S Options History — June 2009 In June 2009, S traded between $4.56 and $5.44. ATM implied volatility averaged 65.7%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 13.2% (HV 20d: 52.4%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.41.
Notable Days 2009-06-15 : Highest Volume — 72,686 contracts2009-06-15 : Largest IV spike — 17.6% change2009-06-15 : Highest IV Rank — 19.3%2009-06-15 : Largest Expected Move — 22.7%Monthly Statistics Metric Avg Min Max Open Close Price $4.99 $4.56 $5.44 $5.00 $4.81 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 65.7% 48.3% 79.2% 71.5% 48.3% Expected Move 19.1% 13.8% 22.7% 20.5% 13.8% HV 20d 52.4% 46.2% 61.9% 61.9% 55.2% HV 60d 69.3% 59.0% 81.2% 80.7% 59.0% IV Rank 10.8% 0.0% 19.3% 15.1% 0.0% IV Percentile 20.8% 0.0% 40.1% 28.2% 0.0% Term Structure 7.7% -3.7% 20.4% 2.7% 20.4% VWIV 66.8% 48.1% 80.9% 72.5% 48.1% Skew 25d 2.7% -17.3% 16.6% -14.3% -4.4% Skew 10d 12.5% -25.7% 71.8% -17.9% -4.0% Call IV 25d 63.5% 42.2% 82.8% 74.8% 45.6% Put IV 25d 66.2% 41.1% 81.5% 60.5% 41.1% Bid-Ask Spread % 9.98 6.97 13.31 8.00 9.66 Gamma HHI 0.31 0.25 0.42 0.33 0.26 Net GEX 875.5K 680.0K 1.1M 680.0K 958.6K Net DEX -50.1M -74.5M -28.2M -50.0M -36.3M Net VEX -337.9K -372.3K -313.1K -336.1K -316.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.41 0.06 2.55 0.18 0.17 Total Volume 19,897.864 1,850 72,686 10,656 6,387 Total OI 441,710.227 395,212 491,549 395,212 477,647
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 2009-06-01 $5.00 $5.00 71.5% 20.5% 61.9% 15.1% 72.5% -14.3% 2.7% 680.0K -50.0M -336.1K 0.18 8.00 N/A N/A 9,010 1,646 268,051 127,161 2009-06-02 $5.06 $5.00 67.2% 19.3% 57.1% 12.0% 68.0% -17.3% 6.2% 730.1K -53.3M -341.4K 0.17 8.63 N/A N/A 5,677 979 274,758 128,125 2009-06-03 $4.85 $5.00 69.3% 19.9% 53.2% 13.3% 69.0% -5.0% 2.3% 690.5K -45.8M -333.3K 0.06 9.43 N/A N/A 47,265 2,793 278,182 128,857 2009-06-04 $5.03 $5.00 74.4% 21.3% 55.1% 16.3% 72.7% 1.6% -3.7% 958.6K -64.1M -372.3K 0.72 10.07 N/A N/A 9,623 6,932 322,555 130,684 2009-06-05 $5.11 $5.00 66.5% 20.1% 54.8% 11.6% 70.0% 9.5% 7.1% 845.0K -58.6M -349.8K 0.18 11.30 N/A N/A 36,798 6,564 286,098 128,423 2009-06-08 $4.96 $5.00 65.8% 20.2% 55.7% 11.1% 68.8% 9.9% 6.1% 757.7K -48.0M -326.5K 0.40 13.31 N/A N/A 17,379 6,934 274,019 129,431 2009-06-09 $4.95 $5.00 57.7% 19.9% 54.2% 6.3% 69.5% 7.8% 6.3% 766.9K -46.9M -324.0K 0.24 11.49 N/A N/A 1,490 360 275,553 129,603 2009-06-10 $4.84 $5.00 63.0% 18.5% 54.4% 9.5% 65.6% 11.3% 8.1% 726.4K -42.9M -313.1K 0.24 10.91 N/A N/A 8,721 2,099 274,664 129,688 2009-06-11 $5.08 $5.00 64.3% 18.4% 51.8% 10.3% 64.7% 4.7% 9.4% 842.2K -53.0M -325.6K 0.63 11.03 N/A N/A 7,454 4,712 277,182 130,131 2009-06-12 $5.29 $5.00 67.4% 19.3% 50.8% 12.1% 64.0% 15.8% 6.1% 951.4K -64.2M -331.4K 0.93 11.15 N/A N/A 11,134 10,386 281,203 132,836 2009-06-15 $5.34 $5.00 79.2% 22.7% 49.3% 19.3% 78.0% 6.2% -1.4% 937.5K -67.4M -339.4K 0.30 7.47 N/A N/A 56,041 16,645 286,260 139,615 2009-06-16 $5.44 $5.00 75.9% 21.8% 46.2% 17.3% 75.0% 6.1% 1.5% 1.1M -74.5M -368.7K 0.25 8.55 N/A N/A 21,745 5,494 315,850 151,875 2009-06-17 $5.11 $5.00 76.3% 21.9% 49.7% 17.5% 80.9% -6.9% 3.4% 916.1K -57.2M -367.4K 0.27 9.98 N/A N/A 18,778 5,110 321,807 155,310 2009-06-18 $5.18 $5.00 74.3% 21.3% 49.7% 16.3% 75.0% 1.1% 7.9% 1.0M -65.2M -370.6K 0.48 10.71 N/A N/A 3,507 1,691 331,874 157,445 2009-06-19 $4.96 $5.00 67.0% 19.2% 48.0% 11.9% 62.9% 9.3% 9.2% 1.1M -47.4M -347.8K 0.07 6.97 N/A N/A 28,583 2,047 333,341 158,208 2009-06-22 $4.83 $5.00 65.9% 18.9% 48.3% 11.2% 66.6% 0.3% 11.2% 849.1K -42.8M -334.5K 0.25 7.02 N/A N/A 11,574 2,887 300,425 142,851 2009-06-23 $4.72 $5.00 67.8% 19.4% 48.6% 12.4% 71.5% -9.1% 6.9% 860.9K -39.1M -327.0K 2.55 9.92 N/A N/A 6,705 17,075 306,859 144,875 2009-06-24 $4.56 $5.00 60.7% 17.4% 49.2% 8.1% 62.6% 16.6% 14.2% 707.7K -28.2M -326.3K 0.11 11.40 N/A N/A 7,736 871 306,962 160,852 2009-06-25 $4.68 $5.00 57.6% 16.5% 50.0% 4.1% 59.2% 12.3% 11.9% 788.0K -30.7M -322.2K 0.24 11.29 N/A N/A 7,973 1,894 308,567 160,958 2009-06-26 $4.99 $5.00 53.0% 15.2% 55.7% 1.2% 53.0% 2.2% 17.0% 1.0M -44.4M -331.1K 0.15 10.52 N/A N/A 10,777 1,577 312,139 161,176 2009-06-29 $4.92 $5.00 52.1% 14.9% 54.9% 0.7% 51.9% 1.3% 15.9% 1.0M -43.2M -328.9K 0.49 10.75 N/A N/A 3,163 1,537 313,356 162,169 2009-06-30 $4.81 $5.00 48.3% 13.8% 55.2% 0.0% 48.1% -4.4% 20.4% 958.6K -36.3M -316.7K 0.17 9.66 N/A N/A 5,466 921 314,813 162,834
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