S Options History — November 2010

In November 2010, S traded between $3.72 and $4.14. ATM implied volatility averaged 47.2%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 3.5% (HV 20d: 43.7%). 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 15 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2010-11-03: Highest Volume — 125,135 contracts
2010-11-11: Largest IV spike — 15.9% change
2010-11-30: Highest IV Rank — 63.1%
2010-11-30: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.95	$3.72	$4.14	$4.14	$3.78
Max Pain	$4.00	$4.00	$4.00	$4.00	$4.00
ATM IV	47.2%	38.4%	61.9%	39.4%	61.9%
Expected Move	13.8%	11.0%	17.7%	11.3%	17.7%
HV 20d	43.7%	35.3%	48.8%	45.0%	37.2%
HV 60d	39.3%	37.6%	40.8%	40.8%	38.3%
IV Rank	32.8%	14.7%	63.1%	16.8%	63.1%
IV Percentile	30.4%	4.0%	84.1%	4.4%	84.1%
Term Structure	1.6%	-9.4%	8.6%	2.0%	-9.4%
VWIV	48.5%	38.5%	61.9%	40.5%	61.9%
Skew 25d	-10.9%	-24.7%	-0.4%	-20.4%	-22.1%
Skew 10d	-18.2%	-38.9%	2.1%	-32.5%	-35.8%
Call IV 25d	56.7%	42.2%	66.9%	56.7%	66.9%
Put IV 25d	45.8%	32.8%	54.1%	36.3%	44.8%
Bid-Ask Spread %	21.95	11.14	84.22	37.08	11.76
Gamma HHI	0.46	0.37	0.63	0.40	0.52
Net GEX	1.5M	885.7K	2.1M	1.6M	1.9M
Net DEX	-37.2M	-56.9M	-2.6M	-56.9M	-27.1M
Net VEX	-661.1K	-744.1K	-568.7K	-680.9K	-587.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.09	1.00	0.18	0.12
Total Volume	35,771.19	14,427	125,135	35,768	46,769
Total OI	1,206,501.333	1,073,951	1,325,124	1,075,688	1,155,706

Daily Data (21 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
2010-11-01	$4.14	$4.00	39.4%	11.3%	45.0%	16.8%	40.5%	-20.4%	2.0%	1.6M	-56.9M	-680.9K	0.18	37.08	N/A	N/A	30,413	5,355	840,822	234,866
2010-11-02	$4.10	$4.00	38.4%	11.0%	44.5%	14.7%	38.5%	-23.5%	5.4%	1.5M	-52.7M	-685.6K	0.56	27.86	N/A	N/A	37,754	21,148	856,580	238,497
2010-11-03	$4.07	$4.00	40.3%	11.6%	44.5%	18.6%	40.1%	-24.4%	4.6%	1.3M	-42.2M	-660.6K	0.42	42.06	N/A	N/A	88,211	36,924	880,654	254,264
2010-11-04	$4.09	$4.00	42.3%	12.1%	44.2%	22.8%	42.4%	-24.7%	3.1%	1.8M	-55.0M	-737.7K	0.20	13.82	N/A	N/A	28,283	5,768	938,761	279,968
2010-11-05	$3.99	$4.00	44.8%	14.3%	44.7%	28.0%	49.9%	-5.7%	0.6%	1.5M	-40.3M	-692.0K	1.00	19.92	N/A	N/A	20,585	20,536	952,051	282,946
2010-11-08	$4.00	$4.00	44.9%	14.7%	44.8%	28.2%	51.2%	-8.1%	-0.2%	1.4M	-43.0M	-699.1K	0.92	18.81	N/A	N/A	7,522	6,905	958,498	297,722
2010-11-09	$4.03	$4.00	47.5%	14.5%	43.0%	33.4%	51.1%	-8.6%	-0.7%	1.6M	-48.6M	-725.4K	0.39	20.13	N/A	N/A	10,620	4,149	960,835	301,900
2010-11-10	$3.94	$4.00	45.0%	14.8%	42.9%	28.4%	50.5%	-11.5%	1.1%	1.2M	-37.7M	-696.0K	0.47	23.33	N/A	N/A	15,100	7,151	967,738	304,203
2010-11-11	$4.00	$4.00	52.2%	15.0%	43.6%	43.2%	52.2%	-6.2%	1.6%	1.3M	-46.0M	-719.9K	0.31	19.39	N/A	N/A	36,870	11,277	973,365	308,801
2010-11-12	$4.03	$4.00	51.1%	14.7%	43.6%	40.9%	51.6%	-6.1%	2.6%	1.5M	-54.0M	-744.1K	0.57	11.43	N/A	N/A	13,128	7,454	997,529	310,714
2010-11-15	$3.83	$4.00	53.0%	15.2%	46.4%	44.8%	52.3%	-9.5%	-0.2%	885.7K	-16.7M	-643.0K	0.53	12.67	N/A	N/A	20,333	10,840	975,541	313,597
2010-11-16	$3.74	$4.00	50.0%	14.3%	46.6%	38.7%	52.9%	-10.6%	3.2%	918.9K	-4.2M	-608.3K	0.56	15.75	N/A	N/A	19,928	11,132	985,773	319,341
2010-11-17	$3.72	$4.00	49.0%	14.1%	46.1%	36.6%	52.0%	-5.0%	4.8%	897.5K	-2.6M	-607.9K	0.28	14.12	N/A	N/A	22,324	6,363	990,454	322,274
2010-11-18	$3.86	$4.00	47.0%	13.5%	46.7%	32.4%	46.9%	-5.1%	3.6%	970.4K	-17.0M	-651.8K	0.72	16.96	N/A	N/A	14,281	10,319	999,418	321,345
2010-11-19	$4.01	$4.00	45.5%	13.0%	48.8%	29.4%	45.6%	-3.4%	3.5%	2.0M	-41.9M	-645.6K	0.39	13.56	N/A	N/A	28,525	11,224	1,001,029	324,095
2010-11-22	$3.92	$4.00	42.0%	12.0%	48.8%	22.1%	41.7%	-0.4%	8.6%	2.0M	-45.7M	-660.8K	0.61	21.85	N/A	N/A	13,849	8,508	840,612	233,339
2010-11-23	$3.85	$4.00	43.3%	12.4%	48.6%	24.7%	43.3%	-7.7%	3.8%	1.5M	-24.7M	-568.7K	0.33	12.62	N/A	N/A	11,342	3,747	847,279	240,496
2010-11-24	$3.97	$4.00	45.0%	12.9%	36.4%	28.3%	45.0%	-5.3%	1.6%	2.0M	-42.5M	-631.1K	0.11	12.38	N/A	N/A	22,447	2,401	852,973	243,246
2010-11-26	$3.93	$4.00	50.9%	14.6%	35.6%	40.5%	50.9%	-10.8%	-1.7%	2.0M	-40.7M	-620.5K	0.09	84.22	N/A	N/A	18,107	1,683	863,358	242,784
2010-11-29	$3.92	$4.00	57.2%	16.4%	35.3%	53.5%	57.2%	-9.8%	-3.6%	2.1M	-42.2M	-615.7K	0.32	11.14	N/A	N/A	39,198	12,722	879,119	244,035
2010-11-30	$3.78	$4.00	61.9%	17.7%	37.2%	63.1%	61.9%	-22.1%	-9.4%	1.9M	-27.1M	-587.8K	0.12	11.76	N/A	N/A	41,716	5,053	899,979	255,727