S Options History — June 2010 In June 2010, S traded between $4.20 and $4.99. ATM implied volatility averaged 59.6%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 11.9% (HV 20d: 71.5%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.32.
Notable Days 2010-06-10 : Highest Volume — 67,932 contracts2010-06-28 : Largest IV spike — 13.7% change2010-06-08 : Highest IV Rank — 68.1%2010-06-09 : Largest Expected Move — 20.4%Monthly Statistics Metric Avg Min Max Open Close Price $4.62 $4.20 $4.99 $4.76 $4.24 Max Pain $4.36 $4.00 $5.00 $4.00 $4.00 ATM IV 59.6% 47.3% 74.9% 64.5% 54.5% Expected Move 17.0% 13.5% 20.4% 18.5% 15.6% HV 20d 71.5% 47.6% 86.4% 86.3% 47.6% HV 60d 58.8% 57.1% 61.2% 59.3% 61.2% IV Rank 46.1% 28.3% 68.1% 53.1% 38.7% IV Percentile 46.8% 12.7% 90.9% 61.5% 29.8% Term Structure 4.5% -1.4% 11.1% -1.0% 9.3% VWIV 60.0% 46.9% 71.7% 65.7% 54.5% Skew 25d 0.2% -10.2% 10.2% 9.3% -6.7% Skew 10d -1.1% -17.9% 41.8% 12.3% -10.4% Call IV 25d 61.8% 51.3% 73.4% 66.5% 60.8% Put IV 25d 62.0% 46.8% 75.8% 75.8% 54.1% Bid-Ask Spread % 4.31 2.97 7.04 3.54 4.91 Gamma HHI 0.63 0.55 0.84 0.56 0.55 Net GEX 1.5M 778.2K 3.5M 1.2M 792.1K Net DEX -59.2M -85.5M -33.8M -59.5M -43.0M Net VEX -376.9K -418.7K -333.9K -333.9K -418.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.32 0.06 0.97 0.28 0.45 Total Volume 29,547 9,024 67,932 32,330 26,607 Total OI 529,104.318 449,805 590,298 463,335 553,566
Daily Data (22 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 2010-06-01 $4.76 $4.00 64.5% 18.5% 86.3% 53.1% 65.7% 9.3% -1.0% 1.2M -59.5M -333.9K 0.28 3.54 N/A N/A 25,220 7,110 309,806 153,529 2010-06-02 $4.99 $4.00 63.3% 18.2% 85.0% 51.5% 62.9% 10.2% -1.4% 1.5M -73.8M -347.5K 0.11 4.03 N/A N/A 17,283 1,978 319,232 157,624 2010-06-03 $4.95 $4.00 62.9% 18.0% 85.1% 50.9% 63.1% 4.9% -0.2% 1.5M -73.9M -355.9K 0.30 3.67 N/A N/A 20,690 6,220 327,589 158,072 2010-06-04 $4.78 $5.00 67.5% 19.4% 86.4% 57.4% 68.2% 2.6% -0.2% 1.3M -65.0M -361.0K 0.22 5.56 N/A N/A 20,047 4,420 335,428 159,274 2010-06-07 $4.66 $5.00 70.5% 19.9% 81.1% 61.8% 70.0% 4.3% 1.4% 1.2M -58.0M -354.4K 0.10 4.77 N/A N/A 48,859 4,746 342,043 159,152 2010-06-08 $4.59 $5.00 74.9% 20.3% 80.0% 68.1% 71.7% 0.7% 0.1% 1.3M -57.5M -367.2K 0.35 4.17 N/A N/A 37,835 13,085 364,321 160,325 2010-06-09 $4.61 $5.00 72.2% 20.4% 79.8% 64.2% 71.2% 0.2% 1.0% 1.3M -59.3M -372.6K 0.06 3.98 N/A N/A 61,129 3,677 367,974 161,322 2010-06-10 $4.73 $5.00 63.1% 18.1% 80.2% 51.2% 62.8% 0.8% 4.3% 1.9M -68.0M -377.2K 0.97 3.97 N/A N/A 34,486 33,446 381,245 161,839 2010-06-11 $4.87 $5.00 61.7% 17.7% 76.9% 49.1% 62.1% -0.2% 5.4% 2.6M -82.7M -403.7K 0.28 4.02 N/A N/A 8,681 2,398 403,187 168,327 2010-06-14 $4.79 $5.00 61.7% 17.7% 76.6% 49.1% 63.6% -0.1% 4.8% 2.7M -76.6M -389.5K 0.18 4.19 N/A N/A 15,158 2,759 403,698 168,690 2010-06-15 $4.90 $5.00 57.7% 16.5% 76.4% 43.4% 59.3% 0.6% 6.7% 3.5M -85.5M -400.8K 0.40 3.22 N/A N/A 13,318 5,294 409,761 169,974 2010-06-16 $4.79 $4.00 58.6% 16.8% 75.3% 44.6% 59.2% 4.4% 5.2% 2.9M -74.9M -388.4K 0.42 3.08 N/A N/A 6,524 2,716 411,704 169,467 2010-06-17 $4.64 $4.00 59.3% 17.0% 75.6% 45.6% 59.3% -3.7% 3.2% 958.7K -59.3M -368.7K 0.83 3.86 N/A N/A 9,416 7,770 415,049 169,404 2010-06-18 $4.59 $4.00 55.3% 15.8% 72.5% 39.8% 57.0% -0.7% 5.9% 968.2K -55.9M -364.7K 0.39 4.72 N/A N/A 9,854 3,832 414,685 175,613 2010-06-21 $4.50 $4.00 53.0% 15.2% 72.6% 36.6% 52.0% 1.0% 6.1% 918.8K -45.8M -350.9K 0.28 4.57 N/A N/A 37,786 10,763 309,880 139,925 2010-06-22 $4.32 $4.00 50.9% 14.6% 67.3% 33.6% 53.8% -4.5% 9.9% 859.2K -39.9M -364.0K 0.19 2.97 N/A N/A 27,087 5,153 337,972 148,173 2010-06-23 $4.52 $4.00 51.3% 14.7% 58.3% 34.0% 51.8% -1.5% 4.4% 1.2M -52.6M -382.7K 0.19 4.16 N/A N/A 11,647 2,247 351,193 151,242 2010-06-24 $4.38 $4.00 49.8% 14.3% 53.5% 32.0% 53.0% -6.5% 10.6% 1.0M -44.4M -402.4K 0.74 4.45 N/A N/A 5,172 3,852 366,451 163,409 2010-06-25 $4.20 $4.00 47.3% 13.5% 49.8% 28.3% 46.9% -10.2% 11.1% 778.2K -33.8M -377.0K 0.09 5.76 N/A N/A 32,596 3,001 368,648 166,975 2010-06-28 $4.46 $4.00 53.7% 15.4% 55.8% 37.6% 53.7% 0.0% 6.4% 1.1M -48.8M -395.7K 0.08 4.16 N/A N/A 29,567 2,230 372,020 168,795 2010-06-29 $4.28 $4.00 58.5% 16.8% 51.4% 44.5% 58.8% -0.3% 5.7% 835.6K -43.8M -414.9K 0.21 7.04 N/A N/A 20,187 4,188 374,528 169,184 2010-06-30 $4.24 $4.00 54.5% 15.6% 47.6% 38.7% 54.5% -6.7% 9.3% 792.1K -43.0M -418.7K 0.45 4.91 N/A N/A 18,292 8,315 382,943 170,623
« May 2010 | All History | Jul 2010 » Home S History June 2010