S Options History — January 2011

In January 2011, S traded between $4.27 and $4.68. ATM implied volatility averaged 45.4%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 7.7% (HV 20d: 37.7%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.35.

Notable Days

  • 2011-01-05: Highest Volume — 128,795 contracts
  • 2011-01-13: Largest IV spike — 31.0% change
  • 2011-01-14: Highest IV Rank — 44.0%
  • 2011-01-14: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.46$4.27$4.68$4.51$4.52
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV45.4%36.9%50.7%43.9%48.6%
Expected Move13.2%11.9%14.5%12.6%13.9%
HV 20d37.7%36.0%41.2%41.2%39.2%
HV 60d40.6%36.2%42.8%41.6%37.4%
IV Rank33.7%17.3%44.0%30.8%39.9%
IV Percentile31.9%6.3%55.6%24.6%48.0%
Term Structure-4.3%-24.4%5.3%1.6%-7.7%
VWIV47.0%41.7%50.6%43.2%48.2%
Skew 25d-0.9%-8.8%10.2%-0.7%6.3%
Skew 10d3.7%-14.9%23.8%3.5%23.8%
Call IV 25d47.6%41.3%52.9%44.0%46.4%
Put IV 25d46.7%38.8%53.0%43.3%52.7%
Bid-Ask Spread %8.034.9631.585.848.46
Gamma HHI0.610.380.860.800.41
Net GEX2.2M664.5K4.7M3.7M1.6M
Net DEX-73.4M-114.8M-38.9M-95.6M-59.3M
Net VEX-701.1K-752.7K-657.8K-688.1K-752.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.060.730.290.73
Total Volume38,824.0510,879128,79560,29712,050
Total OI1,078,769.3681,7861,265,1741,241,557763,412

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$4.51$4.0043.9%12.6%41.2%30.8%43.2%-0.7%1.6%3.7M-95.6M-688.1K0.295.84N/AN/A46,78813,509909,657331,900
2011-01-04$4.45$4.0045.5%13.0%36.3%33.9%47.1%-7.1%-1.0%3.3M-86.9M-690.5K0.354.96N/AN/A60,02221,239899,185336,600
2011-01-05$4.62$4.0041.5%11.9%38.2%26.2%50.1%8.1%5.3%4.3M-110.5M-708.8K0.436.45N/AN/A89,93738,858879,586336,347
2011-01-06$4.65$4.0043.1%12.4%36.9%29.4%42.4%10.2%3.3%4.6M-113.7M-725.7K0.175.18N/AN/A17,4132,877870,691327,573
2011-01-07$4.68$4.0043.5%13.2%36.9%30.2%47.2%3.8%-3.8%4.7M-114.8M-733.9K0.375.86N/AN/A24,4068,910869,097326,516
2011-01-10$4.58$4.0048.9%13.6%38.0%40.6%48.0%0.2%-5.1%3.6M-98.7M-717.2K0.267.55N/AN/A10,2332,624872,208333,555
2011-01-11$4.40$4.0045.7%13.8%39.2%34.3%47.9%0.4%-3.3%2.3M-71.0M-698.6K0.717.26N/AN/A34,46524,607876,600334,795
2011-01-12$4.41$4.0036.9%13.5%39.2%17.3%50.6%-5.0%-3.6%2.2M-71.5M-709.2K0.326.85N/AN/A27,8568,957877,212346,333
2011-01-13$4.48$4.0048.3%13.9%37.2%39.4%50.5%-2.7%-5.3%2.9M-81.6M-728.5K0.716.39N/AN/A22,73816,125884,765348,498
2011-01-14$4.45$4.0050.7%14.5%36.9%44.0%47.4%-8.8%-24.4%2.7M-76.5M-717.2K0.2131.58N/AN/A9,0121,867895,354348,562
2011-01-18$4.36$4.0047.2%13.5%37.8%37.2%48.9%-4.8%-4.5%817.7K-62.7M-663.0K0.066.83N/AN/A32,4352,021897,066348,731
2011-01-19$4.28$4.0046.8%13.4%37.4%36.5%50.6%-2.9%-4.1%812.9K-55.2M-666.3K0.157.55N/AN/A20,3273,140918,297346,877
2011-01-20$4.27$4.0047.2%13.5%37.2%37.3%49.4%-7.4%-4.8%728.7K-58.1M-663.0K0.708.05N/AN/A11,2557,922912,488347,477
2011-01-21$4.31$4.0045.9%13.2%36.4%34.7%46.1%-3.3%-4.3%664.5K-58.4M-663.5K0.295.62N/AN/A38,46111,347905,092352,578
2011-01-24$4.37$4.0044.6%12.8%36.5%32.3%44.6%-2.6%-4.4%832.4K-39.8M-657.8K0.176.79N/AN/A23,5394,013419,691262,095
2011-01-25$4.36$4.0045.4%13.0%36.0%33.8%44.8%-3.2%-5.2%865.7K-38.9M-663.8K0.158.60N/AN/A17,5192,585428,948265,041
2011-01-26$4.50$4.0042.9%12.3%37.0%28.9%44.2%-3.0%-3.1%1.3M-55.9M-686.8K0.656.02N/AN/A29,94419,368442,356265,695
2011-01-27$4.59$4.0042.7%12.3%37.2%28.6%41.7%4.6%-4.7%1.5M-64.5M-738.4K0.186.80N/AN/A29,3935,180458,321281,949
2011-01-28$4.45$4.0047.8%13.7%39.2%38.3%47.8%-0.9%-6.4%1.3M-54.7M-750.0K0.127.94N/AN/A21,0282,511470,659283,579
2011-01-31$4.52$4.0048.6%13.9%39.2%39.9%48.2%6.3%-7.7%1.6M-59.3M-752.7K0.738.46N/AN/A6,9815,069480,091283,321