S Options History — April 2009

In April 2009, S traded between $3.87 and $4.41. ATM implied volatility averaged 93.8%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 27.9%. IV traded above realized volatility by 3.3% (HV 20d: 90.6%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2009-04-01: Highest Volume — 69,831 contracts
  • 2009-04-03: Largest IV spike — 29.6% change
  • 2009-04-13: Highest IV Rank — 35.9%
  • 2009-04-07: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.18$3.87$4.41$3.97$4.36
Max Pain$3.38$3.00$4.00$4.00$4.00
ATM IV93.8%74.5%106.1%83.8%96.5%
Expected Move27.9%21.4%30.9%24.0%27.7%
HV 20d90.6%63.5%113.1%113.1%63.5%
HV 60d99.8%96.6%102.8%102.8%96.6%
IV Rank28.5%16.9%35.9%22.4%30.1%
IV Percentile59.6%40.9%73.0%51.2%60.7%
Term Structure-0.5%-10.0%25.4%9.2%-5.2%
VWIV97.5%71.1%111.7%84.3%96.2%
Skew 25d3.9%-17.6%41.9%41.9%-5.2%
Skew 10d20.2%-14.1%64.8%64.8%2.7%
Call IV 25d92.8%58.4%101.4%58.4%101.4%
Put IV 25d96.7%75.9%114.9%100.2%96.2%
Bid-Ask Spread %12.337.8117.6711.3911.07
Gamma HHI0.330.230.610.290.25
Net GEX411.9K129.6K1.0M129.6K331.3K
Net DEX-23.8M-33.2M-11.3M-11.3M-25.1M
Net VEX-223.2K-246.4K-178.5K-178.5K-225.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.053.440.470.67
Total Volume12,870.6193,05169,83169,83115,424
Total OI267,993.286218,034291,404218,034261,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$3.97$4.0083.8%24.0%113.1%22.4%84.3%41.9%9.2%129.6K-11.3M-178.5K0.4711.39N/AN/A47,61222,219128,67689,358
2009-04-02$4.28$4.0074.5%21.4%110.5%16.9%71.1%5.2%25.4%288.1K-28.0M-239.8K0.0712.83N/AN/A30,3092,059171,455110,318
2009-04-03$4.19$4.0096.6%30.7%111.0%30.2%105.9%20.4%-10.0%350.2K-23.7M-240.7K1.4415.19N/AN/A11,96917,239179,897111,138
2009-04-06$4.41$4.0088.4%30.8%111.6%25.3%108.1%18.5%-8.6%467.6K-33.2M-246.4K1.8413.42N/AN/A3,6626,750187,215104,189
2009-04-07$4.35$3.0083.1%30.9%104.3%22.0%102.4%15.9%-7.3%384.8K-30.7M-244.8K0.0511.42N/AN/A8,429460181,064101,930
2009-04-08$4.19$3.0082.3%29.0%105.6%21.5%109.4%10.6%1.6%443.5K-27.0M-231.0K3.4417.20N/AN/A5,49018,869179,199102,125
2009-04-09$4.29$3.00102.6%29.4%102.2%33.8%98.6%15.5%-1.3%537.4K-30.2M-235.4K0.4617.67N/AN/A2,092959182,391100,529
2009-04-13$4.19$3.00106.1%30.4%99.0%35.9%108.3%17.1%-1.4%566.9K-27.8M-228.1K0.6210.13N/AN/A4,2192,608182,888100,802
2009-04-14$4.03$3.00103.1%29.6%83.7%34.1%111.7%9.8%-2.5%624.0K-22.5M-221.5K1.6611.96N/AN/A2,2903,793184,725102,362
2009-04-15$4.23$3.00103.0%29.5%85.0%34.0%102.2%12.0%-3.2%556.6K-28.9M-230.8K0.6314.48N/AN/A3,3952,142186,331104,901
2009-04-16$4.13$3.0096.3%27.6%85.0%30.0%95.0%15.0%-1.5%819.0K-29.1M-220.2K0.348.32N/AN/A4,3341,466185,564103,577
2009-04-17$4.11$3.0092.9%26.6%85.1%28.0%100.3%4.4%5.3%1.0M-27.9M-219.5K1.208.58N/AN/A5,7156,834187,004103,472
2009-04-20$3.87$3.00101.2%29.0%80.6%33.0%99.1%2.3%-6.3%179.8K-13.8M-203.2K0.2815.05N/AN/A6,2821,747155,71888,035
2009-04-21$4.25$3.0096.8%27.7%83.5%30.3%93.4%-10.8%0.1%245.9K-20.7M-220.8K0.417.81N/AN/A2,375970159,33987,831
2009-04-22$4.15$3.0097.6%28.0%84.1%30.8%92.6%-16.3%-1.8%244.0K-19.8M-217.7K0.138.56N/AN/A2,779370159,44984,551
2009-04-23$4.19$3.0092.8%26.6%84.2%27.9%92.3%-11.3%1.1%266.2K-19.3M-217.0K0.6910.59N/AN/A2,7621,909161,13884,136
2009-04-24$4.18$3.0089.4%25.6%82.2%25.9%90.4%-17.6%3.4%267.4K-19.1M-216.7K0.1412.37N/AN/A5,505786162,57285,103
2009-04-27$4.09$4.0094.0%26.9%82.6%28.6%93.2%-14.4%-2.7%290.6K-19.6M-216.1K0.2915.87N/AN/A2,952850169,22585,407
2009-04-28$4.16$4.0098.3%28.2%72.7%31.2%100.1%-15.5%-3.7%304.5K-20.6M-217.8K0.2111.70N/AN/A3,636762170,91085,452
2009-04-29$4.24$4.0091.6%26.3%72.7%27.2%93.0%-15.8%-0.9%321.8K-21.5M-216.8K1.4413.32N/AN/A2,5653,695170,66085,829
2009-04-30$4.36$4.0096.5%27.7%63.5%30.1%96.2%-5.2%-5.2%331.3K-25.1M-225.1K0.6711.07N/AN/A9,2296,195172,65288,742