S Options History — October 2010

In October 2010, S traded between $4.13 and $4.85. ATM implied volatility averaged 45.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 12.7% (HV 20d: 33.1%). 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 8 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2010-10-27: Highest Volume — 257,595 contracts
  • 2010-10-12: Largest IV spike — 56.1% change
  • 2010-10-26: Highest IV Rank — 41.0%
  • 2010-10-26: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.57$4.13$4.85$4.72$4.13
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV45.8%31.3%56.2%45.8%37.1%
Expected Move14.0%10.6%15.7%13.1%10.6%
HV 20d33.1%25.1%46.3%30.3%45.5%
HV 60d39.1%35.1%41.6%41.6%40.9%
IV Rank23.8%0.0%41.0%19.6%12.0%
IV Percentile23.9%0.0%55.6%16.7%2.8%
Term Structure-0.1%-6.0%6.9%6.9%5.4%
VWIV48.9%37.1%54.7%45.5%37.1%
Skew 25d-4.3%-19.5%8.3%8.3%-19.5%
Skew 10d-7.8%-33.8%17.4%17.4%-31.0%
Call IV 25d52.4%44.0%57.6%44.0%53.1%
Put IV 25d48.1%33.6%55.8%52.3%33.6%
Bid-Ask Spread %20.743.4461.155.7251.31
Gamma HHI0.520.400.590.530.40
Net GEX2.6M1.5M3.7M2.8M1.5M
Net DEX-83.6M-108.5M-48.5M-105.2M-48.5M
Net VEX-572.6K-618.3K-502.0K-618.3K-585.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.063.610.060.20
Total Volume37,604.9526,432257,59521,157104,256
Total OI808,779751,3371,021,870769,3471,021,870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$4.72$4.0045.8%13.1%30.3%19.6%45.5%8.3%6.9%2.8M-105.2M-618.3K0.065.72N/AN/A20,0021,155583,345186,002
2010-10-04$4.60$4.0048.8%15.5%32.1%24.3%54.4%-2.5%-0.1%2.6M-95.9M-601.2K1.164.73N/AN/A3,0873,570590,671186,105
2010-10-05$4.66$4.0052.7%15.4%32.1%30.5%53.5%-1.3%-0.5%2.8M-97.7M-601.3K0.273.52N/AN/A5,0641,368590,669184,841
2010-10-06$4.65$4.0056.2%15.1%32.1%36.0%52.5%-2.2%1.6%2.7M-97.8M-597.1K0.143.64N/AN/A19,2562,779592,026185,564
2010-10-07$4.54$4.0045.8%14.4%33.5%19.6%49.6%-4.2%1.1%2.7M-84.3M-562.3K0.563.44N/AN/A11,3106,321606,344188,078
2010-10-08$4.48$4.0032.8%13.9%33.6%0.0%50.2%-3.4%3.9%2.4M-76.3M-570.4K0.224.46N/AN/A9,9562,216612,614193,712
2010-10-11$4.45$4.0031.3%13.8%33.1%0.0%50.3%-4.3%2.3%2.0M-71.2M-543.2K0.425.59N/AN/A9,2343,890613,599195,249
2010-10-12$4.59$4.0048.8%14.7%34.9%30.7%50.8%-3.1%-1.0%2.7M-86.8M-566.8K0.625.53N/AN/A26,59716,457619,505197,073
2010-10-13$4.63$4.0033.7%14.9%35.0%4.2%51.3%-4.8%-1.8%3.0M-89.9M-593.2K0.3121.19N/AN/A7,1502,249621,656211,652
2010-10-14$4.56$4.0051.5%14.8%34.3%35.3%49.6%-4.6%-1.9%2.3M-80.4M-565.8K0.295.90N/AN/A7,8622,255614,448208,263
2010-10-15$4.59$4.0049.9%14.3%34.2%32.5%48.9%-5.9%-1.8%2.4M-81.0M-561.4K0.4814.77N/AN/A13,3466,410613,461209,781
2010-10-18$4.57$4.0046.8%13.4%30.8%27.1%46.6%-3.2%0.3%2.4M-76.8M-557.3K1.3017.18N/AN/A6,0367,857568,191197,772
2010-10-19$4.57$4.0050.8%14.6%30.5%34.1%50.3%-2.5%-2.1%2.4M-74.8M-552.8K3.6117.12N/AN/A4,61916,656566,159199,348
2010-10-20$4.61$4.0050.0%14.3%25.1%32.8%49.6%-4.9%-4.0%2.6M-79.1M-547.4K0.1712.93N/AN/A25,3314,213565,663185,674
2010-10-21$4.76$4.0048.3%13.8%27.1%29.7%48.3%-3.2%-2.7%3.2M-98.4M-579.2K0.3620.86N/AN/A10,2263,698575,343188,234
2010-10-22$4.85$4.0044.5%12.8%27.1%23.2%44.5%-0.1%-1.8%3.7M-108.5M-585.2K0.1528.07N/AN/A23,8213,601579,723188,297
2010-10-25$4.75$4.0049.3%14.1%26.3%31.5%49.4%-1.0%-2.4%3.2M-95.7M-566.8K0.3549.61N/AN/A10,3653,652575,411190,868
2010-10-26$4.77$4.0054.7%15.7%26.3%41.0%54.7%-1.8%-6.0%3.3M-103.4M-573.6K0.1646.85N/AN/A56,8458,931592,970191,910
2010-10-27$4.30$4.0043.8%12.6%45.8%21.9%50.5%-11.9%-1.4%2.0M-52.2M-502.0K0.1961.15N/AN/A215,80341,792613,748190,014
2010-10-28$4.19$4.0039.1%11.2%46.3%13.7%39.0%-14.4%3.4%1.7M-51.5M-593.6K0.1651.88N/AN/A52,3168,152766,191222,315
2010-10-29$4.13$4.0037.1%10.6%45.5%12.0%37.1%-19.5%5.4%1.5M-48.5M-585.9K0.2051.31N/AN/A86,88717,369802,561219,309