S Options History — February 2009

In February 2009, S traded between $2.18 and $3.59. ATM implied volatility averaged 95.7%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded below realized volatility by 3.3% (HV 20d: 99.0%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-02-25: Highest Volume — 20,092 contracts
  • 2009-02-05: Largest IV spike — 77.7% change
  • 2009-02-05: Highest IV Rank — 42.1%
  • 2009-02-05: Largest Expected Move — 33.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.82$2.18$3.59$2.41$3.29
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV95.7%65.6%116.5%107.8%91.8%
Expected Move28.8%18.8%33.4%30.9%26.3%
HV 20d99.0%84.3%113.0%91.8%111.1%
HV 60d154.6%116.9%176.2%176.2%116.9%
IV Rank29.6%11.5%42.1%36.9%27.3%
IV Percentile65.0%38.1%76.6%74.2%61.1%
Term Structure-3.3%-25.4%7.7%-7.8%-7.0%
VWIV101.4%86.0%115.0%109.7%86.3%
Skew 25d1.7%-101.1%70.5%-4.0%3.6%
Skew 10d13.8%-101.1%70.5%-4.0%25.1%
Call IV 25d93.1%57.6%134.7%109.8%89.4%
Put IV 25d94.7%15.0%132.5%105.8%92.9%
Bid-Ask Spread %19.824.8034.085.1119.05
Gamma HHI0.340.280.390.390.30
Net GEX75.0K41.7K125.0K48.8K101.3K
Net DEX-3.4M-8.6M757.0K-750.0K-6.6M
Net VEX-113.3K-152.5K-83.1K-93.0K-144.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.016.450.060.93
Total Volume3,800.05312920,092396501
Total OI171,287.105138,154188,190171,845167,774

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$2.41$3.00107.8%30.9%91.8%36.9%109.7%-4.0%-7.8%48.8K-750.0K-93.0K0.065.11N/AN/A37521130,22641,619
2009-02-03$2.53$3.0097.4%27.9%88.9%30.7%96.2%-2.4%5.0%69.9K-1.4M-102.9K5.035.16N/AN/A3992,006130,31641,622
2009-02-04$2.40$3.0065.6%18.8%86.0%11.5%115.0%-101.1%-10.6%47.8K-699.9K-94.3K0.164.80N/AN/A762123130,48043,621
2009-02-05$2.32$3.00116.5%33.4%86.4%42.1%0.0%-36.5%-25.4%45.0K-39.2K-91.7K0.027.51N/AN/A3,17150130,89343,735
2009-02-06$2.47$0.0086.4%28.3%84.3%24.0%99.2%-26.4%6.1%49.7K34.7K-95.0K0.1425.08N/AN/A765110132,75043,764
2009-02-09$2.45$3.0066.8%31.2%84.3%12.2%108.3%18.3%0.4%48.9K-542.5K-95.1K0.0418.13N/AN/A1,77477133,37943,869
2009-02-10$2.18$3.0090.5%26.6%91.8%26.5%109.4%3.6%-11.1%41.7K757.0K-83.1K0.0434.08N/AN/A67527134,61043,888
2009-02-11$2.35$3.0082.7%32.8%96.1%21.8%114.5%21.6%-12.3%46.7K143.9K-91.6K0.1524.38N/AN/A11217134,73843,892
2009-02-12$2.50$3.00100.9%28.9%93.1%32.7%101.3%70.5%-1.2%51.0K-364.1K-98.4K0.0127.58N/AN/A4786134,75643,880
2009-02-13$2.82$3.00104.2%29.9%101.7%34.7%98.2%-1.4%-2.3%125.0K-2.4M-111.0K0.1018.41N/AN/A2,543259135,01043,845
2009-02-17$2.76$3.00114.5%32.8%101.0%40.9%114.5%13.6%-2.2%112.1K-3.1M-108.2K0.8117.17N/AN/A683550136,46643,896
2009-02-18$2.71$3.00102.2%29.3%97.1%33.6%102.3%11.5%5.4%60.9K-1.3M-105.5K0.1826.99N/AN/A3,610665136,60843,863
2009-02-19$3.25$3.00105.9%30.4%111.6%35.8%102.9%11.7%1.4%84.8K-7.9M-128.3K0.2320.20N/AN/A11,6242,689138,99543,861
2009-02-20$3.22$3.00102.0%29.2%110.8%33.4%102.0%15.3%7.7%90.9K-8.3M-132.0K0.1721.30N/AN/A2,387402142,86745,323
2009-02-23$3.31$3.00105.9%30.4%110.7%35.8%104.5%4.5%0.1%96.5K-6.8M-134.7K0.8822.99N/AN/A91279899,07739,077
2009-02-24$3.58$3.0089.7%25.7%113.0%26.0%86.2%11.4%-5.1%106.7K-8.6M-143.7K6.4531.23N/AN/A1,58910,25399,50739,762
2009-02-25$3.59$3.0090.4%25.9%112.3%26.4%88.2%11.6%-0.3%78.6K-8.1M-147.0K0.6227.54N/AN/A12,4317,661100,20349,021
2009-02-26$3.48$3.0097.8%28.0%110.0%30.9%86.0%6.1%-3.9%118.3K-8.2M-152.5K0.1119.86N/AN/A1,534162110,78156,481
2009-02-27$3.29$3.0091.8%26.3%111.1%27.3%86.3%3.6%-7.0%101.3K-6.6M-144.3K0.9319.05N/AN/A260241111,24456,530