S Options History — January 2010

In January 2010, S traded between $3.28 and $4.13. ATM implied volatility averaged 57.4%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 0.2% (HV 20d: 57.2%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-01-15: Highest Volume — 72,266 contracts
  • 2010-01-14: Largest IV spike — 57.5% change
  • 2010-01-28: Highest IV Rank — 45.2%
  • 2010-01-28: Largest Expected Move — 19.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.71$3.28$4.13$3.90$3.28
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV57.4%39.6%67.9%58.1%67.8%
Expected Move17.3%14.5%19.5%16.7%19.4%
HV 20d57.2%47.4%71.4%68.7%58.5%
HV 60d73.5%71.9%74.6%72.1%73.7%
IV Rank32.9%13.1%45.2%31.3%45.2%
IV Percentile22.1%1.6%45.6%15.9%45.6%
Term Structure1.1%-3.3%6.7%2.5%-1.4%
VWIV61.9%50.9%75.2%59.6%67.7%
Skew 25d-1.9%-6.1%6.7%-4.6%-4.0%
Skew 10d-3.8%-14.7%6.1%-5.6%-9.4%
Call IV 25d65.1%56.1%74.9%65.9%71.4%
Put IV 25d63.2%55.5%73.4%61.2%67.4%
Bid-Ask Spread %4.733.065.934.635.39
Gamma HHI0.360.270.600.360.30
Net GEX618.4K-56.2K1.6M841.1K-56.2K
Net DEX-6.3M-25.4M11.0M-7.7M6.7M
Net VEX-229.7K-247.6K-208.3K-217.9K-229.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.131.290.291.08
Total Volume29,244.8425,65872,26612,9229,760
Total OI672,733.421456,468871,407769,787540,543

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$3.90$4.0058.1%16.7%68.7%31.3%59.6%-4.6%2.5%841.1K-7.7M-217.9K0.294.63N/AN/A9,9932,929484,199285,588
2010-01-05$4.13$4.0057.8%17.1%71.4%31.0%67.9%-2.7%1.3%1.1M-25.4M-222.2K0.414.33N/AN/A40,28916,507486,290286,243
2010-01-06$4.09$4.0055.6%16.2%55.9%28.8%58.0%-2.4%3.3%1.1M-23.6M-237.4K0.435.78N/AN/A11,0254,736515,620298,022
2010-01-07$3.97$4.0053.9%16.2%51.5%27.0%57.0%-5.3%4.4%968.3K-14.3M-229.7K0.433.95N/AN/A12,2085,205518,773300,571
2010-01-08$3.95$4.0043.4%15.6%47.4%17.4%55.9%-6.1%5.3%1.0M-10.3M-225.5K0.674.34N/AN/A4,5243,050521,338302,372
2010-01-11$4.05$4.0042.7%15.6%47.6%16.6%54.3%-1.5%5.6%1.4M-19.1M-222.2K0.444.60N/AN/A15,4316,826522,050302,621
2010-01-12$3.90$4.0041.1%15.8%49.3%14.8%56.0%-0.9%2.9%1.2M-4.4M-215.6K1.294.67N/AN/A10,38313,393527,571305,484
2010-01-13$4.00$4.0039.6%14.5%49.8%13.1%50.9%-0.6%6.7%1.6M-15.1M-217.1K0.923.06N/AN/A10,93910,028533,609309,073
2010-01-14$3.69$4.0062.3%17.9%56.9%39.0%62.2%-3.8%-1.0%476.7K11.0M-208.3K0.384.95N/AN/A44,65716,973536,920304,412
2010-01-15$3.82$4.0059.9%17.2%58.4%36.3%60.8%-2.9%0.6%512.1K6.7M-220.3K1.085.93N/AN/A34,82137,445559,280312,127
2010-01-19$3.68$4.0059.7%17.1%58.0%36.0%59.5%-3.3%-2.7%339.2K-11.6M-228.9K0.494.16N/AN/A28,66614,128274,282182,186
2010-01-20$3.55$4.0059.6%17.1%59.2%35.9%61.2%-1.2%2.4%223.0K-6.4M-232.3K0.965.03N/AN/A18,50817,815287,229188,189
2010-01-21$3.46$4.0062.0%17.8%59.4%38.7%62.5%2.3%-0.7%130.6K843.1K-238.7K0.785.13N/AN/A21,21516,558297,755202,154
2010-01-22$3.37$4.0065.6%18.8%59.4%42.7%68.8%-1.7%0.4%135.8K-1.3M-247.6K0.544.98N/AN/A10,9885,917311,223202,267
2010-01-25$3.44$4.0062.8%18.0%59.2%39.5%64.2%-0.1%-1.9%203.0K-3.2M-244.0K0.314.67N/AN/A4,3291,329313,180203,785
2010-01-26$3.41$4.0064.4%18.5%59.0%41.4%67.0%-1.3%-0.5%156.0K929.7K-239.0K0.305.14N/AN/A8,7562,633314,263206,128
2010-01-27$3.49$4.0067.2%19.3%59.4%44.5%66.7%6.7%-2.5%270.5K-3.8M-246.1K0.134.91N/AN/A39,7385,317315,322206,463
2010-01-28$3.38$4.0067.9%19.5%57.8%45.2%75.2%-3.1%-3.3%121.6K-291.2K-242.2K0.344.16N/AN/A28,9309,703314,887209,916
2010-01-29$3.28$4.0067.8%19.4%58.5%45.2%67.7%-4.0%-1.4%-56.2K6.7M-229.8K1.085.39N/AN/A4,6985,062322,471218,072