S Options History — April 2010

In April 2010, S traded between $3.88 and $4.39. ATM implied volatility averaged 47.3%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 11.5% (HV 20d: 35.8%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2010-04-22: Highest Volume — 61,801 contracts
  • 2010-04-15: Largest IV spike — 64.9% change
  • 2010-04-27: Highest IV Rank — 41.6%
  • 2010-04-27: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.12$3.88$4.39$3.90$4.25
Max Pain$3.52$3.50$4.00$4.00$3.50
ATM IV47.3%33.3%60.2%43.4%51.0%
Expected Move15.0%12.4%17.3%12.4%14.6%
HV 20d35.8%26.1%45.9%45.8%36.5%
HV 60d49.5%45.0%53.2%53.2%45.4%
IV Rank25.1%7.1%41.6%20.0%29.8%
IV Percentile15.5%0.4%45.2%5.2%20.2%
Term Structure0.8%-2.1%9.4%9.4%1.9%
VWIV54.1%41.8%64.7%41.8%50.8%
Skew 25d-3.0%-9.3%1.7%-9.3%-1.3%
Skew 10d-1.3%-12.8%14.4%-0.3%14.4%
Call IV 25d57.7%52.6%68.4%54.7%55.1%
Put IV 25d54.7%45.4%65.3%45.4%53.9%
Bid-Ask Spread %3.602.666.164.266.16
Gamma HHI0.460.380.570.530.41
Net GEX1.5M1.3M1.9M1.3M1.6M
Net DEX-65.7M-91.2M-44.1M-46.2M-77.9M
Net VEX-302.9K-344.8K-277.7K-301.6K-323.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.091.380.460.12
Total Volume27,222.6194,32061,8018,79017,873
Total OI625,777.667570,527695,755570,527695,755

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$3.90$4.0043.4%12.4%45.8%20.0%41.8%-9.3%9.4%1.3M-46.2M-301.6K0.464.26N/AN/A6,0112,779364,330206,197
2010-04-05$3.91$3.5043.6%15.1%45.9%20.3%53.2%-2.6%0.3%1.4M-47.3M-300.0K0.153.40N/AN/A14,1122,082365,979208,334
2010-04-06$3.88$3.5042.8%14.7%45.0%19.3%51.3%-1.2%1.8%1.3M-44.8M-288.2K0.403.77N/AN/A3,0841,236363,196208,771
2010-04-07$3.88$3.5040.0%14.4%39.9%15.7%51.0%-2.8%2.3%1.4M-44.1M-283.2K0.094.69N/AN/A11,043988363,549209,169
2010-04-08$4.00$3.5040.8%15.5%41.0%16.8%57.0%1.7%-0.6%1.5M-56.4M-292.4K1.384.02N/AN/A23,54132,452363,549209,169
2010-04-09$4.04$3.5033.3%14.9%40.9%7.1%52.4%-0.2%-0.4%1.5M-59.5M-300.2K1.243.39N/AN/A20,25025,087369,143237,789
2010-04-12$4.15$3.5040.9%15.2%39.8%16.9%55.3%-0.1%0.3%1.6M-70.1M-300.9K0.162.80N/AN/A36,7835,743368,250241,190
2010-04-13$4.15$3.5037.6%15.1%39.8%12.6%53.4%-2.3%0.8%1.7M-73.7M-293.2K0.912.83N/AN/A9,2678,474380,271243,566
2010-04-14$4.15$3.5033.6%15.1%35.8%7.5%55.1%-0.5%1.3%1.7M-71.0M-300.9K0.602.68N/AN/A18,73511,321381,027249,756
2010-04-15$4.20$3.5055.3%15.9%33.2%35.4%57.7%-2.5%-2.1%1.6M-74.6M-296.5K0.192.99N/AN/A18,3063,498390,311252,057
2010-04-16$4.08$3.5053.4%15.3%31.4%33.0%54.5%-4.2%1.2%1.9M-67.5M-305.7K0.493.47N/AN/A10,2544,983397,797251,385
2010-04-19$4.19$3.5052.3%15.0%31.9%31.5%53.7%-1.5%-0.9%1.4M-64.6M-290.3K0.392.95N/AN/A13,2555,129363,515233,282
2010-04-20$4.17$3.5051.1%14.6%31.4%29.9%52.9%-1.5%-0.6%1.4M-64.1M-288.3K0.742.66N/AN/A4,7583,521369,559236,178
2010-04-21$4.10$3.5047.5%13.6%30.8%25.3%47.7%-4.3%0.8%1.4M-57.2M-277.7K0.583.73N/AN/A9,1505,277370,895238,617
2010-04-22$4.19$3.5053.5%15.3%30.2%33.0%57.3%-6.3%-1.3%1.4M-67.1M-288.3K0.373.44N/AN/A45,10616,695371,854241,718
2010-04-23$4.32$3.5054.5%15.6%26.1%34.4%57.5%-4.9%0.8%1.5M-82.2M-323.9K0.294.09N/AN/A24,2317,040401,116255,697
2010-04-26$4.23$3.5055.7%16.0%27.9%35.9%61.7%-8.8%0.6%1.5M-76.5M-327.7K0.183.10N/AN/A29,9715,471411,719263,655
2010-04-27$4.09$3.5060.2%17.3%31.1%41.6%64.7%-3.1%-1.7%1.4M-63.1M-344.8K0.674.58N/AN/A27,28818,259422,033258,851
2010-04-28$4.26$3.5050.4%14.4%33.7%29.1%53.8%-7.1%3.2%1.7M-81.2M-320.3K0.263.53N/AN/A21,3355,464423,744270,917
2010-04-29$4.39$3.5052.3%15.0%34.5%31.5%52.5%-0.3%-0.1%1.7M-91.2M-313.6K0.333.08N/AN/A31,35510,468421,116266,325
2010-04-30$4.25$3.5051.0%14.6%36.5%29.8%50.8%-1.3%1.9%1.6M-77.9M-323.0K0.126.16N/AN/A15,9191,954426,821268,934