S Options History — August 2009

In August 2009, S traded between $3.55 and $4.05. ATM implied volatility averaged 58.4%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 2.5% (HV 20d: 55.9%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2009-08-13: Highest Volume — 56,483 contracts
  • 2009-08-11: Largest IV drop — 35.1% change
  • 2009-08-06: Highest IV Rank — 22.5%
  • 2009-08-06: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.81$3.55$4.05$4.03$3.66
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV58.4%43.6%73.9%61.4%52.4%
Expected Move17.1%14.3%21.2%17.6%15.0%
HV 20d55.9%46.2%61.0%57.7%47.0%
HV 60d54.4%53.1%56.3%56.3%53.8%
IV Rank13.8%5.5%22.5%15.5%10.4%
IV Percentile13.5%1.6%34.9%16.3%4.4%
Term Structure4.2%-9.9%15.1%1.7%2.5%
VWIV61.5%49.9%78.5%61.4%52.4%
Skew 25d15.9%-17.2%44.1%11.9%-5.9%
Skew 10d28.5%-10.9%72.3%18.2%-7.3%
Call IV 25d52.2%40.7%71.9%49.5%52.6%
Put IV 25d68.1%43.6%102.7%61.4%46.7%
Bid-Ask Spread %9.497.5513.339.507.55
Gamma HHI0.410.280.690.380.31
Net GEX603.8K193.4K1.5M711.1K324.1K
Net DEX2.3M-4.6M12.8M-4.6M2.0M
Net VEX-202.6K-222.2K-163.8K-219.0K-207.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.112.630.390.40
Total Volume13,594.4763,12256,4836,2885,734
Total OI468,058.333355,617533,519484,194386,527

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$4.03$4.0061.4%17.6%57.7%15.5%61.4%11.9%1.7%711.1K-4.6M-219.0K0.399.50N/AN/A4,5231,765333,226150,968
2009-08-04$4.05$4.0055.8%16.0%57.7%12.3%69.4%40.4%5.6%728.1K-4.1M-212.7K2.638.82N/AN/A2,7257,178333,363150,970
2009-08-05$3.96$4.0065.4%18.8%57.6%17.7%75.5%44.1%-4.8%658.8K-4.1M-212.6K1.658.89N/AN/A2,5124,134334,861150,412
2009-08-06$3.88$4.0073.9%21.2%55.5%22.5%78.5%40.6%-9.9%516.6K222.9K-207.1K0.707.58N/AN/A5,3033,698334,610150,754
2009-08-07$3.79$4.0066.5%19.0%55.6%18.3%67.1%-0.9%2.9%508.2K3.0M-203.3K0.739.57N/AN/A4,5823,333335,947152,026
2009-08-10$3.71$4.0067.1%18.5%55.7%18.7%67.0%-4.0%4.8%433.3K6.8M-184.5K0.3710.79N/AN/A7,2662,717337,583152,921
2009-08-11$3.55$4.0043.6%19.5%56.3%5.5%69.7%19.9%0.5%278.4K12.8M-163.8K0.2810.97N/AN/A5,5301,545340,741151,650
2009-08-12$3.69$4.0058.2%17.5%54.0%13.7%61.5%18.2%8.7%486.4K6.3M-183.9K0.977.78N/AN/A18,12817,535341,437151,514
2009-08-13$3.95$4.0059.3%17.0%60.7%14.3%59.2%33.1%8.4%914.2K-4.1M-217.2K0.597.93N/AN/A35,61520,868352,365167,523
2009-08-14$3.85$4.0059.8%17.2%61.0%14.6%62.0%28.2%7.1%850.3K352.2K-212.8K0.237.87N/AN/A2,535587361,129169,606
2009-08-17$3.81$4.0056.2%16.1%58.8%12.5%56.4%25.6%12.1%811.2K5.1M-197.2K0.328.81N/AN/A7,1342,300355,233169,909
2009-08-18$3.85$4.0061.0%17.5%59.3%15.3%64.4%30.9%6.6%1.1M5.2M-198.9K0.219.21N/AN/A6,5121,396358,123168,382
2009-08-19$3.76$4.0060.4%17.3%58.8%14.9%60.5%25.2%7.3%512.6K9.5M-188.1K0.4810.16N/AN/A3,7891,823359,250167,316
2009-08-20$3.83$4.0056.5%16.2%59.5%12.7%56.9%28.0%8.2%992.4K5.4M-196.3K0.259.39N/AN/A3,338830362,406168,052
2009-08-21$3.90$4.0049.9%14.3%59.8%9.0%49.9%31.2%15.1%1.5M3.7M-195.5K0.908.63N/AN/A19,48817,461365,237168,282
2009-08-24$3.83$4.0050.3%14.4%59.7%9.3%50.3%-2.9%9.0%242.9K627.4K-211.6K0.2510.11N/AN/A11,5822,877227,935127,682
2009-08-25$3.65$4.0066.1%18.9%60.9%18.1%65.4%-17.2%-2.8%193.4K3.9M-201.0K0.1211.51N/AN/A17,3032,117231,248129,862
2009-08-26$3.79$4.0054.9%15.7%46.2%11.8%55.0%-5.1%0.5%273.5K1.8M-207.1K0.3113.33N/AN/A9,7173,013240,886129,988
2009-08-27$3.79$4.0053.7%15.4%46.2%11.2%53.8%-3.4%2.4%316.9K-1.2M-222.2K0.1110.48N/AN/A8,652957245,934130,887
2009-08-28$3.77$4.0054.8%15.7%46.2%11.8%54.8%-3.4%1.9%333.9K293.4K-213.5K0.3910.42N/AN/A5,3282,054251,183131,297
2009-08-31$3.66$4.0052.4%15.0%47.0%10.4%52.4%-5.9%2.5%324.1K2.0M-207.3K0.407.55N/AN/A4,1011,633254,407132,120