S Options History — May 2010

In May 2010, S traded between $3.84 and $5.29. ATM implied volatility averaged 62.7%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 3.6% (HV 20d: 59.1%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-05-13: Highest Volume — 97,483 contracts
  • 2010-05-20: Largest IV spike — 15.2% change
  • 2010-05-21: Highest IV Rank — 68.6%
  • 2010-05-21: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.48$3.84$5.29$4.31$5.13
Max Pain$3.98$3.50$4.00$3.50$4.00
ATM IV62.7%54.3%75.2%56.4%57.5%
Expected Move18.0%16.1%21.6%16.2%16.5%
HV 20d59.1%36.6%82.0%36.6%81.0%
HV 60d47.8%43.9%56.8%43.9%56.8%
IV Rank50.3%36.7%68.6%36.7%43.0%
IV Percentile54.6%28.6%91.3%35.7%38.5%
Term Structure-0.4%-4.6%4.6%-3.8%4.6%
VWIV63.8%56.6%75.1%56.6%58.4%
Skew 25d-0.8%-7.5%8.8%-2.5%5.3%
Skew 10d2.4%-13.7%14.2%12.2%7.3%
Call IV 25d66.5%59.6%75.3%60.3%60.6%
Put IV 25d65.8%57.0%76.9%57.9%65.9%
Bid-Ask Spread %8.383.1250.024.914.85
Gamma HHI0.500.380.810.400.55
Net GEX1.4M620.6K1.9M1.7M1.4M
Net DEX-80.6M-127.1M-33.9M-80.9M-82.0M
Net VEX-319.7K-349.1K-296.1K-312.1K-349.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.182.451.930.57
Total Volume33,468.059,19797,48325,72718,891
Total OI673,689.5415,231826,795690,225457,179

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$4.31$3.5056.4%16.2%36.6%36.7%56.6%-2.5%-3.8%1.7M-80.9M-312.1K1.934.91N/AN/A8,78416,943422,291267,934
2010-05-04$4.10$4.0058.4%16.7%41.3%44.3%58.3%2.1%-3.0%1.3M-60.3M-317.7K0.343.69N/AN/A10,0193,380419,208277,787
2010-05-05$4.18$4.0057.8%16.6%41.7%43.4%58.1%-3.1%-1.4%1.4M-68.0M-313.9K0.185.05N/AN/A7,8041,393419,644278,023
2010-05-06$4.16$4.0058.6%16.8%40.6%44.7%58.8%-3.7%1.6%1.4M-66.6M-308.4K0.3850.02N/AN/A17,6416,737421,324278,270
2010-05-07$3.84$4.0067.1%19.3%49.8%56.9%69.4%-7.5%0.1%829.1K-33.9M-308.7K0.835.39N/AN/A14,34711,931426,461281,669
2010-05-10$4.04$4.0059.9%17.0%52.3%46.5%59.5%-6.4%3.2%1.3M-53.7M-298.3K2.4536.50N/AN/A7,90619,373429,097286,743
2010-05-11$4.13$4.0054.3%16.8%53.0%38.5%59.0%-5.2%3.3%1.6M-65.3M-296.1K0.555.94N/AN/A11,4876,372430,456287,770
2010-05-12$4.15$4.0056.6%16.1%53.0%41.7%58.2%-4.1%3.4%1.7M-67.3M-296.2K1.574.84N/AN/A6,86110,739435,506293,235
2010-05-13$4.46$4.0063.0%18.0%58.8%50.9%64.5%-5.6%-2.4%1.7M-98.3M-300.6K0.463.52N/AN/A66,72630,757434,662299,222
2010-05-14$4.36$4.0064.5%18.5%58.4%53.1%67.2%-4.9%-0.6%1.7M-90.1M-339.8K0.464.92N/AN/A14,7396,762475,941325,964
2010-05-17$4.49$4.0063.2%18.1%58.5%51.3%66.7%-6.0%0.8%1.8M-106.3M-323.3K1.744.46N/AN/A7,59213,202480,478326,504
2010-05-18$4.70$4.0067.5%19.3%60.3%57.4%68.4%-1.9%-4.6%1.9M-127.1M-320.6K0.204.44N/AN/A39,4347,934480,444328,405
2010-05-19$4.58$4.0065.1%18.7%60.8%54.0%65.6%0.1%-1.8%1.9M-116.1M-336.3K0.234.87N/AN/A20,3544,660491,767330,120
2010-05-20$4.32$4.0075.0%21.5%64.5%68.3%75.1%1.1%-3.5%1.7M-91.2M-327.8K0.254.93N/AN/A14,0313,550493,659330,799
2010-05-21$4.41$4.0075.2%21.6%64.0%68.6%73.8%4.8%-2.7%620.6K-103.5M-315.1K0.503.40N/AN/A22,18611,036495,314331,481
2010-05-24$4.79$4.0068.2%19.5%69.6%58.4%72.0%4.5%-3.8%898.4K-59.8M-321.2K0.583.12N/AN/A35,32820,440273,472141,759
2010-05-25$5.29$4.0063.3%18.1%75.3%51.4%63.4%8.8%2.0%1.1M-87.2M-330.6K0.205.74N/AN/A56,66711,467282,390143,130
2010-05-26$4.91$4.0065.2%18.7%80.6%54.2%66.4%4.5%-2.0%1.1M-68.9M-334.5K0.193.42N/AN/A56,35910,724296,376146,211
2010-05-27$5.19$4.0057.1%16.4%82.0%42.5%57.0%4.0%2.7%1.5M-85.9M-344.3K0.313.62N/AN/A26,4718,334305,314147,781
2010-05-28$5.13$4.0057.5%16.5%81.0%43.0%58.4%5.3%4.6%1.4M-82.0M-349.1K0.574.85N/AN/A12,0426,849306,893150,286