S Options History — August 2010

In August 2010, S traded between $3.90 and $4.68. ATM implied volatility averaged 50.0%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 5.4% (HV 20d: 44.6%). 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 21 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2010-08-03: Highest Volume — 38,185 contracts
  • 2010-08-11: Largest IV spike — 26.9% change
  • 2010-08-11: Highest IV Rank — 47.2%
  • 2010-08-11: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.32$3.90$4.68$4.68$4.06
Max Pain$4.73$4.00$5.00$5.00$4.00
ATM IV50.0%43.9%60.4%44.1%48.3%
Expected Move14.1%12.7%15.2%12.7%13.9%
HV 20d44.6%37.9%50.3%48.7%40.8%
HV 60d54.0%45.1%63.0%63.0%45.8%
IV Rank32.2%23.4%47.2%23.7%29.8%
IV Percentile23.2%9.5%59.1%9.5%17.1%
Term Structure3.7%-1.5%7.2%2.8%3.2%
VWIV48.8%44.7%54.0%44.7%48.5%
Skew 25d1.3%-6.2%7.0%6.8%-1.8%
Skew 10d-1.7%-17.7%25.1%-1.9%0.5%
Call IV 25d50.6%40.9%58.2%46.0%56.6%
Put IV 25d51.9%47.9%55.4%52.8%54.8%
Bid-Ask Spread %6.093.4525.683.455.86
Gamma HHI0.490.380.630.630.40
Net GEX825.2K177.9K1.6M1.6M224.6K
Net DEX-34.4M-60.2M-14.9M-60.2M-21.4M
Net VEX-409.0K-468.1K-351.4K-461.3K-369.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.031.800.310.40
Total Volume17,718.3184,31538,18520,0199,045
Total OI627,967.909431,255709,910675,850494,911

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$4.68$5.0044.1%12.7%48.7%23.7%44.7%6.8%2.8%1.6M-60.2M-461.3K0.313.45N/AN/A15,2814,738449,714226,136
2010-08-03$4.54$5.0049.5%14.2%50.3%31.5%49.7%2.1%-1.5%1.3M-48.2M-459.1K0.554.77N/AN/A24,62113,564458,055228,534
2010-08-04$4.59$5.0046.7%13.4%49.5%27.5%47.0%5.6%2.0%1.5M-53.7M-468.1K0.543.45N/AN/A5,1332,748470,184237,824
2010-08-05$4.52$5.0048.4%13.9%48.6%30.0%48.2%5.3%0.8%1.3M-47.5M-456.2K1.803.65N/AN/A2,6204,729464,444237,666
2010-08-06$4.45$5.0057.4%14.3%47.6%42.9%46.5%3.2%5.2%1.1M-40.1M-443.9K0.1425.68N/AN/A11,5381,564464,489237,800
2010-08-09$4.58$5.0043.9%12.8%45.3%23.4%45.7%2.4%5.8%1.5M-48.6M-439.2K0.626.21N/AN/A9,9596,191462,489236,289
2010-08-10$4.57$5.0047.6%12.8%44.9%28.8%45.0%7.0%6.2%1.5M-48.0M-445.6K0.215.55N/AN/A4,9401,017467,270241,344
2010-08-11$4.49$5.0060.4%15.2%45.2%47.2%48.5%4.1%2.7%1.1M-40.2M-437.0K0.505.10N/AN/A7,6283,818468,896241,014
2010-08-12$4.48$5.0053.1%15.2%44.5%36.7%50.3%3.0%3.6%1.2M-41.1M-439.8K0.216.76N/AN/A11,4082,443469,860239,763
2010-08-13$4.48$5.0050.8%14.6%43.3%33.4%50.8%-0.2%4.8%1.1M-40.2M-436.1K0.036.42N/AN/A22,241724466,100240,978
2010-08-16$4.30$5.0048.9%14.0%45.2%30.7%50.2%-0.5%7.2%368.1K-25.2M-391.6K0.086.04N/AN/A31,9832,435461,595241,263
2010-08-17$4.49$5.0049.4%14.2%47.6%31.4%46.9%2.3%5.4%1.0M-38.4M-410.6K0.095.27N/AN/A14,1961,315461,601241,531
2010-08-18$4.47$5.0048.8%14.0%46.8%30.4%45.8%2.6%6.0%906.9K-37.6M-406.2K0.234.26N/AN/A3,499816461,604241,615
2010-08-19$4.25$5.0051.3%14.7%49.3%34.2%51.6%1.4%3.5%477.1K-26.2M-378.8K0.185.55N/AN/A19,0333,411456,424241,828
2010-08-20$4.19$5.0049.8%14.3%49.3%32.0%54.0%4.7%5.9%377.9K-22.5M-377.0K0.665.22N/AN/A10,5076,892457,626243,158
2010-08-23$4.09$5.0048.5%13.9%39.6%30.1%48.7%-2.7%4.7%385.2K-23.4M-358.9K1.375.14N/AN/A9,94113,646293,027138,228
2010-08-24$3.95$4.0050.5%14.5%38.7%32.9%50.4%-6.2%2.3%195.6K-16.8M-351.4K0.625.64N/AN/A13,2328,187299,177150,795
2010-08-25$3.96$4.0051.4%14.7%38.7%34.3%51.5%-1.2%2.5%188.2K-16.3M-357.0K0.214.93N/AN/A27,3785,691303,917157,243
2010-08-26$4.07$4.0048.3%13.8%40.8%29.7%48.5%-1.7%5.6%323.5K-25.1M-382.7K0.355.44N/AN/A19,6036,874320,762161,825
2010-08-27$4.00$4.0051.0%14.6%39.1%33.7%51.1%-3.5%1.1%260.8K-20.3M-372.8K0.353.70N/AN/A9,0843,158322,002166,468
2010-08-30$3.90$4.0051.2%14.7%37.9%34.0%51.3%-4.3%1.7%177.9K-14.9M-354.8K0.605.84N/AN/A8,1084,864321,667168,178
2010-08-31$4.06$4.0048.3%13.9%40.8%29.8%48.5%-1.8%3.2%224.6K-21.4M-369.2K0.405.86N/AN/A6,4422,603323,483171,428