S Options History — September 2009

In September 2009, S traded between $3.52 and $4.29. ATM implied volatility averaged 68.3%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 12.0% (HV 20d: 56.2%). 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 9 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2009-09-04: Highest Volume — 204,499 contracts
  • 2009-09-04: Largest IV spike — 128.1% change
  • 2009-09-14: Highest IV Rank — 27.3%
  • 2009-09-09: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.92$3.52$4.29$3.53$3.95
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV68.3%27.7%78.1%69.6%72.8%
Expected Move20.6%7.9%23.7%20.0%20.9%
HV 20d56.2%43.2%64.0%48.1%61.4%
HV 60d55.8%52.9%59.1%54.0%55.7%
IV Rank21.7%0.0%27.3%20.0%24.4%
IV Percentile29.4%0.0%42.1%31.0%32.9%
Term Structure0.6%-12.2%31.3%-2.9%2.5%
VWIV72.2%25.5%82.8%68.9%70.1%
Skew 25d-11.2%-30.8%7.1%-24.1%7.1%
Skew 10d-4.9%-29.7%24.3%-12.3%11.4%
Call IV 25d75.4%33.9%89.9%69.4%56.1%
Put IV 25d64.2%38.2%86.4%45.3%63.2%
Bid-Ask Spread %10.586.2619.658.057.91
Gamma HHI0.380.290.540.290.33
Net GEX1.1M256.2K1.5M256.2K1.4M
Net DEX-29.9M-64.0M5.2M4.6M-33.5M
Net VEX-349.7K-427.9K-198.6K-198.8K-406.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.050.700.280.67
Total Volume39,343.8573,182204,49912,5403,182
Total OI628,867.19388,011758,212388,011758,212

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$3.53$4.0069.6%20.0%48.1%20.0%68.9%-24.1%-2.9%256.2K4.6M-198.8K0.288.05N/AN/A9,7822,758256,273131,738
2009-09-02$3.52$4.0071.5%20.5%47.7%21.1%70.1%-30.8%-12.2%274.1K4.9M-199.2K0.276.26N/AN/A4,4221,177261,725132,938
2009-09-03$3.58$4.0027.7%7.9%48.1%0.0%25.5%4.3%31.3%278.6K5.2M-198.6K0.057.98N/AN/A7,761407263,935133,774
2009-09-04$3.81$4.0063.1%21.9%52.9%19.2%75.5%-3.3%-1.1%437.2K-7.1M-238.8K0.2019.65N/AN/A170,79533,704269,781133,805
2009-09-08$3.70$4.0063.1%22.7%53.4%19.2%80.3%5.5%-5.9%883.3K-16.0M-309.1K0.4412.09N/AN/A27,25712,022412,050161,487
2009-09-09$3.68$4.0035.8%23.7%50.9%4.4%82.8%3.4%-8.3%870.8K-14.4M-321.0K0.3911.17N/AN/A29,60111,496430,360172,239
2009-09-10$3.78$4.0076.4%21.9%49.9%26.4%76.7%3.4%-3.3%1.1M-22.3M-340.4K0.1417.68N/AN/A13,7961,923446,525172,565
2009-09-11$3.77$4.0077.6%22.2%43.2%27.0%78.1%-2.6%-2.5%1.2M-21.5M-330.4K0.709.80N/AN/A4,9653,483454,015172,863
2009-09-14$4.15$4.0078.1%22.4%54.6%27.3%80.4%-20.5%-5.4%1.4M-53.2M-380.2K0.4011.32N/AN/A112,61645,017455,261174,668
2009-09-15$4.06$4.0073.4%21.0%55.1%24.7%74.7%-22.8%2.7%1.3M-42.9M-383.6K0.3011.23N/AN/A25,5167,775491,861199,840
2009-09-16$3.98$4.0072.8%20.9%55.6%24.4%72.2%-19.4%-0.5%1.4M-32.1M-378.7K0.479.59N/AN/A9,4994,490498,464204,935
2009-09-17$3.90$4.0068.9%19.7%55.4%22.3%69.4%-23.4%0.0%1.5M-25.0M-364.4K0.2910.09N/AN/A17,7395,187499,911205,211
2009-09-18$4.28$4.0072.0%20.6%64.0%24.0%72.2%-9.7%1.1%1.2M-64.0M-408.2K0.1811.31N/AN/A74,34213,106511,206207,755
2009-09-21$4.25$4.0076.4%21.9%64.0%26.3%76.7%-10.5%-3.6%1.3M-55.4M-423.9K0.4212.25N/AN/A13,2035,602480,898201,880
2009-09-22$4.29$4.0069.7%20.0%63.5%22.7%72.8%-10.7%8.7%1.4M-62.5M-427.9K0.0810.70N/AN/A48,0793,919483,208200,644
2009-09-23$4.14$4.0070.3%20.1%62.2%23.0%72.5%-20.6%7.5%1.4M-50.7M-420.1K0.7011.36N/AN/A13,3789,341505,031201,924
2009-09-24$4.01$4.0074.8%21.4%62.5%25.5%75.0%-19.5%-1.7%1.3M-38.2M-407.2K0.568.37N/AN/A6,9393,904508,242208,210
2009-09-25$3.95$4.0076.9%22.0%62.8%26.6%77.5%-25.6%-5.0%1.2M-32.9M-402.3K0.317.21N/AN/A18,2335,705510,159212,036
2009-09-28$3.92$4.0072.4%20.7%62.8%24.2%74.0%5.2%5.6%1.3M-30.3M-398.7K0.519.86N/AN/A7,9144,029523,863214,683
2009-09-29$4.04$4.0069.9%20.0%62.4%22.8%69.9%-21.4%6.5%1.4M-40.0M-407.1K0.228.39N/AN/A26,2835,874525,973216,063
2009-09-30$3.95$4.0072.8%20.9%61.4%24.4%70.1%7.1%2.5%1.4M-33.5M-406.0K0.677.91N/AN/A1,9001,282539,007219,205