S Options History — January 2009

In January 2009, S traded between $1.95 and $2.68. ATM implied volatility averaged 97.8%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 28.7%. IV traded below realized volatility by 10.6% (HV 20d: 108.4%). Max pain ranged from $3.00 to $6.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2009-01-28: Highest Volume — 25,110 contracts
  • 2009-01-15: Largest IV spike — 69.0% change
  • 2009-01-05: Highest IV Rank — 50.6%
  • 2009-01-05: Largest Expected Move — 38.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.37$1.95$2.68$1.95$2.43
Max Pain$4.75$3.00$6.00$6.00$3.00
ATM IV97.8%66.1%124.9%80.9%100.6%
Expected Move28.7%21.4%38.0%23.2%28.8%
HV 20d108.4%89.2%127.2%118.5%93.3%
HV 60d189.6%176.5%198.5%198.1%176.5%
IV Rank32.5%15.0%50.6%25.8%32.6%
IV Percentile69.2%44.0%80.2%65.1%72.6%
Term Structure12.1%-19.7%31.8%31.8%5.4%
VWIV105.1%86.1%133.1%133.1%99.8%
Skew 25d-6.5%-67.5%44.1%-5.1%-2.4%
Skew 10d7.9%-42.2%55.8%-5.1%13.6%
Call IV 25d100.5%72.4%120.8%83.4%101.8%
Put IV 25d93.9%37.8%132.3%78.3%99.4%
Bid-Ask Spread %7.272.0315.242.034.81
Gamma HHI0.330.190.600.220.30
Net GEX5.5K-86.7K69.7K18.7K62.3K
Net DEX8.6M-1.9M18.0M16.8M-1.7M
Net VEX-83.0K-104.8K-65.3K-65.3K-100.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.050.172.05
Total Volume2,795.8534525,1101,458345
Total OI297,855.55146,719417,763414,270171,680

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$1.95$6.0080.9%23.2%118.5%25.8%0.0%-5.1%31.8%18.7K16.8M-65.3K0.172.03N/AN/A1,247211294,623119,647
2009-01-05$2.12$5.00124.9%38.0%123.2%50.6%133.1%24.6%-19.7%-19.5K15.0M-76.0K0.376.33N/AN/A1,949722295,192117,614
2009-01-06$2.32$5.00113.8%32.6%127.1%44.4%113.6%-0.3%2.0%-32.0K15.1M-81.8K0.086.16N/AN/A2,512206296,391118,181
2009-01-07$2.38$5.00124.5%32.8%126.0%49.6%110.9%-0.8%4.4%-28.6K15.4M-86.4K0.258.28N/AN/A605150297,704118,233
2009-01-08$2.58$5.00107.0%33.4%127.2%39.5%116.7%44.1%5.0%-41.6K14.3M-89.8K0.166.93N/AN/A1,751280298,001118,283
2009-01-09$2.59$5.0097.9%31.7%125.9%34.3%111.7%-4.3%14.9%-86.7K9.6M-89.2K0.2815.24N/AN/A3,001836298,585118,284
2009-01-12$2.45$5.0092.6%33.7%114.3%30.6%114.9%-2.1%6.5%-80.3K14.9M-87.7K0.038.40N/AN/A2,88597298,667118,553
2009-01-13$2.48$5.00118.4%31.7%111.5%45.5%110.5%24.5%12.1%-65.5K14.8M-88.4K0.117.98N/AN/A80992299,155118,608
2009-01-14$2.27$5.0066.1%21.4%113.0%15.0%111.3%-67.5%13.8%25.4K17.6M-78.2K0.108.11N/AN/A75378299,409116,807
2009-01-15$2.29$5.00111.7%32.0%109.7%41.4%112.8%3.7%8.4%25.3K18.0M-78.4K1.919.88N/AN/A436833299,652116,851
2009-01-16$2.21$5.0085.5%24.5%107.3%25.1%86.1%-34.3%22.3%23.5K17.8M-72.7K1.737.07N/AN/A147255299,945116,257
2009-01-20$2.06$5.00101.0%29.0%110.3%32.8%0.0%-39.3%4.8%20.9K1.7M-67.8K0.194.19N/AN/A944181103,90442,815
2009-01-21$2.24$5.0096.9%27.8%111.1%30.4%0.0%-31.8%14.2%24.2K1.7M-71.9K0.077.55N/AN/A68550104,56542,790
2009-01-22$2.38$5.0080.0%22.9%92.7%20.2%95.3%-30.6%24.5%29.6K925.2K-80.5K0.005.55N/AN/A9184104,81042,801
2009-01-23$2.46$5.00104.8%30.1%92.6%35.1%105.2%8.9%14.0%33.4K773.4K-82.4K0.198.09N/AN/A2,840550105,47342,802
2009-01-26$2.49$5.0086.7%24.9%89.6%24.2%87.7%-2.0%25.9%40.9K854.2K-83.3K0.005.30N/AN/A1,2193107,53743,203
2009-01-27$2.44$5.0078.3%22.5%89.2%19.2%92.4%-28.6%21.5%40.5K894.0K-82.1K0.087.57N/AN/A62051107,93943,196
2009-01-28$2.68$3.0097.7%28.0%93.0%30.8%97.6%14.5%9.0%49.3K-612.2K-92.9K0.0310.16N/AN/A24,328782107,93040,620
2009-01-29$2.57$3.0085.9%24.6%92.1%23.7%86.4%-1.7%20.3%69.7K-1.9M-104.8K0.185.87N/AN/A2,146396129,31341,091
2009-01-30$2.43$3.00100.6%28.8%93.3%32.6%99.8%-2.4%5.4%62.3K-1.7M-100.7K2.054.81N/AN/A113232130,21341,467