S Options History — February 2011

In February 2011, S traded between $4.20 and $4.60. ATM implied volatility averaged 43.9%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 10.9% (HV 20d: 32.9%). Max pain ranged from $4.00 to $4.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.38.

Notable Days

  • 2011-02-08: Highest Volume — 94,424 contracts
  • 2011-02-10: Largest IV drop — 39.8% change
  • 2011-02-09: Highest IV Rank — 78.4%
  • 2011-02-03: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.40$4.20$4.60$4.39$4.37
Max Pain$4.00$4.00$4.00$4.00$4.00
ATM IV43.9%29.1%65.0%46.3%33.5%
Expected Move11.4%8.3%15.8%13.3%9.6%
HV 20d32.9%27.0%37.4%33.6%34.1%
HV 60d36.9%35.7%37.9%37.9%36.1%
IV Rank32.4%2.5%78.4%35.6%11.7%
IV Percentile33.2%0.4%95.6%36.5%2.8%
Term Structure-2.1%-14.7%17.2%-4.4%1.3%
VWIV41.3%33.2%52.2%46.4%33.2%
Skew 25d-3.5%-9.7%1.6%-3.9%-1.4%
Skew 10d-9.9%-25.5%-0.3%-5.5%-5.0%
Call IV 25d43.1%36.1%56.9%47.9%36.1%
Put IV 25d39.7%33.1%51.5%44.0%34.7%
Bid-Ask Spread %7.705.0812.906.187.78
Gamma HHI0.400.330.610.350.33
Net GEX2.3M593.4K7.3M1.3M1.0M
Net DEX-62.7M-104.9M-31.4M-50.1M-49.1M
Net VEX-807.6K-877.6K-717.3K-720.5K-871.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.101.240.180.14
Total Volume35,671.5795,98094,42414,5465,980
Total OI852,222.158734,0371,000,747766,748805,848

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$4.39$4.0046.3%13.3%33.6%35.6%46.4%-3.9%-4.4%1.3M-50.1M-720.5K0.186.18N/AN/A12,3652,181482,603284,145
2011-02-02$4.35$4.0052.2%15.0%33.4%46.9%52.2%-4.4%-11.0%1.2M-46.6M-728.4K0.107.41N/AN/A24,8682,540486,134284,064
2011-02-03$4.35$4.0055.1%15.8%30.1%52.5%50.3%-5.5%-14.7%1.3M-48.9M-724.6K0.127.66N/AN/A23,3312,849493,711284,697
2011-02-04$4.40$4.0058.2%12.6%30.4%58.4%46.4%-3.4%-4.5%1.6M-62.0M-735.7K0.248.10N/AN/A19,9884,838512,045287,108
2011-02-07$4.40$4.0062.5%13.0%30.2%66.7%47.6%-3.9%-4.5%1.7M-60.9M-728.4K0.168.69N/AN/A13,7672,192520,681289,563
2011-02-08$4.31$4.0064.6%11.9%30.2%77.6%46.2%-5.3%-3.7%1.5M-51.8M-717.3K0.269.44N/AN/A75,05119,373522,144290,568
2011-02-09$4.35$4.0065.0%12.0%27.0%78.4%45.6%-3.6%-2.3%1.8M-63.4M-817.4K0.1710.12N/AN/A50,5608,483583,917300,178
2011-02-10$4.60$4.0039.1%11.2%33.7%23.7%38.4%-2.3%-3.3%3.7M-104.9M-829.4K0.177.42N/AN/A80,09113,905612,519303,108
2011-02-11$4.60$4.0037.0%10.6%33.3%19.2%36.8%1.6%-1.5%3.7M-102.9M-830.5K0.737.07N/AN/A32,36423,568614,989303,471
2011-02-14$4.55$4.0038.8%11.1%33.5%23.0%38.1%-1.9%-3.3%3.4M-92.2M-841.8K1.246.68N/AN/A10,23612,705618,098333,955
2011-02-15$4.46$4.0036.2%10.4%33.4%17.5%39.1%-1.8%-0.4%3.4M-74.9M-826.5K0.668.12N/AN/A23,49215,595618,157334,385
2011-02-16$4.47$4.0034.6%9.9%32.6%14.1%39.2%-6.0%-0.9%3.5M-78.3M-852.2K0.265.12N/AN/A13,0983,345626,063348,759
2011-02-17$4.43$4.0035.1%10.1%32.8%15.2%36.7%-3.0%0.0%3.9M-69.0M-840.8K0.245.45N/AN/A19,7574,799630,431351,163
2011-02-18$4.50$4.0029.1%8.3%33.1%2.5%37.7%0.4%17.2%7.3M-78.4M-866.4K0.565.08N/AN/A20,07511,229646,074354,673
2011-02-22$4.32$4.0037.7%10.8%36.1%20.6%37.5%-3.8%-2.4%718.2K-41.6M-838.9K0.3112.90N/AN/A15,0304,631450,035284,002
2011-02-23$4.20$4.0035.2%10.1%37.4%15.5%40.4%-9.7%0.1%593.4K-31.4M-827.1K0.259.10N/AN/A62,90615,853456,604287,983
2011-02-24$4.26$4.0038.0%10.9%35.8%21.3%37.2%-2.2%-2.0%869.0K-40.5M-869.5K0.936.84N/AN/A9,9909,310487,903300,494
2011-02-25$4.31$4.0035.5%10.2%35.2%16.1%35.3%-5.5%-0.5%947.4K-45.3M-877.6K0.487.16N/AN/A5,0172,398493,598308,351
2011-02-28$4.37$4.0033.5%9.6%34.1%11.7%33.2%-1.4%1.3%1.0M-49.1M-871.6K0.147.78N/AN/A5,239741495,944309,904