S Options History — June 2011

In June 2011, S traded between $5.00 and $5.93. ATM implied volatility averaged 36.6%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.9% (HV 20d: 31.7%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-06-07: Highest Volume — 115,766 contracts
  • 2011-06-30: Largest IV drop — 30.7% change
  • 2011-06-08: Highest IV Rank — 42.3%
  • 2011-06-06: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.34$5.00$5.93$5.83$5.39
Max Pain$5.39$5.00$6.00$5.50$5.00
ATM IV36.6%20.4%46.6%41.2%20.4%
Expected Move10.5%5.9%13.4%11.8%5.9%
HV 20d31.7%26.2%35.6%27.2%32.6%
HV 60d37.4%30.9%45.1%44.5%31.5%
IV Rank22.2%0.0%42.3%28.4%0.0%
IV Percentile20.3%0.0%60.3%32.5%0.0%
Term Structure6.1%-0.3%25.6%1.9%25.6%
VWIV37.1%16.3%46.9%41.5%16.3%
Skew 25d-5.8%-11.2%0.8%-3.7%-6.1%
Skew 10d-2.8%-18.5%20.1%0.6%10.6%
Call IV 25d43.7%35.7%50.0%47.4%35.7%
Put IV 25d37.9%29.5%47.0%43.7%29.7%
Bid-Ask Spread %19.276.7335.496.738.73
Gamma HHI0.250.210.290.270.24
Net GEX1.5M-165.2K3.8M3.7M1.2M
Net DEX-143.1M-262.2M-96.6M-241.8M-146.5M
Net VEX-1.1M-1.2M-1.0M-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.053.980.210.50
Total Volume25,924.5915,480115,76622,8446,409
Total OI1,109,307.273993,5201,220,7751,042,1021,058,443

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$5.83$5.5041.2%11.8%27.2%28.4%41.5%-3.7%1.9%3.7M-241.8M-1.0M0.216.73N/AN/A18,9283,916674,816367,286
2011-06-02$5.93$5.0041.3%11.8%26.2%28.4%41.4%-5.4%3.9%3.8M-262.2M-1.0M0.2110.13N/AN/A43,2808,933682,745382,294
2011-06-03$5.67$6.0042.5%12.9%31.0%31.0%45.5%-2.9%0.1%3.6M-217.3M-1.1M0.4729.59N/AN/A14,3406,798695,272386,274
2011-06-06$5.60$6.0043.5%13.4%31.6%33.1%46.9%-3.0%-0.3%3.7M-203.1M-1.1M0.8027.94N/AN/A7,7816,217700,325388,062
2011-06-07$5.49$6.0040.7%11.8%32.2%27.2%40.2%-4.9%1.0%3.7M-182.1M-1.1M3.9834.45N/AN/A23,24092,526701,417388,854
2011-06-08$5.34$6.0046.6%11.6%33.9%42.3%41.8%-2.2%3.2%2.2M-142.9M-1.1M0.9928.13N/AN/A8,3238,199700,002474,822
2011-06-09$5.41$6.0039.6%11.4%33.0%31.6%42.7%-3.8%2.9%2.4M-155.1M-1.1M0.2525.06N/AN/A13,3323,337700,618477,902
2011-06-10$5.22$6.0039.3%11.3%35.6%30.6%40.1%-8.4%4.1%1.6M-113.2M-1.1M0.8529.20N/AN/A5,7524,877704,213479,463
2011-06-13$5.26$6.0039.9%11.5%35.3%32.5%42.2%-8.2%4.1%1.7M-120.8M-1.1M0.9616.66N/AN/A4,6914,486704,113481,261
2011-06-14$5.33$6.0037.6%10.8%35.6%26.2%43.1%-5.4%5.1%2.0M-133.2M-1.1M1.4514.63N/AN/A16,46923,893704,567481,837
2011-06-15$5.31$5.0039.2%11.2%35.6%30.4%40.2%-6.1%4.4%1.7M-119.5M-1.1M0.1522.08N/AN/A8,4181,237714,894504,279
2011-06-16$5.21$5.0038.8%11.1%35.4%29.3%38.7%-7.1%5.7%579.3K-101.3M-1.1M0.7715.77N/AN/A5,1953,988716,270503,415
2011-06-17$5.19$5.0037.8%10.8%34.7%26.8%38.2%-1.9%6.5%320.2K-96.6M-1.1M0.2621.07N/AN/A20,3425,311716,635504,140
2011-06-20$5.21$5.0037.3%10.7%33.3%25.4%38.0%-5.9%5.4%243.9K-104.1M-1.1M0.4515.51N/AN/A3,7691,711565,494428,026
2011-06-21$5.24$5.0035.8%10.3%32.5%21.3%35.2%-5.9%6.1%237.0K-106.7M-1.1M0.1121.98N/AN/A31,6483,390566,740428,676
2011-06-22$5.12$5.0031.2%8.9%27.2%8.9%31.2%-8.6%8.2%-165.2K-97.2M-1.1M0.3335.49N/AN/A44,60814,517585,729431,282
2011-06-23$5.06$5.0030.4%8.7%26.9%6.7%30.3%-8.1%10.1%-104.1K-103.9M-1.1M0.0529.97N/AN/A31,9751,754625,153432,815
2011-06-24$5.00$5.0030.6%8.8%26.4%7.2%30.6%-10.0%9.4%30.1K-101.6M-1.2M0.327.47N/AN/A26,8668,550653,548433,898
2011-06-27$5.15$5.0030.8%8.8%29.6%7.9%32.1%0.8%8.8%386.5K-132.6M-1.2M0.827.89N/AN/A5,8634,781666,849433,578
2011-06-28$5.22$5.0030.8%8.8%30.4%7.8%30.8%-11.2%8.0%522.0K-143.0M-1.2M0.906.90N/AN/A7,7817,025666,307434,302
2011-06-29$5.21$5.0029.5%8.5%30.4%4.3%29.5%-9.2%9.2%252.0K-123.0M-1.1M0.208.54N/AN/A4,904981619,794438,350
2011-06-30$5.39$5.0020.4%5.9%32.6%0.0%16.3%-6.1%25.6%1.2M-146.5M-1.1M0.508.73N/AN/A4,2672,142620,182438,261