S Options History — November 2009

In November 2009, S traded between $2.83 and $3.95. ATM implied volatility averaged 65.3%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 13.7% (HV 20d: 79.1%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2009-11-10: Highest Volume — 92,473 contracts
  • 2009-11-23: Largest IV drop — 10.6% change
  • 2009-11-19: Highest IV Rank — 23.2%
  • 2009-11-19: Largest Expected Move — 20.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.41$2.83$3.95$2.87$3.71
Max Pain$3.33$3.00$4.00$4.00$3.50
ATM IV65.3%57.6%70.5%68.4%61.8%
Expected Move18.7%16.5%20.2%19.6%17.7%
HV 20d79.1%40.3%97.7%40.3%94.6%
HV 60d64.7%50.2%71.6%53.3%71.5%
IV Rank20.4%16.5%23.2%22.0%18.8%
IV Percentile22.2%10.7%36.5%25.8%17.1%
Term Structure4.8%-0.1%10.2%1.3%3.6%
VWIV66.0%59.4%72.3%68.5%62.3%
Skew 25d-5.0%-21.5%31.7%7.8%-6.0%
Skew 10d-11.3%-40.8%44.0%4.7%-12.4%
Call IV 25d73.6%62.6%85.0%83.6%70.4%
Put IV 25d68.5%55.8%114.5%91.4%64.4%
Bid-Ask Spread %5.883.6813.536.497.83
Gamma HHI0.250.190.370.200.27
Net GEX431.3K-1571.3M26.7K582.4K
Net DEX5.0M-37.7M31.4M31.4M-13.7M
Net VEX-246.1K-313.2K-184.8K-192.6K-252.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.100.910.600.52
Total Volume25,745.255,65492,47316,38114,111
Total OI796,525.15655,649940,978767,250667,900

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$2.87$4.0068.4%19.6%40.3%22.0%68.5%7.8%1.3%26.7K31.4M-192.6K0.606.49N/AN/A10,2286,153511,931255,319
2009-11-03$2.94$4.0065.3%18.7%42.5%20.4%65.2%31.7%4.5%55.3K29.2M-200.8K0.763.68N/AN/A8,5236,496514,068254,843
2009-11-04$2.91$4.0065.8%18.8%42.5%20.6%65.7%-19.5%4.5%57.1K28.4M-199.9K0.1513.53N/AN/A7,2691,124513,961255,699
2009-11-05$2.83$4.0070.3%20.2%42.8%23.0%70.2%-21.5%-0.1%31.9K30.9M-190.5K0.384.82N/AN/A4,0941,560517,275256,038
2009-11-06$2.85$3.0067.7%19.3%43.0%21.6%67.8%1.3%6.9%19.0K31.4M-184.8K0.173.95N/AN/A10,5361,834517,852256,261
2009-11-09$3.43$3.0067.7%18.2%82.1%21.7%65.3%-7.8%10.2%385.0K10.2M-250.8K0.177.08N/AN/A35,6086,137523,005256,761
2009-11-10$3.24$3.0066.5%18.5%82.8%21.0%64.9%-9.6%6.1%271.8K18.8M-213.6K0.914.69N/AN/A48,47044,003538,984258,872
2009-11-11$3.19$3.0063.1%18.6%80.8%19.1%64.6%-5.9%4.2%132.7K23.3M-237.9K0.665.78N/AN/A8,4775,559572,903296,949
2009-11-12$3.05$3.0063.7%18.3%82.0%19.5%70.2%-17.4%6.2%-15730.6M-219.9K0.105.86N/AN/A11,6611,173578,296301,243
2009-11-13$3.10$3.0061.2%17.5%82.4%18.1%63.7%-12.7%7.9%17.6K27.3M-216.6K0.196.75N/AN/A6,9881,356575,969297,660
2009-11-16$3.50$3.0067.4%19.3%93.9%21.5%68.4%-9.6%4.0%524.4K5.0M-248.8K0.347.10N/AN/A40,60213,839580,908297,838
2009-11-17$3.70$3.0067.0%19.2%94.2%21.3%68.3%-7.6%4.0%919.1K-12.0M-296.5K0.264.48N/AN/A23,5956,246599,860305,122
2009-11-18$3.95$3.0069.0%19.8%96.4%22.4%72.3%1.8%2.1%1.3M-37.7M-313.2K0.325.29N/AN/A52,83416,720603,433306,864
2009-11-19$3.85$3.0070.5%20.2%97.0%23.2%72.3%-5.0%2.2%1.2M-23.4M-309.8K0.915.58N/AN/A20,07518,289602,883317,518
2009-11-20$3.76$3.0069.6%20.0%96.1%22.7%69.0%-4.7%2.3%701.5K-5.1M-294.4K0.486.13N/AN/A14,1676,845610,094330,884
2009-11-23$3.90$3.5062.3%17.9%96.3%18.7%62.2%-6.1%5.6%586.2K-22.0M-285.3K0.343.94N/AN/A18,7356,346424,533231,116
2009-11-24$3.75$3.5061.4%17.6%97.6%18.6%60.7%-4.1%6.1%549.0K-13.4M-261.5K0.124.80N/AN/A18,4682,275432,641230,726
2009-11-25$3.84$3.5057.6%16.5%97.7%16.5%59.4%-2.8%8.1%717.3K-22.0M-285.6K0.353.88N/AN/A5,8992,084436,429231,089
2009-11-27$3.75$3.5060.1%17.2%96.2%17.8%59.6%-2.7%7.1%574.7K-16.7M-267.4K0.126.05N/AN/A5,815711434,234232,542
2009-11-30$3.71$3.5061.8%17.7%94.6%18.8%62.3%-6.0%3.6%582.4K-13.7M-252.9K0.527.83N/AN/A9,2584,853435,330232,570