S Options History — December 2009

In December 2009, S traded between $3.65 and $4.18. ATM implied volatility averaged 57.8%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 17.9% (HV 20d: 75.7%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2009-12-18: Highest Volume — 186,045 contracts
2009-12-09: Largest IV spike — 10.3% change
2009-12-31: Highest IV Rank — 26.7%
2009-12-09: Largest Expected Move — 19.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.84	$3.65	$4.18	$3.78	$3.66
Max Pain	$3.93	$3.50	$4.00	$3.50	$4.00
ATM IV	57.8%	50.1%	65.7%	57.3%	53.6%
Expected Move	16.9%	14.4%	19.9%	16.4%	15.4%
HV 20d	75.7%	62.8%	100.8%	93.3%	65.3%
HV 60d	71.8%	70.1%	74.7%	70.4%	71.0%
IV Rank	22.0%	16.3%	26.7%	16.3%	26.7%
IV Percentile	13.2%	4.0%	25.4%	10.3%	7.1%
Term Structure	4.0%	-0.1%	8.1%	6.7%	3.8%
VWIV	60.5%	52.0%	72.4%	58.3%	56.0%
Skew 25d	-5.0%	-9.9%	6.7%	-4.0%	-0.3%
Skew 10d	-6.7%	-17.3%	22.5%	-3.9%	-9.5%
Call IV 25d	65.9%	52.6%	75.3%	63.4%	58.1%
Put IV 25d	60.8%	52.5%	71.0%	59.4%	57.8%
Bid-Ask Spread %	3.62	2.32	6.34	6.34	2.32
Gamma HHI	0.31	0.28	0.34	0.28	0.33
Net GEX	698.2K	349.4K	1.1M	665.3K	363.2K
Net DEX	-13.4M	-43.1M	5.4M	-16.6M	5.4M
Net VEX	-244.7K	-290.1K	-208.5K	-255.0K	-208.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.12	1.03	0.55	0.37
Total Volume	23,831.227	2,298	186,045	9,446	7,489
Total OI	740,235.773	672,024	780,636	672,024	766,831

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
2009-12-01	$3.78	$3.50	57.3%	16.4%	93.3%	16.3%	58.3%	-4.0%	6.7%	665.3K	-16.6M	-255.0K	0.55	6.34	N/A	N/A	6,101	3,345	437,022	235,002
2009-12-02	$3.75	$3.50	58.2%	16.7%	93.5%	19.9%	56.4%	6.7%	5.7%	679.1K	-15.8M	-260.2K	0.18	3.78	N/A	N/A	3,371	621	437,779	235,554
2009-12-03	$3.67	$3.50	54.8%	15.7%	93.9%	18.4%	54.5%	5.5%	8.1%	597.5K	-9.9M	-242.8K	0.41	4.80	N/A	N/A	6,993	2,876	438,284	235,333
2009-12-04	$3.69	$4.00	54.5%	17.8%	92.8%	18.2%	63.0%	-5.0%	3.3%	617.0K	-8.7M	-224.7K	0.48	2.76	N/A	N/A	2,557	1,218	441,229	235,739
2009-12-07	$4.18	$4.00	58.6%	18.6%	100.8%	21.0%	66.5%	-0.9%	1.9%	1.1M	-43.1M	-260.6K	0.37	3.67	N/A	N/A	31,535	11,573	441,655	236,478
2009-12-08	$3.91	$4.00	58.1%	18.1%	84.0%	20.6%	68.5%	-5.6%	4.6%	916.6K	-24.6M	-246.5K	0.71	3.10	N/A	N/A	44,657	31,547	444,033	240,373
2009-12-09	$4.13	$4.00	64.1%	19.9%	82.2%	24.7%	72.4%	-4.3%	-0.1%	1.1M	-43.1M	-290.1K	0.58	3.50	N/A	N/A	28,558	16,594	478,701	262,484
2009-12-10	$4.03	$4.00	65.7%	18.8%	82.6%	25.7%	68.0%	-3.2%	0.9%	1.1M	-33.1M	-275.1K	1.03	3.42	N/A	N/A	15,075	15,599	484,308	266,499
2009-12-11	$4.07	$4.00	62.1%	17.8%	79.9%	23.3%	63.4%	-5.8%	3.9%	985.6K	-34.3M	-278.2K	0.52	5.05	N/A	N/A	4,959	2,567	489,460	278,826
2009-12-14	$4.00	$4.00	63.7%	18.3%	80.7%	24.4%	64.7%	-7.4%	2.8%	957.2K	-27.9M	-274.5K	0.50	3.74	N/A	N/A	7,173	3,580	490,534	280,873
2009-12-15	$3.90	$4.00	59.9%	17.2%	70.7%	21.8%	62.7%	-7.6%	5.9%	828.4K	-15.6M	-238.4K	0.63	3.77	N/A	N/A	4,839	3,025	492,955	280,574
2009-12-16	$3.93	$4.00	60.0%	17.2%	68.2%	21.9%	60.9%	-8.5%	5.0%	971.2K	-20.6M	-251.0K	0.17	3.64	N/A	N/A	9,562	1,667	493,613	280,178
2009-12-17	$3.77	$4.00	61.9%	17.8%	65.7%	23.2%	61.7%	-5.7%	6.0%	616.2K	-8.1M	-229.5K	0.47	3.67	N/A	N/A	10,623	4,993	497,558	280,028
2009-12-18	$3.72	$4.00	59.9%	17.2%	65.3%	21.8%	66.0%	-9.9%	4.6%	414.6K	-3.8M	-224.5K	0.93	3.15	N/A	N/A	96,315	89,730	498,457	282,179
2009-12-21	$3.77	$4.00	58.5%	16.8%	65.0%	24.8%	58.1%	-7.8%	2.4%	451.0K	-422.6K	-248.9K	0.12	3.64	N/A	N/A	19,485	2,405	467,710	284,362
2009-12-22	$3.83	$4.00	55.2%	15.8%	63.8%	23.3%	55.4%	-6.9%	2.0%	532.6K	-2.5M	-242.7K	0.20	2.91	N/A	N/A	5,253	1,070	473,598	281,235
2009-12-23	$3.70	$4.00	50.1%	14.4%	63.5%	19.0%	54.2%	-9.9%	7.8%	482.0K	2.3M	-233.2K	0.27	3.27	N/A	N/A	4,343	1,151	476,954	281,871
2009-12-24	$3.73	$4.00	52.2%	15.0%	62.9%	20.8%	52.0%	-4.9%	4.4%	488.5K	2.2M	-232.0K	0.13	2.93	N/A	N/A	2,041	257	478,040	282,482
2009-12-28	$3.65	$4.00	54.6%	15.7%	62.8%	22.9%	60.6%	-8.2%	4.4%	349.4K	4.9M	-217.9K	0.45	3.52	N/A	N/A	6,937	3,144	478,744	282,685
2009-12-29	$3.81	$4.00	54.7%	15.7%	64.6%	22.9%	54.7%	-9.1%	3.6%	606.4K	-1.7M	-225.1K	0.34	3.82	N/A	N/A	5,257	1,798	480,707	284,999
2009-12-30	$3.78	$4.00	54.9%	15.7%	64.4%	23.1%	54.2%	-7.5%	0.7%	584.0K	363.6K	-223.6K	0.25	2.93	N/A	N/A	1,926	478	484,093	285,168
2009-12-31	$3.66	$4.00	53.6%	15.4%	65.3%	26.7%	56.0%	-0.3%	3.8%	363.2K	5.4M	-208.5K	0.37	2.32	N/A	N/A	5,455	2,034	481,494	285,337