S Options History — April 2011 In April 2011, S traded between $4.55 and $5.18. ATM implied volatility averaged 42.3%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 6.2% (HV 20d: 48.5%). Max pain ranged from $4.50 to $4.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.46.
Notable Days 2011-04-29 : Highest Volume — 150,639 contracts2011-04-08 : Largest IV spike — 30.3% change2011-04-12 : Highest IV Rank — 65.5%2011-04-12 : Largest Expected Move — 13.5%Monthly Statistics Metric Avg Min Max Open Close Price $4.78 $4.55 $5.18 $4.56 $5.18 Max Pain $4.50 $4.50 $4.50 $4.50 $4.50 ATM IV 42.3% 34.4% 58.9% 35.1% 34.4% Expected Move 12.2% 9.8% 13.5% 10.1% 9.8% HV 20d 48.5% 26.1% 66.2% 66.2% 33.5% HV 60d 45.9% 45.2% 46.6% 46.0% 46.6% IV Rank 30.5% 13.6% 65.5% 15.2% 13.6% IV Percentile 30.9% 6.0% 88.1% 7.5% 6.0% Term Structure -2.0% -5.9% 6.7% 6.7% 3.8% VWIV 43.5% 34.6% 49.1% 34.9% 34.6% Skew 25d -1.8% -9.8% 4.1% -9.8% 2.1% Skew 10d -4.6% -17.8% 11.7% -14.1% 1.5% Call IV 25d 44.4% 33.1% 50.3% 41.3% 33.1% Put IV 25d 42.6% 31.4% 47.6% 31.4% 35.1% Bid-Ask Spread % 5.39 4.43 7.11 4.71 5.95 Gamma HHI 0.36 0.27 0.57 0.28 0.48 Net GEX 4.6M 3.2M 8.1M 3.6M 5.7M Net DEX -148.1M -222.9M -105.1M -109.9M -222.9M Net VEX -1.1M -1.2M -1.1M -1.1M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.06 1.87 0.08 0.12 Total Volume 47,035.9 11,915 150,639 26,723 150,639 Total OI 1,247,663.3 1,170,605 1,348,472 1,222,182 1,262,288
Daily Data (20 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 2011-04-01 $4.56 $4.50 35.1% 10.1% 66.2% 15.2% 34.9% -9.8% 6.7% 3.6M -109.9M -1.1M 0.08 4.71 N/A N/A 24,800 1,923 802,543 419,639 2011-04-04 $4.62 $4.50 37.0% 12.4% 65.4% 19.1% 45.2% -5.1% -2.7% 3.7M -117.0M -1.1M 0.71 5.42 N/A N/A 7,585 5,404 802,094 418,260 2011-04-05 $4.55 $4.50 35.8% 12.0% 63.3% 16.7% 45.2% -7.7% -2.1% 3.5M -105.1M -1.1M 0.74 4.77 N/A N/A 6,837 5,078 796,258 419,058 2011-04-06 $4.64 $4.50 38.0% 12.2% 63.7% 21.3% 45.3% -5.3% -1.9% 3.8M -120.2M -1.1M 0.59 5.25 N/A N/A 31,046 18,211 797,566 422,031 2011-04-07 $4.62 $4.50 35.4% 12.1% 61.7% 15.9% 43.0% -4.9% -2.1% 3.8M -119.0M -1.1M 1.87 4.43 N/A N/A 17,115 31,942 816,028 432,596 2011-04-08 $4.73 $4.50 46.2% 13.0% 61.9% 38.6% 49.1% -5.0% -3.7% 4.3M -146.7M -1.1M 0.06 5.15 N/A N/A 60,499 3,646 824,880 399,499 2011-04-11 $4.71 $4.50 51.8% 13.2% 61.9% 50.6% 48.7% -4.1% -3.5% 5.1M -150.8M -1.1M 0.88 4.57 N/A N/A 36,441 31,986 861,289 393,783 2011-04-12 $4.80 $4.50 58.9% 13.5% 62.2% 65.5% 47.6% -3.1% -5.9% 5.4M -166.6M -1.2M 0.20 4.64 N/A N/A 40,094 7,956 885,960 424,382 2011-04-13 $4.81 $4.50 47.0% 13.0% 61.9% 40.3% 45.2% -0.6% -4.4% 5.9M -175.8M -1.2M 0.59 5.12 N/A N/A 20,937 12,278 906,652 430,100 2011-04-14 $4.96 $4.50 44.2% 12.7% 61.1% 34.4% 44.2% 4.1% -3.5% 8.1M -205.7M -1.2M 0.15 6.83 N/A N/A 25,694 3,912 908,371 440,101 2011-04-15 $4.81 $4.50 45.2% 13.0% 62.0% 36.6% 46.3% 3.0% -3.7% 4.8M -167.3M -1.2M 0.16 4.81 N/A N/A 30,567 4,783 901,970 437,683 2011-04-18 $4.70 $4.50 46.2% 13.2% 32.2% 38.7% 47.2% -1.1% -3.1% 3.2M -118.7M -1.2M 0.76 5.08 N/A N/A 11,712 8,948 778,558 392,047 2011-04-19 $4.74 $4.50 42.8% 12.3% 31.3% 31.5% 44.3% -0.1% -1.1% 3.5M -121.1M -1.2M 0.13 5.42 N/A N/A 40,001 5,319 782,721 396,198 2011-04-20 $4.80 $4.50 42.7% 12.2% 31.5% 31.3% 42.6% 0.8% -2.5% 3.9M -135.5M -1.2M 0.41 7.11 N/A N/A 9,079 3,730 801,778 397,084 2011-04-21 $4.81 $4.50 40.9% 11.7% 31.1% 27.4% 40.9% -0.5% -3.0% 4.2M -135.7M -1.2M 0.08 5.34 N/A N/A 18,934 1,484 801,858 398,906 2011-04-25 $4.80 $4.50 43.2% 12.4% 29.9% 32.4% 43.4% -0.6% -3.5% 4.2M -140.2M -1.1M 0.23 5.74 N/A N/A 30,389 6,889 810,889 399,005 2011-04-26 $4.81 $4.50 44.0% 12.6% 29.0% 33.9% 43.9% 0.9% -3.3% 4.4M -143.5M -1.2M 0.65 4.93 N/A N/A 30,047 19,425 824,249 402,041 2011-04-27 $4.79 $4.50 42.7% 12.3% 26.1% 31.4% 42.6% -2.5% -1.6% 4.6M -144.1M -1.2M 0.60 6.03 N/A N/A 36,334 21,695 845,831 419,550 2011-04-28 $5.11 $4.50 35.0% 10.0% 33.7% 15.1% 35.1% 3.9% 1.2% 6.2M -215.8M -1.2M 0.14 6.47 N/A N/A 103,368 13,991 865,308 434,212 2011-04-29 $5.18 $4.50 34.4% 9.8% 33.5% 13.6% 34.6% 2.1% 3.8% 5.7M -222.9M -1.2M 0.12 5.95 N/A N/A 134,783 15,856 827,389 434,899
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