S Options History — May 2011

In May 2011, S traded between $5.10 and $5.91. ATM implied volatility averaged 37.3%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 5.3% (HV 20d: 31.9%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2011-05-20: Highest Volume — 158,835 contracts
  • 2011-05-12: Largest IV spike — 27.5% change
  • 2011-05-24: Highest IV Rank — 32.0%
  • 2011-05-24: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.39$5.10$5.91$5.19$5.85
Max Pain$4.86$4.50$5.00$4.50$5.00
ATM IV37.3%29.7%42.9%35.9%41.0%
Expected Move11.0%9.5%12.3%10.3%11.8%
HV 20d31.9%27.3%34.4%32.5%27.9%
HV 60d45.6%44.6%47.0%46.6%44.8%
IV Rank19.8%3.8%32.0%16.9%28.0%
IV Percentile17.9%0.8%38.5%10.3%31.7%
Term Structure2.0%-2.0%5.6%2.6%0.2%
VWIV38.8%32.7%44.4%35.1%41.2%
Skew 25d-0.6%-5.3%2.4%2.0%-5.3%
Skew 10d1.7%-12.0%11.6%1.7%0.8%
Call IV 25d40.9%34.4%47.4%35.1%46.9%
Put IV 25d40.3%34.1%47.0%37.1%41.6%
Bid-Ask Spread %7.005.139.075.795.75
Gamma HHI0.420.240.750.460.26
Net GEX5.8M2.6M15.8M5.9M3.6M
Net DEX-237.5M-295.3M-183.0M-229.9M-244.2M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.061.420.090.59
Total Volume35,097.2865,997158,83528,82423,148
Total OI1,227,251.81950,6181,335,8621,288,6131,054,753

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$5.19$4.5035.9%10.3%32.5%16.9%35.1%2.0%2.6%5.9M-229.9M-1.2M0.095.79N/AN/A26,5412,283847,946440,667
2011-05-03$5.12$4.5033.3%9.5%33.1%11.3%32.7%1.4%5.6%6.2M-213.5M-1.1M0.376.06N/AN/A11,3884,231859,991441,345
2011-05-04$5.27$4.5035.0%10.0%33.2%15.0%33.9%-1.9%3.4%6.2M-248.1M-1.2M0.206.93N/AN/A30,4356,122860,974440,397
2011-05-05$5.19$4.5035.2%10.1%33.8%15.4%35.7%-0.1%4.9%6.2M-234.8M-1.1M0.108.47N/AN/A27,0962,740865,353443,746
2011-05-06$5.20$4.5032.2%11.4%33.7%9.1%39.5%2.2%1.4%6.3M-235.8M-1.1M0.496.27N/AN/A15,2587,414865,091443,982
2011-05-09$5.29$5.0034.8%11.0%33.3%14.6%40.1%0.3%1.5%6.4M-255.2M-1.1M0.115.13N/AN/A11,4531,297869,785449,295
2011-05-10$5.30$5.0032.6%10.8%33.1%9.9%38.3%-0.8%1.4%6.3M-261.4M-1.1M0.167.85N/AN/A16,8812,769861,114449,139
2011-05-11$5.18$5.0029.7%10.7%34.3%3.8%39.1%-0.3%1.7%6.4M-228.0M-1.1M0.258.19N/AN/A14,8343,652861,323448,915
2011-05-12$5.17$5.0037.8%10.8%34.3%21.0%38.6%-1.5%1.0%6.4M-231.4M-1.1M0.676.97N/AN/A6,4154,313866,857450,334
2011-05-13$5.10$5.0036.9%10.6%33.3%19.0%37.7%0.4%2.4%7.1M-211.3M-1.1M1.147.82N/AN/A7,9539,082866,991447,906
2011-05-16$5.11$5.0035.9%10.3%31.0%16.9%37.4%-0.7%3.6%7.2M-216.6M-1.1M0.627.36N/AN/A3,7002,297867,301452,687
2011-05-17$5.11$5.0036.5%10.5%29.5%18.1%36.7%-1.4%3.2%7.6M-220.2M-1.1M0.477.19N/AN/A11,3345,301867,499453,497
2011-05-18$5.23$5.0038.2%10.9%30.2%21.7%38.3%1.9%1.0%6.1M-244.2M-1.1M1.427.31N/AN/A9,26013,189871,611457,671
2011-05-19$5.33$5.0038.9%11.1%30.5%23.2%38.8%-1.9%1.1%3.6M-273.2M-1.0M0.067.44N/AN/A35,9332,097871,388464,474
2011-05-20$5.47$4.5041.7%11.9%31.4%29.1%42.0%-0.4%-2.0%15.8M-295.3M-1.1M0.306.72N/AN/A122,41836,417881,816453,513
2011-05-23$5.57$5.0042.5%12.2%31.4%31.1%43.0%2.1%-1.6%2.6M-183.0M-1.1M0.277.96N/AN/A25,6896,867598,677351,941
2011-05-24$5.84$5.0042.9%12.3%34.4%32.0%44.4%2.4%1.4%2.7M-225.5M-1.1M0.259.07N/AN/A81,07420,043612,191357,900
2011-05-25$5.87$5.0041.2%11.8%34.0%28.4%42.3%-2.8%4.1%3.0M-242.4M-1.1M0.166.54N/AN/A50,1868,131651,644363,108
2011-05-26$5.91$5.0040.6%11.6%27.3%27.0%40.8%-2.9%2.7%3.2M-251.9M-1.1M0.176.51N/AN/A27,2894,638660,222366,452
2011-05-27$5.85$5.0039.7%11.4%27.9%25.1%39.4%-4.3%3.4%3.5M-242.2M-1.1M0.375.74N/AN/A26,2579,618664,704368,088
2011-05-31$5.85$5.0041.0%11.8%27.9%28.0%41.2%-5.3%0.2%3.6M-244.2M-1.1M0.595.75N/AN/A14,5248,624675,155379,598