S Options History — March 2010 In March 2010, S traded between $3.26 and $3.94. ATM implied volatility averaged 48.2%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 0.1% (HV 20d: 48.3%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.59.
Notable Days 2010-03-24 : Highest Volume — 92,260 contracts2010-03-10 : Largest IV spike — 16.9% change2010-03-11 : Highest IV Rank — 34.3%2010-03-10 : Largest Expected Move — 15.9%Monthly Statistics Metric Avg Min Max Open Close Price $3.62 $3.26 $3.94 $3.39 $3.80 Max Pain $3.91 $3.00 $4.00 $4.00 $4.00 ATM IV 48.2% 42.5% 54.6% 43.0% 44.3% Expected Move 14.2% 12.3% 15.9% 12.3% 12.7% HV 20d 48.3% 40.8% 63.0% 62.9% 45.8% HV 60d 56.4% 54.2% 61.3% 61.2% 54.2% IV Rank 26.2% 18.9% 34.3% 19.5% 21.1% IV Percentile 9.5% 2.8% 19.4% 3.2% 6.0% Term Structure 4.9% 1.8% 8.9% 8.1% 8.9% VWIV 49.9% 42.1% 56.3% 42.9% 44.4% Skew 25d -2.5% -9.9% 3.4% 1.8% -7.0% Skew 10d 0.3% -22.2% 48.9% -1.7% -10.8% Call IV 25d 54.0% 44.6% 59.4% 49.2% 53.0% Put IV 25d 51.4% 46.0% 56.0% 51.1% 46.0% Bid-Ask Spread % 4.74 2.54 7.91 5.25 4.19 Gamma HHI 0.34 0.24 0.51 0.27 0.51 Net GEX 742.4K 120.4K 1.3M 147.1K 1.2M Net DEX -25.6M -49.4M -1.3M -4.2M -39.9M Net VEX -272.9K -308.9K -241.3K -258.0K -305.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.06 1.92 1.74 0.16 Total Volume 26,170.217 5,144 92,260 21,261 20,952 Total OI 531,047.391 490,364 572,896 516,187 572,896
Daily Data (23 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 2010-03-01 $3.39 $4.00 43.0% 12.3% 62.9% 19.5% 42.9% 1.8% 8.1% 147.1K -4.2M -258.0K 1.74 5.25 N/A N/A 7,767 13,494 287,428 228,759 2010-03-02 $3.33 $4.00 45.6% 13.1% 63.0% 22.9% 45.7% 1.0% 4.7% 143.6K -2.8M -250.6K 1.92 5.47 N/A N/A 4,305 8,247 292,965 218,418 2010-03-03 $3.29 $4.00 46.5% 13.3% 52.2% 24.0% 46.7% 1.0% 3.1% 133.5K -2.5M -244.9K 0.62 2.54 N/A N/A 5,663 3,533 294,205 213,026 2010-03-04 $3.26 $4.00 43.4% 12.4% 52.0% 20.0% 42.1% 3.4% 6.4% 120.4K -1.3M -244.3K 0.93 4.61 N/A N/A 4,955 4,605 295,429 212,801 2010-03-05 $3.28 $3.00 42.5% 14.1% 48.7% 18.9% 52.2% -4.5% 2.2% 125.8K -1.9M -241.3K 0.88 4.04 N/A N/A 14,502 12,728 297,090 212,240 2010-03-08 $3.40 $3.00 45.2% 15.2% 50.5% 22.4% 53.4% 0.9% 3.2% 333.9K -10.4M -246.5K 1.84 4.05 N/A N/A 17,272 31,810 297,580 210,273 2010-03-09 $3.62 $4.00 42.9% 14.9% 54.7% 19.4% 51.9% -0.8% 3.8% 682.1K -22.5M -263.3K 0.38 7.01 N/A N/A 40,572 15,347 302,837 217,735 2010-03-10 $3.65 $4.00 50.2% 15.9% 53.0% 28.7% 56.3% -4.2% 1.8% 844.6K -29.7M -282.2K 0.38 6.48 N/A N/A 36,791 14,023 320,185 219,700 2010-03-11 $3.70 $4.00 54.6% 15.6% 43.2% 34.3% 54.4% -3.0% 3.4% 1.0M -31.0M -279.9K 0.26 5.13 N/A N/A 4,090 1,054 331,150 217,897 2010-03-12 $3.60 $4.00 50.3% 14.4% 42.9% 28.9% 51.9% -2.8% 3.8% 936.5K -25.0M -267.5K 0.57 7.91 N/A N/A 7,540 4,286 326,619 210,159 2010-03-15 $3.59 $4.00 51.2% 14.7% 40.8% 30.0% 53.1% -5.6% 3.4% 938.1K -24.7M -260.1K 0.14 4.93 N/A N/A 6,948 977 326,893 211,359 2010-03-16 $3.45 $4.00 48.6% 13.9% 43.9% 26.7% 50.5% -0.7% 5.2% 811.6K -14.1M -248.5K 0.37 5.18 N/A N/A 8,132 3,031 327,077 211,773 2010-03-17 $3.61 $4.00 51.7% 14.8% 45.5% 30.6% 52.1% 2.6% 5.8% 939.5K -25.6M -259.4K 0.52 3.43 N/A N/A 28,234 14,601 328,270 212,813 2010-03-18 $3.80 $4.00 48.8% 14.0% 48.1% 27.0% 48.7% -3.4% 4.0% 1.3M -42.4M -276.0K 0.18 4.18 N/A N/A 16,345 2,870 345,348 207,602 2010-03-19 $3.76 $4.00 53.8% 15.4% 45.2% 33.3% 53.7% -0.4% 3.8% 644.7K -39.8M -280.0K 0.06 4.19 N/A N/A 29,524 1,871 347,682 205,466 2010-03-22 $3.71 $4.00 47.5% 13.6% 45.6% 25.3% 48.2% -0.9% 7.7% 786.1K -29.1M -271.4K 0.42 5.27 N/A N/A 10,456 4,407 309,440 180,924 2010-03-23 $3.83 $4.00 51.3% 14.7% 43.5% 30.2% 52.1% -5.1% 3.3% 892.7K -39.0M -280.9K 0.16 4.73 N/A N/A 23,639 3,795 313,865 182,879 2010-03-24 $3.94 $4.00 53.9% 15.5% 43.1% 33.5% 53.7% -2.9% 4.0% 1.0M -49.4M -293.0K 0.39 2.85 N/A N/A 66,304 25,956 324,424 183,296 2010-03-25 $3.77 $4.00 50.9% 14.6% 47.0% 29.6% 50.5% -6.5% 6.7% 947.8K -38.3M -308.9K 0.55 5.10 N/A N/A 20,233 11,104 348,275 195,721 2010-03-26 $3.80 $4.00 49.4% 14.2% 47.0% 27.7% 49.1% -9.9% 5.7% 1.0M -38.8M -308.2K 0.72 4.56 N/A N/A 12,510 8,997 350,851 199,705 2010-03-29 $3.79 $4.00 46.6% 13.4% 46.9% 24.2% 47.4% -5.0% 6.5% 1.0M -37.3M -301.5K 0.27 3.79 N/A N/A 5,719 1,542 354,526 204,781 2010-03-30 $3.82 $4.00 46.2% 13.3% 46.1% 23.7% 46.5% -6.4% 7.1% 1.1M -39.0M -304.8K 0.21 4.07 N/A N/A 17,574 3,610 355,770 205,958 2010-03-31 $3.80 $4.00 44.3% 12.7% 45.8% 21.1% 44.4% -7.0% 8.9% 1.2M -39.9M -305.9K 0.16 4.19 N/A N/A 18,034 2,918 364,667 208,229
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