S Options History — September 2010

In September 2010, S traded between $4.14 and $4.63. ATM implied volatility averaged 43.2%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 3.6% (HV 20d: 39.6%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2010-09-20: Highest Volume — 219,690 contracts
  • 2010-09-30: Largest IV spike — 25.3% change
  • 2010-09-02: Highest IV Rank — 31.8%
  • 2010-09-07: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.47$4.14$4.63$4.14$4.63
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV43.2%36.6%49.7%47.6%49.7%
Expected Move12.7%10.5%14.3%13.6%14.3%
HV 20d39.6%33.6%45.1%41.4%33.6%
HV 60d44.4%41.9%47.0%45.9%42.0%
IV Rank16.5%5.3%31.8%28.7%25.8%
IV Percentile9.5%1.2%29.4%15.1%29.4%
Term Structure4.1%-0.6%8.6%1.9%3.5%
VWIV46.3%40.7%57.7%47.4%49.8%
Skew 25d3.0%-4.1%10.6%-3.6%-1.2%
Skew 10d11.8%-4.9%23.4%-0.2%7.0%
Call IV 25d43.8%37.1%55.8%55.8%49.5%
Put IV 25d46.8%41.9%52.2%52.2%48.4%
Bid-Ask Spread %5.343.4112.755.714.53
Gamma HHI0.470.400.530.400.49
Net GEX1.2M263.2K2.3M263.2K2.3M
Net DEX-55.9M-92.9M-25.1M-25.1M-92.9M
Net VEX-466.4K-609.6K-378.0K-378.0K-609.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.034.020.320.05
Total Volume23,826.0483,178219,6908,59232,950
Total OI600,070.81494,824750,350498,675750,350

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$4.14$4.0047.6%13.6%41.4%28.7%47.4%-3.6%1.9%263.2K-25.1M-378.0K0.325.71N/AN/A6,5002,092325,580173,095
2010-09-02$4.34$4.0049.7%14.2%45.1%31.8%44.8%-4.1%-0.6%523.0K-38.1M-396.9K0.424.56N/AN/A8,7703,649326,420174,129
2010-09-03$4.34$4.0041.6%13.6%44.8%20.0%45.7%3.9%4.1%419.3K-38.8M-389.5K4.025.13N/AN/A7,87631,700327,916174,098
2010-09-07$4.40$4.0039.5%14.3%43.8%9.8%48.3%3.8%1.8%394.9K-38.7M-408.4K0.866.50N/AN/A13,30511,495328,641200,987
2010-09-08$4.39$4.0040.8%13.7%43.8%11.8%47.0%1.3%3.5%667.8K-41.6M-405.1K2.224.69N/AN/A2,4595,462338,863179,235
2010-09-09$4.40$4.0047.4%13.6%43.4%22.1%45.7%5.4%3.2%661.0K-40.9M-402.3K0.925.33N/AN/A12,04711,123339,052183,116
2010-09-10$4.45$4.0046.5%13.3%43.6%20.8%44.2%3.5%3.5%740.5K-43.2M-418.6K0.544.83N/AN/A2,0691,109348,640193,308
2010-09-13$4.53$4.0040.7%11.7%44.1%11.6%43.4%4.6%6.8%816.2K-47.9M-410.6K0.814.29N/AN/A3,6672,986348,729193,255
2010-09-14$4.56$4.0042.5%12.2%41.3%14.5%43.4%3.4%4.5%991.0K-51.6M-412.4K0.614.54N/AN/A5,0603,100349,820193,400
2010-09-15$4.58$4.0040.5%11.6%38.5%11.3%42.2%5.5%5.9%989.9K-53.3M-406.5K0.524.97N/AN/A2,2451,173352,091192,452
2010-09-16$4.47$4.0044.7%12.8%39.5%18.0%43.7%2.1%4.5%781.5K-45.6M-404.3K0.275.46N/AN/A5,4541,481352,881192,467
2010-09-17$4.44$4.0044.7%12.8%34.9%17.9%43.5%1.5%5.0%816.2K-43.6M-392.6K1.225.35N/AN/A3,8634,703355,924193,679
2010-09-20$4.63$4.0036.6%10.5%37.0%5.3%40.7%10.6%8.5%953.6K-51.6M-399.6K0.0312.75N/AN/A213,9815,709323,421171,403
2010-09-21$4.58$4.0040.1%11.5%35.9%10.7%44.1%4.1%5.0%2.1M-80.1M-583.8K0.975.93N/AN/A5,7525,578530,396173,739
2010-09-22$4.37$4.0044.4%12.7%37.9%17.4%44.8%1.5%1.9%1.7M-61.1M-542.6K0.685.68N/AN/A6,4424,412531,254177,319
2010-09-23$4.36$4.0048.0%13.7%38.0%23.0%47.3%0.4%-0.4%1.7M-61.1M-543.6K0.256.66N/AN/A5,1871,277533,820179,954
2010-09-24$4.44$4.0044.9%12.9%37.4%18.3%44.9%0.7%1.3%1.8M-67.9M-564.1K0.093.41N/AN/A8,092717535,762180,453
2010-09-27$4.59$4.0039.7%11.4%37.8%10.1%57.7%9.7%6.6%2.0M-84.5M-581.9K0.323.65N/AN/A10,9023,535539,484180,944
2010-09-28$4.60$4.0038.0%10.9%35.9%7.5%51.4%7.8%6.7%2.3M-81.1M-565.2K0.973.89N/AN/A2,8012,718545,253183,166
2010-09-29$4.60$4.0039.7%11.4%34.0%10.0%52.3%2.5%8.6%2.1M-84.3M-577.8K0.084.33N/AN/A34,1912,715542,761184,230
2010-09-30$4.63$4.0049.7%14.3%33.6%25.8%49.8%-1.2%3.5%2.3M-92.9M-609.6K0.054.53N/AN/A31,4411,509564,895185,455