S Options History — December 2010

In December 2010, S traded between $3.77 and $4.38. ATM implied volatility averaged 39.1%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 1.2% (HV 20d: 40.3%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.80.

Notable Days

2010-12-06: Highest Volume — 132,885 contracts
2010-12-08: Largest IV drop — 22.2% change
2010-12-01: Highest IV Rank — 49.0%
2010-12-01: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.17	$3.77	$4.38	$3.77	$4.23
Max Pain	$4.00	$4.00	$4.00	$4.00	$4.00
ATM IV	39.1%	27.9%	55.0%	55.0%	35.0%
Expected Move	12.1%	9.8%	15.8%	15.8%	10.0%
HV 20d	40.3%	35.5%	45.5%	37.2%	35.5%
HV 60d	40.0%	38.1%	41.4%	38.1%	39.7%
IV Rank	20.0%	0.0%	49.0%	49.0%	13.7%
IV Percentile	11.9%	0.0%	65.5%	65.5%	4.4%
Term Structure	4.9%	-5.0%	9.2%	-5.0%	8.3%
VWIV	43.8%	34.1%	54.7%	54.7%	35.0%
Skew 25d	-9.6%	-16.6%	1.6%	-5.5%	-13.7%
Skew 10d	-16.3%	-33.9%	3.1%	-3.9%	-24.5%
Call IV 25d	51.1%	43.7%	59.1%	51.5%	49.1%
Put IV 25d	41.5%	32.6%	48.1%	45.9%	35.4%
Bid-Ask Spread %	6.55	2.40	18.59	18.59	2.40
Gamma HHI	0.67	0.48	0.78	0.48	0.71
Net GEX	2.4M	1.4M	3.4M	1.8M	1.7M
Net DEX	-66.9M	-115.2M	-26.9M	-26.9M	-50.3M
Net VEX	-704.5K	-778.0K	-619.3K	-619.3K	-638.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.06	2.89	0.63	0.34
Total Volume	35,481.818	8,221	132,885	27,723	11,063
Total OI	1,239,417.727	1,179,156	1,306,452	1,186,826	1,239,805

Daily Data (22 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
2010-12-01	$3.77	$4.00	55.0%	15.8%	37.2%	49.0%	54.7%	-5.5%	-5.0%	1.8M	-26.9M	-619.3K	0.63	18.59	N/A	N/A	17,029	10,694	927,842	258,984
2010-12-02	$3.86	$4.00	49.3%	14.1%	38.4%	37.3%	49.3%	-13.2%	0.0%	2.1M	-37.2M	-639.3K	0.12	13.67	N/A	N/A	46,037	5,703	927,607	260,130
2010-12-03	$3.92	$4.00	45.3%	13.0%	38.9%	29.0%	45.3%	1.6%	0.5%	2.3M	-40.6M	-647.2K	0.06	12.80	N/A	N/A	31,874	2,013	927,842	251,314
2010-12-06	$4.17	$4.00	44.1%	13.8%	44.0%	26.4%	49.4%	-7.8%	4.2%	3.3M	-91.3M	-738.7K	0.28	7.02	N/A	N/A	103,450	29,435	938,339	258,435
2010-12-07	$4.21	$4.00	42.6%	13.6%	44.1%	23.4%	50.1%	-6.7%	3.6%	3.3M	-98.7M	-763.4K	0.45	3.37	N/A	N/A	80,477	36,215	949,180	271,305
2010-12-08	$4.12	$4.00	33.2%	12.7%	44.9%	3.9%	46.4%	-7.6%	4.6%	2.6M	-76.2M	-748.0K	2.01	3.97	N/A	N/A	13,773	27,696	958,372	298,292
2010-12-09	$4.15	$4.00	32.9%	12.7%	44.0%	3.2%	45.2%	-8.1%	4.0%	2.5M	-77.5M	-744.7K	0.20	4.49	N/A	N/A	43,289	8,449	946,467	314,279
2010-12-10	$4.22	$4.00	27.9%	12.6%	44.1%	0.0%	51.2%	-7.7%	4.2%	2.7M	-87.9M	-752.5K	0.42	4.29	N/A	N/A	31,727	13,172	943,893	321,030
2010-12-13	$4.37	$4.00	33.6%	13.3%	45.5%	10.9%	49.2%	-7.1%	3.1%	3.4M	-115.2M	-778.0K	0.21	5.74	N/A	N/A	37,362	7,836	947,415	324,578
2010-12-14	$4.38	$4.00	35.8%	13.0%	40.7%	15.2%	46.7%	-4.1%	2.5%	3.4M	-111.7M	-767.9K	2.03	5.89	N/A	N/A	14,874	30,157	949,114	324,606
2010-12-15	$4.23	$4.00	43.0%	12.3%	41.9%	29.1%	44.5%	-4.6%	5.8%	2.6M	-81.3M	-747.8K	0.20	5.25	N/A	N/A	20,087	4,108	952,226	351,250
2010-12-16	$4.17	$4.00	42.1%	12.1%	42.4%	27.4%	44.9%	-7.8%	5.4%	2.3M	-71.1M	-733.8K	0.52	5.80	N/A	N/A	8,105	4,229	947,451	353,709
2010-12-17	$4.16	$4.00	43.2%	12.4%	40.8%	29.6%	43.6%	-9.1%	5.8%	2.4M	-69.0M	-729.6K	0.80	4.83	N/A	N/A	12,449	9,898	949,857	356,595
2010-12-20	$4.27	$4.00	39.6%	11.4%	39.7%	22.6%	42.1%	-9.2%	5.0%	2.7M	-66.0M	-723.3K	0.95	4.15	N/A	N/A	11,523	10,961	877,559	309,894
2010-12-21	$4.31	$4.00	38.0%	10.9%	38.5%	19.4%	42.4%	-9.3%	8.2%	2.9M	-73.8M	-734.7K	1.17	5.77	N/A	N/A	7,744	9,070	908,074	313,800
2010-12-22	$4.21	$4.00	37.9%	10.9%	39.0%	19.2%	41.1%	-16.6%	7.9%	2.4M	-57.1M	-708.1K	2.89	6.91	N/A	N/A	4,481	12,935	909,112	316,295
2010-12-23	$4.19	$4.00	36.4%	10.5%	37.8%	16.5%	36.4%	-15.6%	7.7%	2.1M	-49.8M	-688.8K	1.25	6.68	N/A	N/A	3,653	4,568	909,968	324,210
2010-12-27	$4.27	$4.00	37.1%	10.7%	37.9%	17.8%	37.1%	-14.2%	7.1%	2.4M	-57.5M	-677.6K	0.84	6.22	N/A	N/A	4,801	4,044	911,028	324,422
2010-12-28	$4.20	$4.00	37.3%	10.7%	38.6%	18.2%	37.0%	-14.5%	8.1%	1.9M	-49.0M	-650.1K	1.71	6.45	N/A	N/A	4,588	7,846	911,455	325,010
2010-12-29	$4.17	$4.00	36.6%	10.5%	35.9%	16.7%	36.8%	-15.4%	7.2%	1.6M	-42.6M	-641.4K	0.14	4.73	N/A	N/A	15,238	2,193	911,728	327,039
2010-12-30	$4.16	$4.00	34.1%	9.8%	35.9%	12.0%	34.1%	-15.4%	9.2%	1.4M	-40.8M	-626.7K	0.46	5.15	N/A	N/A	10,804	4,950	909,728	327,951
2010-12-31	$4.23	$4.00	35.0%	10.0%	35.5%	13.7%	35.0%	-13.7%	8.3%	1.7M	-50.3M	-638.5K	0.34	2.40	N/A	N/A	8,271	2,792	908,939	330,866