S Options History — July 2010

In July 2010, S traded between $4.14 and $5.05. ATM implied volatility averaged 50.5%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 1.7% (HV 20d: 48.8%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2010-07-26: Highest Volume — 118,953 contracts
  • 2010-07-13: Largest IV spike — 79.1% change
  • 2010-07-13: Highest IV Rank — 47.3%
  • 2010-07-06: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.56$4.14$5.05$4.18$4.57
Max Pain$4.10$4.00$5.00$4.00$5.00
ATM IV50.5%33.7%60.4%57.7%47.6%
Expected Move15.6%12.0%18.2%16.5%13.6%
HV 20d48.8%45.5%51.9%47.6%48.4%
HV 60d62.0%60.9%63.2%61.3%62.8%
IV Rank32.9%8.7%47.3%43.3%28.7%
IV Percentile23.1%1.2%53.6%41.7%14.3%
Term Structure2.1%-3.5%10.6%7.9%1.1%
VWIV54.9%42.0%64.4%57.5%47.7%
Skew 25d3.1%-5.7%31.1%-5.7%4.3%
Skew 10d6.2%-11.5%89.9%-10.1%-11.5%
Call IV 25d56.7%45.6%68.2%61.7%47.7%
Put IV 25d59.8%48.8%90.8%56.0%52.0%
Bid-Ask Spread %5.083.399.365.539.36
Gamma HHI0.580.500.690.540.59
Net GEX1.2M661.8K2.2M736.6K1.3M
Net DEX-64.3M-100.3M-40.8M-41.6M-50.6M
Net VEX-462.7K-491.3K-433.9K-433.9K-469.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.082.270.151.25
Total Volume29,481.3339,060118,95329,48030,763
Total OI607,085.81546,901674,810572,360674,810

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$4.18$4.0057.7%16.5%47.6%43.3%57.5%-5.7%7.9%736.6K-41.6M-433.9K0.155.53N/AN/A25,6483,832396,255176,105
2010-07-02$4.16$4.0053.5%15.3%46.6%37.3%53.1%31.1%10.6%702.3K-42.5M-450.1K0.256.78N/AN/A10,9682,750409,109177,558
2010-07-06$4.14$4.0054.6%18.2%46.1%38.8%64.4%-3.8%3.3%661.8K-40.8M-444.9K0.766.02N/AN/A6,5754,975415,675177,828
2010-07-07$4.26$4.0051.0%17.4%47.5%33.6%62.6%-2.3%3.7%788.9K-47.2M-450.0K0.084.49N/AN/A25,6942,165414,234180,339
2010-07-08$4.41$4.0042.8%17.0%49.3%21.9%59.6%-1.5%3.4%1.1M-58.1M-463.1K0.525.19N/AN/A13,4096,918425,049181,390
2010-07-09$4.28$4.0046.2%17.2%49.1%26.7%61.5%-2.4%2.5%729.4K-47.8M-448.5K0.204.30N/AN/A15,5753,117424,123184,604
2010-07-12$4.50$4.0033.7%16.9%51.6%8.7%58.9%-1.7%3.1%902.6K-61.0M-455.7K0.195.57N/AN/A7,9641,501424,773186,021
2010-07-13$4.58$4.0060.4%16.5%51.9%47.3%57.8%-0.8%1.1%1.1M-66.2M-464.4K0.185.16N/AN/A18,1013,232425,827188,496
2010-07-14$4.61$4.0049.9%16.7%51.2%32.0%59.0%1.4%0.6%976.7K-66.6M-463.7K0.265.36N/AN/A16,4344,219427,274188,372
2010-07-15$4.70$4.0056.6%16.2%51.2%41.7%57.1%1.7%0.3%1.1M-73.7M-472.9K0.244.35N/AN/A8,2351,967438,928191,409
2010-07-16$4.56$4.0057.7%16.6%51.1%43.4%58.7%0.1%0.6%977.4K-64.6M-459.3K0.265.61N/AN/A7,1911,869432,182190,752
2010-07-19$4.62$4.0051.9%14.9%51.2%35.0%52.2%5.7%0.1%1.1M-63.4M-454.0K0.104.04N/AN/A31,5353,240375,470171,431
2010-07-20$4.71$4.0050.7%14.5%51.0%33.2%51.4%4.5%0.8%1.4M-72.6M-468.6K0.173.98N/AN/A12,8502,176402,603173,008
2010-07-21$4.59$4.0053.1%15.2%49.6%36.7%54.4%2.6%-0.2%1.3M-64.6M-454.5K0.955.59N/AN/A6,7916,450403,050173,891
2010-07-22$4.67$4.0049.9%14.3%47.4%32.0%51.5%5.1%-0.1%1.4M-68.7M-464.0K0.174.02N/AN/A22,0293,830403,490179,849
2010-07-23$4.69$4.0052.7%15.1%45.7%36.1%53.1%2.4%-2.3%1.5M-72.8M-474.5K1.193.39N/AN/A4,8655,801413,700180,112
2010-07-26$5.05$4.0049.4%14.2%48.9%31.4%49.5%8.0%-0.9%1.8M-100.3M-482.4K0.465.07N/AN/A81,34737,606415,510182,361
2010-07-27$4.83$4.0056.9%16.3%48.5%42.2%59.3%6.1%-3.5%1.8M-86.8M-491.3K0.634.00N/AN/A43,00326,986441,347192,644
2010-07-28$4.84$4.0041.9%12.0%45.5%20.5%42.0%7.1%5.2%2.2M-86.0M-471.7K0.744.64N/AN/A37,20827,558445,539202,511
2010-07-29$4.76$5.0042.2%12.1%45.9%21.0%42.2%3.1%6.1%2.0M-74.0M-479.8K2.274.23N/AN/A13,07029,661453,976207,197
2010-07-30$4.57$5.0047.6%13.6%48.4%28.7%47.7%4.3%1.1%1.3M-50.6M-469.4K1.259.36N/AN/A13,67217,091451,812222,998