S Options History — October 2009 In October 2009, S traded between $2.96 and $3.91. ATM implied volatility averaged 75.2%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 23.3% (HV 20d: 51.9%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.49.
Notable Days 2009-10-09 : Highest Volume — 67,794 contracts2009-10-13 : Largest IV spike — 62.4% change2009-10-09 : Highest IV Rank — 37.5%2009-10-28 : Largest Expected Move — 25.4%Monthly Statistics Metric Avg Min Max Open Close Price $3.46 $2.96 $3.91 $3.74 $2.96 Max Pain $4.00 $4.00 $4.00 $4.00 $4.00 ATM IV 75.2% 49.5% 97.0% 70.6% 68.2% Expected Move 22.3% 16.0% 25.4% 20.2% 19.6% HV 20d 51.9% 40.1% 66.5% 65.0% 40.1% HV 60d 55.0% 51.3% 56.8% 56.6% 53.2% IV Rank 25.7% 11.8% 37.5% 23.2% 21.9% IV Percentile 38.2% 3.2% 63.9% 29.4% 25.4% Term Structure -3.1% -14.5% 10.5% 5.3% 3.0% VWIV 80.4% 55.8% 95.7% 70.8% 68.2% Skew 25d -4.1% -17.6% 55.6% -9.3% 55.6% Skew 10d 7.0% -23.7% 88.4% -7.1% 88.4% Call IV 25d 81.7% 48.6% 104.0% 65.9% 59.4% Put IV 25d 77.6% 56.6% 115.1% 56.6% 115.1% Bid-Ask Spread % 11.35 8.85 16.22 9.50 9.94 Gamma HHI 0.28 0.20 0.40 0.35 0.21 Net GEX 619.9K 3.9K 1.4M 1.2M 3.9K Net DEX 4.5M -31.9M 30.7M -15.4M 30.7M Net VEX -299.9K -398.7K -202.3K -369.1K -202.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.09 1.96 0.34 1.40 Total Volume 20,157.773 2,928 67,794 12,338 20,524 Total OI 760,436.727 698,359 837,966 758,992 768,514
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 2009-10-01 $3.74 $4.00 70.6% 20.2% 65.0% 23.2% 70.8% -9.3% 5.3% 1.2M -15.4M -369.1K 0.34 9.50 N/A N/A 9,222 3,116 537,946 221,046 2009-10-02 $3.91 $4.00 73.6% 21.1% 66.5% 24.8% 73.5% 4.6% 3.3% 1.4M -31.9M -398.7K 0.12 13.50 N/A N/A 21,732 2,537 541,197 222,100 2009-10-05 $3.81 $4.00 74.3% 21.5% 63.6% 25.2% 79.1% -0.6% 2.3% 1.4M -19.7M -372.3K 0.24 11.30 N/A N/A 4,695 1,145 550,425 222,931 2009-10-06 $3.79 $4.00 77.7% 21.8% 62.7% 27.0% 79.6% -5.9% -2.8% 1.4M -17.7M -360.8K 0.15 16.19 N/A N/A 5,966 888 550,665 222,897 2009-10-07 $3.73 $4.00 69.5% 23.3% 63.0% 22.6% 81.6% 1.9% -5.2% 1.3M -11.1M -348.5K 0.20 16.22 N/A N/A 18,195 3,612 553,315 223,392 2009-10-08 $3.68 $4.00 77.3% 24.9% 62.4% 26.8% 86.8% -7.5% -6.5% 1.3M -12.5M -347.3K 0.60 11.74 N/A N/A 5,241 3,138 559,785 224,381 2009-10-09 $3.58 $4.00 97.0% 24.8% 63.1% 37.5% 85.9% -6.6% -5.2% 1.0M -3.6M -328.1K 0.37 9.13 N/A N/A 49,363 18,431 558,584 226,157 2009-10-12 $3.58 $4.00 49.5% 23.1% 51.3% 11.8% 80.6% -6.3% -1.4% 483.9K 7.4M -301.1K 0.15 10.83 N/A N/A 15,361 2,360 566,096 234,395 2009-10-13 $3.41 $4.00 80.4% 24.1% 53.1% 28.5% 85.6% -9.5% -3.7% 556.7K 10.4M -295.3K 1.96 10.57 N/A N/A 12,704 24,869 571,847 235,483 2009-10-14 $3.57 $4.00 70.8% 24.4% 56.3% 23.3% 84.6% -8.4% -3.5% 420.3K 8.6M -304.4K 1.30 10.96 N/A N/A 15,772 20,533 565,894 245,739 2009-10-15 $3.52 $4.00 88.3% 25.3% 56.1% 32.8% 87.6% -12.7% -11.2% 390.6K 9.2M -321.3K 0.27 10.97 N/A N/A 7,182 1,913 575,562 261,135 2009-10-16 $3.47 $4.00 78.6% 22.5% 42.6% 27.6% 81.9% -10.4% -3.5% 358.4K 13.1M -303.7K 0.20 10.21 N/A N/A 16,116 3,255 576,777 261,189 2009-10-19 $3.44 $4.00 77.2% 22.1% 42.5% 26.8% 89.7% -17.6% -0.6% 392.6K 4.3M -301.8K 0.09 9.43 N/A N/A 8,946 823 465,913 232,975 2009-10-20 $3.29 $4.00 81.4% 23.3% 43.5% 29.0% 83.5% -8.6% -7.1% 277.7K 13.9M -267.5K 0.29 10.69 N/A N/A 11,178 3,197 465,118 233,241 2009-10-21 $3.29 $4.00 69.9% 20.0% 42.9% 22.8% 81.1% -15.9% 5.0% 268.5K 15.6M -263.2K 0.17 12.62 N/A N/A 7,225 1,225 470,919 234,524 2009-10-22 $3.38 $4.00 73.4% 21.0% 44.2% 24.7% 78.3% -5.8% -2.1% 324.7K 12.0M -270.2K 0.69 13.39 N/A N/A 1,729 1,199 475,137 235,001 2009-10-23 $3.25 $4.00 70.7% 20.3% 45.5% 23.2% 72.0% -4.9% -4.5% 263.3K 14.9M -254.7K 0.20 9.93 N/A N/A 10,353 2,076 476,085 235,778 2009-10-26 $3.20 $4.00 79.7% 22.9% 45.6% 28.1% 82.6% -8.3% -13.2% 256.0K 16.1M -254.6K 0.49 8.85 N/A N/A 8,961 4,382 483,016 237,365 2009-10-27 $3.17 $4.00 82.0% 23.5% 43.0% 29.4% 83.3% -9.3% -14.5% 255.0K 15.5M -256.6K 0.52 9.14 N/A N/A 5,768 2,977 485,871 240,437 2009-10-28 $3.24 $4.00 88.4% 25.4% 44.5% 32.9% 95.7% -17.3% -11.5% 303.3K 12.6M -266.5K 0.52 12.88 N/A N/A 28,018 14,675 488,190 240,284 2009-10-29 $3.09 $4.00 55.8% 16.0% 43.6% 15.2% 55.8% 13.0% 10.5% 74.4K 27.5M -209.4K 0.58 11.66 N/A N/A 27,067 15,802 501,541 250,761 2009-10-30 $2.96 $4.00 68.2% 19.6% 40.1% 21.9% 68.2% 55.6% 3.0% 3.9K 30.7M -202.3K 1.40 9.94 N/A N/A 8,543 11,981 508,548 259,966
« Sep 2009 | All History | Nov 2009 » Home S History October 2009