S Options History — March 2009 In March 2009, S traded between $3.04 and $4.14. ATM implied volatility averaged 92.1%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded below realized volatility by 16.5% (HV 20d: 108.7%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.44.
Notable Days 2009-03-13 : Highest Volume — 37,529 contracts2009-03-26 : Largest IV spike — 14.3% change2009-03-05 : Highest IV Rank — 34.0%2009-03-09 : Largest Expected Move — 31.0%Monthly Statistics Metric Avg Min Max Open Close Price $3.56 $3.04 $4.14 $3.14 $3.57 Max Pain $3.45 $3.00 $4.00 $3.00 $4.00 ATM IV 92.1% 74.0% 103.0% 99.9% 86.0% Expected Move 26.7% 21.2% 31.0% 28.6% 24.7% HV 20d 108.7% 98.6% 117.4% 110.3% 107.2% HV 60d 105.0% 100.4% 109.5% 107.6% 102.0% IV Rank 27.5% 16.6% 34.0% 32.1% 23.8% IV Percentile 60.0% 41.3% 70.6% 68.7% 53.2% Term Structure 12.3% 5.0% 31.9% 14.5% 14.3% VWIV 96.0% 76.6% 112.1% 100.4% 88.2% Skew 25d 13.1% 3.3% 30.3% 8.1% 8.9% Skew 10d 30.4% -3.3% 52.4% 42.7% 26.6% Call IV 25d 92.2% 61.2% 106.7% 105.6% 82.8% Put IV 25d 105.3% 87.2% 116.4% 113.7% 91.7% Bid-Ask Spread % 17.11 9.59 30.83 19.19 16.22 Gamma HHI 0.31 0.26 0.44 0.29 0.28 Net GEX 85.1K -10.6K 274.7K 86.3K 74.0K Net DEX -7.1M -16.6M -2.3M -4.6M -3.9M Net VEX -156.0K -177.7K -131.3K -134.7K -165.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.44 0.06 10.17 0.78 0.59 Total Volume 8,536.5 828 37,529 2,753 1,204 Total OI 192,276.682 168,001 217,839 168,001 217,839
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 2009-03-02 $3.14 $3.00 99.9% 28.6% 110.3% 32.1% 100.4% 8.1% 14.5% 86.3K -4.6M -134.7K 0.78 19.19 N/A N/A 1,545 1,208 111,328 56,673 2009-03-03 $3.28 $3.00 93.5% 26.8% 110.6% 28.3% 90.2% 15.2% 13.5% 99.6K -5.8M -143.7K 4.93 17.78 N/A N/A 2,722 13,424 112,041 57,134 2009-03-04 $3.32 $3.00 92.5% 26.5% 109.9% 27.7% 105.2% 18.8% 31.9% 106.1K -7.0M -148.9K 1.02 25.65 N/A N/A 1,055 1,079 114,757 58,936 2009-03-05 $3.07 $3.00 103.0% 29.5% 112.3% 34.0% 112.1% 3.7% 8.5% 65.5K -4.2M -135.2K 0.63 17.25 N/A N/A 4,273 2,673 113,963 59,454 2009-03-06 $3.04 $3.00 92.1% 30.5% 111.3% 27.4% 104.7% 10.6% 6.6% 30.8K -2.3M -131.3K 10.17 14.29 N/A N/A 1,242 12,632 112,221 61,716 2009-03-09 $3.12 $3.00 93.3% 31.0% 109.9% 28.2% 108.0% 11.5% 10.5% -10.6K -3.0M -137.5K 0.44 12.54 N/A N/A 574 254 112,214 69,883 2009-03-10 $3.54 $3.00 101.2% 26.9% 116.8% 32.9% 100.3% 30.3% 12.6% 40.8K -6.3M -152.5K 0.81 14.57 N/A N/A 1,202 975 112,055 69,944 2009-03-11 $3.53 $3.00 95.7% 27.7% 105.8% 29.6% 97.5% 13.8% 9.3% 73.2K -7.8M -156.6K 0.43 9.59 N/A N/A 2,542 1,087 112,281 70,511 2009-03-12 $3.83 $3.00 94.7% 27.1% 106.2% 29.0% 96.8% 14.3% 11.5% 137.3K -10.7M -162.7K 0.07 14.89 N/A N/A 10,066 667 112,562 71,460 2009-03-13 $4.14 $3.00 100.5% 28.8% 107.1% 32.5% 107.0% 18.4% 5.0% 241.1K -16.6M -173.7K 0.40 15.38 N/A N/A 26,723 10,806 118,528 71,576 2009-03-16 $3.57 $3.00 100.9% 28.9% 117.4% 32.8% 105.3% 18.6% 7.4% 50.1K -7.4M -156.7K 0.18 11.55 N/A N/A 10,841 1,907 135,226 79,050 2009-03-17 $3.62 $4.00 93.7% 26.9% 116.7% 28.4% 103.2% 16.1% 9.9% 50.5K -6.9M -154.6K 1.04 20.02 N/A N/A 1,164 1,207 127,510 79,978 2009-03-18 $3.75 $4.00 92.1% 26.4% 116.3% 27.5% 95.9% 11.6% 11.3% 208.1K -10.0M -162.2K 1.09 30.83 N/A N/A 1,343 1,467 127,365 79,635 2009-03-19 $3.79 $3.00 93.9% 26.9% 98.6% 28.6% 95.4% 14.6% 8.2% 274.7K -9.6M -161.4K 3.79 27.88 N/A N/A 1,464 5,554 127,698 80,110 2009-03-20 $3.45 $4.00 101.1% 29.0% 104.9% 32.9% 97.2% 5.6% 20.8% 32.3K -5.7M -151.4K 1.03 11.96 N/A N/A 2,240 2,299 128,503 85,157 2009-03-23 $3.70 $4.00 87.0% 24.9% 107.2% 24.4% 88.5% 8.8% 12.2% 39.5K -7.1M -161.1K 1.27 14.48 N/A N/A 3,741 4,738 107,838 73,511 2009-03-24 $3.68 $4.00 81.9% 23.5% 103.7% 21.3% 84.5% 3.3% 7.0% 30.7K -6.4M -161.9K 1.44 27.74 N/A N/A 4,382 6,308 110,397 77,313 2009-03-25 $3.70 $4.00 74.0% 21.2% 103.7% 16.6% 76.6% 26.0% 17.2% 17.1K -5.6M -165.3K 0.35 14.17 N/A N/A 1,168 410 112,368 82,189 2009-03-26 $3.91 $4.00 84.6% 24.3% 104.7% 23.0% 83.4% 8.4% 13.2% 29.5K -8.6M -172.9K 0.06 12.27 N/A N/A 18,892 1,091 112,622 82,484 2009-03-27 $3.96 $4.00 83.4% 23.9% 102.1% 22.2% 83.6% 6.2% 11.2% 129.6K -12.3M -177.7K 0.68 9.95 N/A N/A 9,884 6,729 124,637 82,700 2009-03-30 $3.57 $4.00 82.2% 23.6% 108.1% 21.5% 87.7% 15.8% 14.3% 67.0K -4.0M -164.2K 0.52 18.29 N/A N/A 1,991 1,030 128,150 88,570 2009-03-31 $3.57 $4.00 86.0% 24.7% 107.2% 23.8% 88.2% 8.9% 14.3% 74.0K -3.9M -165.4K 0.59 16.22 N/A N/A 757 447 128,586 89,253
« Feb 2009 | All History | Apr 2009 » Home S History March 2009