S Options History — March 2011 In March 2011, S traded between $4.21 and $5.06. ATM implied volatility averaged 40.9%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 7.9% (HV 20d: 48.8%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.38.
Notable Days 2011-03-21 : Highest Volume — 258,410 contracts2011-03-10 : Largest IV spike — 17.2% change2011-03-21 : Highest IV Rank — 44.8%2011-03-21 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $4.65 $4.21 $5.06 $4.21 $4.64 Max Pain $4.35 $4.00 $4.50 $4.00 $4.50 ATM IV 40.9% 31.5% 49.1% 33.2% 39.3% Expected Move 11.8% 9.0% 14.1% 9.5% 11.3% HV 20d 48.8% 34.8% 67.1% 35.8% 65.8% HV 60d 40.3% 34.5% 48.2% 36.7% 46.5% IV Rank 27.6% 7.6% 44.8% 11.1% 24.0% IV Percentile 24.4% 1.2% 56.7% 2.0% 17.9% Term Structure 0.9% -2.4% 3.9% 1.1% 3.6% VWIV 41.5% 29.9% 49.3% 33.6% 39.4% Skew 25d -2.8% -7.2% 1.6% -3.7% 1.6% Skew 10d -7.7% -27.6% 11.3% -13.5% 11.3% Call IV 25d 44.6% 35.4% 52.3% 36.7% 40.3% Put IV 25d 41.8% 32.9% 46.2% 33.0% 41.9% Bid-Ask Spread % 6.21 4.45 10.41 7.51 5.12 Gamma HHI 0.36 0.25 0.59 0.32 0.27 Net GEX 2.7M 755.3K 5.0M 755.3K 3.6M Net DEX -101.8M -172.2M -33.5M -33.5M -122.7M Net VEX -987.0K -1.1M -839.0K -847.5K -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.38 0.08 1.50 0.67 0.13 Total Volume 61,636.957 12,271 258,410 12,271 45,400 Total OI 999,404.783 808,261 1,218,760 808,261 1,209,063
Daily Data (23 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 2011-03-01 $4.21 $4.00 33.2% 9.5% 35.8% 11.1% 33.6% -3.7% 1.1% 755.3K -33.5M -847.5K 0.67 7.51 N/A N/A 7,346 4,925 498,024 310,237 2011-03-02 $4.25 $4.00 31.5% 9.0% 34.8% 7.6% 32.1% -3.6% 3.9% 892.4K -34.1M -854.0K 0.19 6.44 N/A N/A 11,907 2,285 501,105 313,365 2011-03-03 $4.33 $4.00 32.9% 9.4% 35.4% 10.5% 29.9% 0.3% 2.0% 1.1M -43.4M -872.1K 0.14 6.56 N/A N/A 18,568 2,668 505,711 313,676 2011-03-04 $4.34 $4.00 32.5% 10.3% 35.4% 9.7% 35.6% -2.7% 0.1% 1.2M -41.0M -839.0K 0.59 6.64 N/A N/A 19,994 11,772 517,514 315,770 2011-03-07 $4.48 $4.00 37.3% 11.6% 37.0% 19.9% 40.6% 1.0% -0.9% 1.6M -60.7M -894.3K 0.08 4.65 N/A N/A 60,681 5,081 519,603 325,860 2011-03-08 $4.70 $4.00 41.3% 11.6% 40.5% 28.4% 41.8% -4.8% 1.1% 2.4M -100.6M -946.4K 0.14 5.91 N/A N/A 84,701 11,575 546,286 330,552 2011-03-09 $4.70 $4.00 39.0% 11.5% 39.6% 23.5% 43.4% -7.1% 1.8% 2.8M -106.1M -959.1K 0.47 5.01 N/A N/A 20,035 9,386 579,647 334,182 2011-03-10 $4.90 $4.50 45.7% 13.1% 41.7% 37.7% 45.9% -7.2% -2.0% 3.2M -135.0M -970.9K 0.09 6.56 N/A N/A 97,815 9,000 580,894 340,994 2011-03-11 $5.00 $4.50 44.3% 12.7% 37.8% 34.7% 45.5% -3.5% -0.7% 4.0M -157.3M -985.5K 0.30 8.13 N/A N/A 69,841 20,690 612,168 342,905 2011-03-14 $5.02 $4.50 45.7% 13.1% 37.8% 37.6% 46.4% -3.0% -2.4% 3.2M -153.4M -991.5K 0.40 4.45 N/A N/A 18,140 7,251 632,952 387,798 2011-03-15 $4.95 $4.50 45.4% 13.0% 38.0% 36.9% 45.1% -5.1% -0.2% 3.3M -134.1M -984.3K 0.71 4.73 N/A N/A 24,172 17,118 626,686 389,717 2011-03-16 $4.86 $4.50 47.0% 13.5% 37.8% 40.4% 46.3% -5.3% -0.0% 3.1M -110.2M -977.8K 0.64 6.66 N/A N/A 17,611 11,300 626,639 393,724 2011-03-17 $5.06 $4.50 43.2% 12.4% 39.9% 32.4% 43.2% -2.0% 1.1% 4.8M -161.2M -958.4K 0.52 7.38 N/A N/A 33,971 17,536 625,827 392,566 2011-03-18 $5.05 $4.50 43.1% 12.4% 39.6% 32.2% 43.3% -2.6% 2.1% 5.0M -172.2M -957.5K 0.20 7.68 N/A N/A 31,012 6,091 634,199 400,948 2011-03-21 $4.36 $4.50 49.1% 14.1% 67.1% 44.8% 49.3% -6.1% -0.9% 1.1M -50.2M -902.0K 0.27 4.98 N/A N/A 203,752 54,658 547,627 340,575 2011-03-22 $4.47 $4.50 45.3% 13.0% 66.1% 36.8% 46.3% -5.7% 0.4% 2.0M -77.3M -1.0M 0.17 6.37 N/A N/A 140,038 23,844 664,863 373,542 2011-03-23 $4.49 $4.50 44.0% 12.6% 65.1% 34.1% 44.8% -3.9% 1.6% 2.4M -83.8M -1.1M 1.50 5.68 N/A N/A 18,015 26,950 718,379 391,311 2011-03-24 $4.56 $4.50 42.5% 12.2% 65.2% 30.8% 42.5% -1.8% 3.1% 2.7M -91.3M -1.1M 0.44 5.42 N/A N/A 35,899 15,880 717,356 394,735 2011-03-25 $4.68 $4.50 40.7% 11.7% 65.6% 27.1% 40.4% -1.4% 3.5% 3.0M -109.8M -1.1M 0.21 4.79 N/A N/A 69,267 14,741 728,109 398,642 2011-03-28 $4.78 $4.50 38.5% 11.1% 65.8% 22.5% 39.2% 0.9% 2.2% 3.9M -141.1M -1.1M 0.21 4.99 N/A N/A 33,612 7,105 780,342 406,226 2011-03-29 $4.62 $4.50 40.4% 11.6% 65.5% 26.4% 40.7% 1.3% 0.7% 3.6M -115.1M -1.1M 0.25 10.41 N/A N/A 42,454 10,690 786,807 410,424 2011-03-30 $4.56 $4.50 39.8% 11.4% 65.8% 25.2% 39.8% 0.0% 0.2% 3.6M -106.1M -1.1M 0.32 6.66 N/A N/A 17,277 5,596 800,518 418,242 2011-03-31 $4.64 $4.50 39.3% 11.3% 65.8% 24.0% 39.4% 1.6% 3.6% 3.6M -122.7M -1.1M 0.13 5.12 N/A N/A 40,348 5,052 790,425 418,638
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