S Options History — February 2010

In February 2010, S traded between $3.15 and $3.67. ATM implied volatility averaged 59.6%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded below realized volatility by 3.8% (HV 20d: 63.4%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.62.

Notable Days

  • 2010-02-11: Highest Volume — 224,023 contracts
  • 2010-02-10: Largest IV drop — 33.3% change
  • 2010-02-08: Highest IV Rank — 60.0%
  • 2010-02-02: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.38$3.15$3.67$3.34$3.33
Max Pain$3.89$3.00$4.00$4.00$4.00
ATM IV59.6%45.6%79.7%63.3%45.6%
Expected Move16.9%13.1%20.7%18.1%13.1%
HV 20d63.4%58.3%68.8%58.3%63.6%
HV 60d65.9%61.0%76.7%73.6%61.2%
IV Rank37.6%22.9%60.0%40.1%22.9%
IV Percentile28.0%4.4%74.6%32.9%4.4%
Term Structure0.6%-8.6%8.1%-0.3%8.1%
VWIV59.6%46.0%71.3%64.3%46.0%
Skew 25d-1.9%-11.3%7.8%-0.8%0.9%
Skew 10d-0.4%-26.2%35.6%16.6%4.1%
Call IV 25d62.8%48.6%74.3%69.9%48.6%
Put IV 25d61.0%48.8%77.3%69.1%49.4%
Bid-Ask Spread %5.093.617.544.294.73
Gamma HHI0.320.230.450.300.27
Net GEX149.2K-780.9K1.3M274133.4K
Net DEX-949.6K-17.3M15.7M4.6M-3.8M
Net VEX-248.1K-285.5K-196.8K-228.0K-263.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.151.830.571.10
Total Volume31,531.1586,155224,0236,1556,958
Total OI592,847.895484,336746,749538,188512,028

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$3.34$4.0063.3%18.1%58.3%40.1%64.3%-0.8%-0.3%2744.6M-228.0K0.574.29N/AN/A3,9142,241319,764218,424
2010-02-02$3.67$4.0072.1%20.7%63.8%50.0%68.7%7.8%-5.0%441.4K-11.9M-249.3K0.525.05N/AN/A21,26111,147321,124220,945
2010-02-03$3.60$4.0065.4%18.7%59.9%42.5%67.0%2.0%1.3%421.4K-9.7M-238.9K0.275.41N/AN/A8,5462,345322,877219,916
2010-02-04$3.41$4.0070.9%20.3%62.2%48.7%71.3%3.9%-0.5%108.1K-899.7K-229.6K0.194.96N/AN/A19,6103,663324,232219,504
2010-02-05$3.43$4.0071.4%19.3%61.9%49.2%68.6%-6.0%-2.2%288.0K-2.0M-234.9K0.296.32N/AN/A15,8584,622345,132221,511
2010-02-08$3.51$4.0079.7%20.3%62.9%60.0%71.1%-2.3%-5.7%429.5K-7.5M-229.7K0.155.80N/AN/A25,3843,834342,516221,401
2010-02-09$3.65$3.0074.4%18.9%64.0%53.8%66.5%-2.0%-5.2%789.1K-17.3M-234.5K0.234.86N/AN/A28,3076,637356,517222,287
2010-02-10$3.36$3.0049.6%16.7%68.8%25.2%61.6%-4.2%0.2%11.6K6.3M-196.8K0.677.54N/AN/A47,96531,917353,507223,640
2010-02-11$3.26$4.0060.2%17.2%68.1%37.4%59.7%-3.1%-0.2%-327.1K10.4M-208.9K1.836.19N/AN/A79,051144,972366,512230,253
2010-02-12$3.16$4.0056.8%16.3%63.4%33.6%59.6%-10.6%4.2%-543.9K12.6M-275.0K0.734.98N/AN/A6,1264,491437,354299,346
2010-02-16$3.15$4.0056.0%16.1%61.5%32.6%56.0%-11.3%2.4%-780.9K15.7M-259.3K0.683.73N/AN/A8,4015,674439,673300,220
2010-02-17$3.24$4.0052.0%14.9%62.0%28.0%53.6%-8.4%6.0%-110.4K6.6M-267.1K0.744.13N/AN/A4,4723,321444,302299,888
2010-02-18$3.31$4.0056.4%16.2%61.7%36.7%56.3%0.1%-0.9%168.4K5.6M-262.5K0.674.70N/AN/A6,8044,551445,690300,915
2010-02-19$3.49$4.0064.9%18.6%64.2%47.5%62.6%3.0%-8.6%1.3M-10.4M-285.5K0.413.61N/AN/A30,24512,331445,964300,785
2010-02-22$3.48$4.0048.3%13.9%63.4%26.3%48.6%2.7%4.8%214.6K-9.1M-266.2K0.294.46N/AN/A13,6483,980270,108214,228
2010-02-23$3.34$4.0050.3%14.4%64.7%28.8%52.2%-4.2%4.8%123.7K-4.2M-268.5K0.465.92N/AN/A7,5283,487278,166217,475
2010-02-24$3.28$4.0048.3%13.8%65.0%26.3%48.6%-3.5%4.2%89.4K-928.4K-258.0K0.684.83N/AN/A3,9722,708282,461219,468
2010-02-25$3.29$4.0046.5%13.3%64.3%24.0%50.2%0.8%4.8%104.9K-2.1M-258.5K1.275.12N/AN/A4,0135,108284,606221,371
2010-02-26$3.33$4.0045.6%13.1%63.6%22.9%46.0%0.9%8.1%133.4K-3.8M-263.4K1.104.73N/AN/A3,3213,637286,094225,934