S Options History — July 2011

In July 2011, S traded between $4.23 and $5.65. ATM implied volatility averaged 40.3%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 7.7% (HV 20d: 32.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2011-07-28: Highest Volume — 121,405 contracts
  • 2011-07-13: Largest IV spike — 62.5% change
  • 2011-07-13: Highest IV Rank — 81.7%
  • 2011-07-15: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.22$4.23$5.65$5.43$4.23
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV40.3%26.5%56.8%26.5%40.1%
Expected Move11.5%7.6%12.8%7.6%11.5%
HV 20d32.6%26.7%66.8%29.2%65.0%
HV 60d32.6%28.9%45.7%31.4%45.4%
IV Rank44.7%13.7%81.7%13.7%44.0%
IV Percentile38.6%0.4%95.6%0.4%38.1%
Term Structure1.8%-1.3%20.8%20.8%3.7%
VWIV40.9%18.9%45.7%18.9%41.6%
Skew 25d-2.9%-8.5%0.7%0.7%-8.5%
Skew 10d-1.0%-25.8%15.0%-2.5%-25.8%
Call IV 25d43.8%35.9%48.5%35.9%47.2%
Put IV 25d40.9%36.6%43.7%36.6%38.7%
Bid-Ask Spread %6.394.4522.9622.965.58
Gamma HHI0.280.230.340.250.34
Net GEX1.6M327.3K2.6M1.4M437.4K
Net DEX-125.8M-188.8M9.6M-156.6M9.6M
Net VEX-1.0M-1.1M-897.5K-1.1M-900.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.122.750.461.02
Total Volume25,695.44,811121,4056,03131,198
Total OI1,044,469.55976,0111,119,6361,056,8331,119,636

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$5.43$5.0026.5%7.6%29.2%13.7%18.9%0.7%20.8%1.4M-156.6M-1.1M0.4622.96N/AN/A4,1221,909618,725438,108
2011-07-05$5.39$5.0032.5%11.5%29.0%27.2%39.9%-0.5%-0.6%1.2M-152.2M-1.0M1.464.63N/AN/A12,71018,515620,380438,476
2011-07-06$5.51$5.0043.4%11.2%29.4%51.6%39.6%-0.8%1.8%1.9M-171.9M-1.0M0.515.61N/AN/A16,9688,681621,956427,475
2011-07-07$5.65$5.0035.8%11.5%28.7%34.6%40.5%-0.4%0.1%2.6M-188.8M-1.0M0.335.47N/AN/A13,7624,605628,335424,717
2011-07-08$5.49$5.0037.6%11.3%30.5%38.5%40.0%-0.8%1.5%2.0M-167.8M-1.0M0.944.45N/AN/A5,7905,444630,209424,782
2011-07-11$5.42$5.0046.4%12.0%27.8%58.3%41.9%-1.7%-0.0%1.6M-153.9M-1.0M0.435.50N/AN/A3,3701,441630,238428,528
2011-07-12$5.43$5.0034.9%11.9%27.8%32.6%41.8%-1.6%-0.1%1.9M-155.9M-1.0M0.524.99N/AN/A3,4521,784631,246428,944
2011-07-13$5.41$5.0056.8%12.1%27.5%81.7%42.4%-1.3%-0.1%1.6M-155.2M-1.0M2.224.72N/AN/A7,05715,663631,381428,707
2011-07-14$5.29$5.0043.9%12.6%28.6%52.7%43.9%-3.0%-1.3%1.6M-137.2M-1.0M0.527.25N/AN/A9,5274,947629,071433,129
2011-07-15$5.35$5.0044.5%12.8%28.0%54.1%44.6%-3.0%-0.4%1.8M-146.8M-1.0M0.405.74N/AN/A34,80913,891629,866429,373
2011-07-18$5.19$5.0042.1%12.1%30.2%48.6%43.6%-2.4%0.2%1.9M-120.1M-1.0M0.267.43N/AN/A15,4504,087598,730377,281
2011-07-19$5.26$5.0040.9%11.7%30.5%45.9%39.4%-1.5%0.9%2.1M-132.7M-1.0M2.755.07N/AN/A11,31531,117602,706376,107
2011-07-20$5.19$5.0039.5%11.3%30.8%42.8%40.3%-1.8%1.3%1.4M-111.2M-1.1M0.204.95N/AN/A6,3581,254602,282405,889
2011-07-21$5.17$5.0039.2%11.2%29.7%42.1%45.0%-4.7%1.0%1.6M-117.1M-1.0M0.124.96N/AN/A17,8622,193604,727405,749
2011-07-22$5.16$5.0039.2%11.2%29.4%42.2%41.7%-4.6%0.5%1.5M-110.6M-1.0M0.435.00N/AN/A13,4545,816609,440405,355
2011-07-25$5.15$5.0037.6%10.8%29.0%38.6%39.1%-4.9%2.3%1.6M-113.3M-1.0M1.174.56N/AN/A10,34212,090624,537410,521
2011-07-26$5.18$5.0039.8%11.4%27.1%43.5%45.7%-6.0%1.8%1.6M-119.0M-1.0M0.427.12N/AN/A11,6334,918629,888421,272
2011-07-27$5.16$5.0041.7%11.9%26.7%47.6%45.7%-5.0%0.1%1.6M-118.6M-1.0M0.296.67N/AN/A19,2915,678634,092422,994
2011-07-28$4.34$5.0044.1%12.6%66.8%53.1%42.5%-6.7%2.6%327.3K2.3M-897.5K0.365.11N/AN/A89,00332,402641,915422,624
2011-07-29$4.23$5.0040.1%11.5%65.0%44.0%41.6%-8.5%3.7%437.4K9.6M-900.7K1.025.58N/AN/A15,43715,761681,995437,641