71 N/A N/A 1,607 183 264,216 143,459 2008-12-02 $2.66 $3.00 180.8% 51.8% 269.7% 82.3% 175.9% 12.5% -7.2% -35.0K 20.9M -97.1K 1.15 8.20 N/A N/A 1,561 1,792 264,829 143,491 2008-12-03 $2.57 $3.00 169.0% 48.4% 268.9% 75.7% 173.0% 28.2% 14.2% -33.5K 20.2M -96.3K 0.23 9.80 N/A N/A 1,359 317 265,324 144,474 2008-12-04 $2.50 $3.00 167.9% 48.1% 266.9% 75.1% 165.3% 42.9% 14.0% -31.2K 19.6M -94.6K 0.22 14.90 N/A N/A 716 157 265,550 144,116 2008-12-05 $2.60 $7.50 154.1% 45.9% 267.7% 67.4% 136.2% 9.6% -8.3% -38.3K 21.4M -91.3K 0.94 9.60 N/A N/A 5,518 5,170 265,660 144,066 2008-12-08 $2.73 $7.50 162.2% 49.0% 267.3% 71.9% 155.8% 22.6% -23.9% -43.9K 22.1M -98.1K 0.39 6.32 N/A N/A 911 351 265,639 147,445 2008-12-09 $2.54 $7.50 160.0% 50.0% 268.0% 70.5% 173.0% 26.3% -20.7% -40.3K 21.1M -89.0K 4.09 7.55 N/A N/A 124 507 265,737 147,580 2008-12-10 $2.42 $7.50 155.5% 46.8% 254.1% 68.0% 162.8% 8.5% -13.5% -49.8K 22.1M -80.9K 0.13 5.84 N/A N/A 1,053 139 265,759 147,778 2008-12-11 $2.08 $7.50 159.1% 45.6% 242.1% 70.0% 157.0% -2.5% -8.6% -39.9K 20.7M -65.2K 0.64 4.06 N/A N/A 816 522 266,122 147,817 2008-12-12 $1.96 $7.50 159.2% 45.7% 237.6% 70.1% 160.1% -11.3% -16.5% -38.4K 20.5M -57.0K 0.22 3.57 N/A N/A 1,040 228 266,339 147,014 2008-12-15 $1.82 $7.50 169.2% 48.5% 238.4% 75.6% 169.2% -0.5% -9.5% -2.3K 22.0M -37.3K 0.30 4.81 N/A N/A 1,211 360 266,604 142,214 2008-12-16 $1.98 $7.50 161.5% 46.3% 240.2% 71.3% 161.0% 34.8% -14.1% -30.6K 20.7M -51.6K 0.20 5.17 N/A N/A 806 164 266,759 141,336 2008-12-17 $1.85 $7.50 166.7% 47.8% 241.2% 74.1% 166.8% -0.5% -17.5% -3.7K 21.6M -42.5K 0.15 4.54 N/A N/A 405 61 266,747 141,220 2008-12-18 $1.80 $7.50 175.3% 50.3% 236.7% 79.0% 175.5% -0.7% -25.5% -1.9K 21.7M -37.2K 0.14 4.31 N/A N/A 689 98 266,846 141,221 2008-12-19 $1.94 $7.50 151.9% 43.6% 206.7% 65.8% 151.0% 2.3% -2.1% -2.2K 23.7M -37.1K 0.01 5.30 N/A N/A 11,584 86 266,838 141,184 2008-12-22 $1.65 $7.50 126.3% 36.2% 201.1% 51.4% 0.0% -51.0% -24.4% 3.5K 18.8M -40.8K 0.01 3.36 N/A N/A 21,842 303 271,022 139,506 2008-12-23 $1.65 $7.50 136.1% 39.0% 177.5% 56.9% 0.0% -45.2% -18.9% 13.7K 16.8M -54.9K 0.04 3.70 N/A N/A 1,306 49 292,494 139,485 2008-12-24 $1.58 $7.50 133.0% 38.1% 175.7% 55.2% 0.0% -20.1% 16.2% 13.1K 16.0M -52.5K 0.08 2.82 N/A N/A 204 16 293,241 139,165 2008-12-26 $1.69 $7.50 92.8% 26.6% 175.5% 32.6% 0.0% -46.7% 47.1% 14.5K 17.3M -57.2K 0.02 3.03 N/A N/A 951 20 293,279 139,165 2008-12-29 $1.75 $7.50 145.2% 41.6% 170.1% 62.0% 0.0% -43.0% -29.0% 15.6K 17.5M -57.4K 0.02 4.20 N/A N/A 819 17 293,728 135,769 2008-12-30 $1.91 $7.50 145.5% 41.7% 144.8% 62.2% 0.0% -3.2% -21.9% 17.5K 17.2M -64.9K 0.19 3.29 N/A N/A 813 151 294,004 125,589 2008-12-31 $1.83 $6.00 69.9% 20.0% 115.0% 19.7% 0.0% -45.6% 57.9% 16.6K 16.5M -59.3K 0.05 4.40 N/A N/A 2,090 114 294,580 124,613
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