S Options History — May 2009

In May 2009, S traded between $4.67 and $5.58. ATM implied volatility averaged 73.0%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 7.9% (HV 20d: 65.1%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2009-05-28: Highest Volume — 71,921 contracts
  • 2009-05-14: Largest IV spike — 49.2% change
  • 2009-05-01: Highest IV Rank — 35.7%
  • 2009-05-01: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.21$4.67$5.58$4.67$5.15
Max Pain$4.95$4.00$5.00$4.00$5.00
ATM IV73.0%51.0%105.8%105.8%64.7%
Expected Move22.0%18.5%30.3%30.3%18.5%
HV 20d65.1%58.7%70.2%62.6%64.7%
HV 60d88.6%82.3%96.9%96.5%82.3%
IV Rank16.0%2.7%35.7%35.7%10.9%
IV Percentile32.7%2.4%71.8%71.8%21.8%
Term Structure2.3%-23.7%7.1%-23.7%7.1%
VWIV76.4%65.6%111.9%111.9%65.6%
Skew 25d10.0%-11.5%22.4%8.8%-9.8%
Skew 10d20.4%-14.5%42.0%-6.9%-14.5%
Call IV 25d71.4%59.3%110.3%110.3%64.8%
Put IV 25d81.5%55.0%119.1%119.1%55.0%
Bid-Ask Spread %12.008.4021.0711.368.40
Gamma HHI0.310.260.400.260.34
Net GEX778.6K417.6K1.6M417.6K702.5K
Net DEX-59.1M-74.4M-33.0M-33.0M-54.6M
Net VEX-331.4K-379.8K-249.7K-249.7K-344.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.031.580.640.47
Total Volume22,300.653,81871,92130,4934,879
Total OI361,474.6279,679408,447279,679392,603

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$4.67$4.00105.8%30.3%62.6%35.7%111.9%8.8%-23.7%417.6K-33.0M-249.7K0.6411.36N/AN/A18,58711,906186,25393,426
2009-05-04$5.00$5.0076.1%21.6%65.7%17.8%75.1%8.5%3.4%618.9K-44.2M-258.9K0.3311.03N/AN/A21,4497,079197,601102,115
2009-05-05$5.35$5.0073.9%20.9%67.4%16.5%72.3%12.8%4.0%594.6K-51.6M-267.5K0.1011.40N/AN/A18,3611,871195,136104,525
2009-05-06$5.36$5.0072.6%22.1%66.9%15.7%77.0%11.7%4.6%633.6K-54.9M-276.3K0.1721.07N/AN/A32,6555,569204,055105,653
2009-05-07$5.22$5.0076.8%22.1%65.9%18.2%74.0%12.7%1.8%699.4K-56.6M-311.9K0.8814.65N/AN/A7,4116,556228,800109,466
2009-05-08$5.24$5.0062.8%21.2%65.8%9.8%72.3%11.2%0.6%764.6K-59.6M-321.4K0.1612.05N/AN/A8,0551,250238,107114,270
2009-05-11$5.41$5.0051.0%21.3%65.0%2.7%68.6%12.3%5.1%682.2K-66.3M-316.9K0.0315.74N/AN/A46,4661,586237,842114,680
2009-05-12$5.33$5.0069.2%22.7%63.0%13.7%79.2%14.8%5.6%892.1K-70.5M-350.1K0.5310.38N/AN/A20,61510,881268,238115,846
2009-05-13$4.97$5.0053.7%22.9%68.2%4.4%78.3%16.6%2.4%1.0M-57.4M-347.1K0.3413.61N/AN/A10,2223,482277,913124,883
2009-05-14$5.22$5.0080.1%23.0%68.6%20.3%77.6%22.4%3.6%958.1K-70.7M-356.0K0.4512.39N/AN/A3,5851,620283,416123,955
2009-05-15$5.05$5.0077.4%22.2%70.2%18.6%75.7%11.2%5.4%1.6M-64.4M-347.8K0.3211.73N/AN/A8,2842,610284,418124,029
2009-05-18$5.32$5.0075.8%21.7%66.5%17.7%75.0%20.3%4.9%772.9K-61.7M-355.3K0.5210.52N/AN/A2,5051,313253,48298,672
2009-05-19$5.50$5.0080.3%23.0%60.3%20.4%78.4%11.9%-1.2%801.5K-69.0M-358.9K0.608.79N/AN/A20,58412,372255,22399,670
2009-05-20$5.58$5.0074.2%21.3%58.7%16.7%78.6%17.0%-0.7%842.3K-74.4M-379.8K0.078.40N/AN/A14,245961267,923108,585
2009-05-21$5.27$5.0078.6%22.5%64.0%19.3%77.8%6.0%3.5%763.7K-62.8M-359.4K1.5810.38N/AN/A8,34513,218264,052109,130
2009-05-22$5.16$5.0071.3%20.4%64.9%15.0%70.9%5.5%4.3%722.4K-58.0M-366.0K0.6113.01N/AN/A10,7876,580266,413117,011
2009-05-26$5.20$5.0073.5%21.1%63.8%16.3%73.2%13.3%6.1%693.5K-59.6M-359.0K0.4512.37N/AN/A8,0933,648265,588119,093
2009-05-27$5.07$5.0072.4%20.8%65.1%15.6%75.5%5.3%6.7%686.3K-55.0M-353.3K0.2110.91N/AN/A13,5622,900267,181120,397
2009-05-28$5.14$5.0070.1%20.1%65.0%14.2%70.0%-11.5%2.7%722.4K-56.8M-347.9K0.2811.76N/AN/A56,18815,733267,091122,751
2009-05-29$5.15$5.0064.7%18.5%64.7%10.9%65.6%-9.8%7.1%702.5K-54.6M-344.3K0.478.40N/AN/A3,3261,553265,701126,902