S Options History — August 2011

In August 2011, S traded between $3.12 and $4.29. ATM implied volatility averaged 70.3%, placing in the 79.1% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 26.3% (HV 20d: 96.5%). Max pain ranged from $3.50 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.52.

Notable Days

2011-08-31: Highest Volume — 118,630 contracts
2011-08-04: Largest IV spike — 36.7% change
2011-08-05: Highest IV Rank — 100.0%
2011-08-25: Largest Expected Move — 24.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.52	$3.12	$4.29	$4.29	$3.76
Max Pain	$4.09	$3.50	$5.00	$5.00	$3.50
ATM IV	70.3%	43.8%	87.8%	44.2%	68.5%
Expected Move	19.6%	12.6%	24.8%	12.7%	19.7%
HV 20d	96.5%	65.3%	115.7%	65.3%	105.4%
HV 60d	63.8%	45.5%	74.2%	45.5%	74.2%
IV Rank	79.1%	52.5%	100.0%	53.4%	71.4%
IV Percentile	93.0%	56.7%	100.0%	60.3%	95.2%
Term Structure	-1.9%	-9.0%	3.9%	-1.1%	3.2%
VWIV	68.1%	43.7%	79.4%	43.7%	67.9%
Skew 25d	1.8%	-18.6%	14.2%	-7.8%	-4.8%
Skew 10d	3.9%	-44.2%	37.5%	-13.0%	-5.7%
Call IV 25d	70.1%	46.6%	84.5%	46.8%	73.7%
Put IV 25d	71.9%	34.6%	91.7%	39.0%	68.9%
Bid-Ask Spread %	8.05	4.45	20.46	7.90	8.27
Gamma HHI	0.38	0.31	0.53	0.34	0.32
Net GEX	605.7K	170.2K	1.4M	429.9K	1.4M
Net DEX	25.7M	-37.2M	61.1M	5.2M	-37.2M
Net VEX	-758.5K	-916.3K	-626.6K	-916.3K	-859.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.10	1.40	0.96	0.14
Total Volume	40,355.261	13,070	118,630	21,392	118,630
Total OI	1,183,231	1,031,252	1,328,044	1,136,466	1,106,841

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
2011-08-01	$4.29	$5.00	44.2%	12.7%	65.3%	53.4%	43.7%	-7.8%	-1.1%	429.9K	5.2M	-916.3K	0.96	7.90	N/A	N/A	10,911	10,481	688,257	448,209
2011-08-02	$4.00	$5.00	45.2%	12.9%	68.5%	55.5%	45.6%	-18.1%	1.7%	170.2K	37.9M	-821.6K	0.31	9.53	N/A	N/A	32,738	10,007	693,096	455,097
2011-08-03	$4.15	$5.00	43.8%	12.6%	69.7%	52.5%	44.2%	-7.4%	-0.3%	386.2K	16.7M	-887.4K	1.40	8.55	N/A	N/A	13,572	18,955	708,351	456,463
2011-08-04	$3.74	$5.00	59.9%	17.2%	75.0%	88.7%	61.3%	-3.5%	-3.1%	188.0K	53.3M	-760.3K	0.71	10.54	N/A	N/A	21,478	15,295	712,359	465,952
2011-08-05	$3.72	$4.00	68.2%	17.3%	75.1%	100.0%	60.7%	-4.2%	1.3%	292.8K	41.5M	-800.8K	0.23	12.68	N/A	N/A	77,140	18,002	721,168	465,179
2011-08-08	$3.13	$4.00	84.7%	21.0%	92.6%	100.0%	76.9%	-18.6%	-2.0%	313.1K	58.4M	-657.9K	0.70	14.07	N/A	N/A	26,943	18,957	765,358	469,812
2011-08-09	$3.28	$4.00	87.5%	20.9%	95.8%	100.0%	78.7%	-7.8%	-3.2%	354.0K	58.1M	-687.2K	1.15	20.46	N/A	N/A	14,097	16,162	774,628	470,814
2011-08-10	$3.16	$4.00	87.8%	22.0%	95.6%	100.0%	78.3%	0.3%	-5.1%	317.4K	59.9M	-649.5K	1.24	8.16	N/A	N/A	6,841	8,507	777,789	469,907
2011-08-11	$3.12	$4.00	77.8%	22.3%	95.7%	85.1%	79.2%	1.8%	-3.5%	313.2K	61.1M	-626.6K	0.71	5.08	N/A	N/A	15,514	11,087	780,762	470,303
2011-08-12	$3.20	$4.00	73.9%	21.2%	96.5%	79.4%	75.0%	2.0%	-3.2%	352.9K	58.9M	-660.6K	0.15	4.45	N/A	N/A	15,834	2,398	790,155	471,887
2011-08-15	$3.48	$4.00	67.2%	19.3%	104.0%	69.4%	59.7%	8.1%	-1.0%	510.6K	47.7M	-738.7K	0.31	4.74	N/A	N/A	23,960	7,474	800,440	466,178
2011-08-16	$3.59	$4.00	62.1%	17.8%	105.0%	61.8%	62.1%	6.7%	2.5%	566.6K	36.3M	-785.5K	0.10	6.75	N/A	N/A	72,199	7,408	806,044	468,736
2011-08-17	$3.72	$4.00	59.7%	17.1%	106.7%	58.2%	56.0%	10.3%	3.9%	778.2K	16.1M	-856.6K	0.17	5.87	N/A	N/A	35,612	5,926	857,069	468,557
2011-08-18	$3.49	$4.00	76.4%	21.9%	107.9%	83.1%	79.4%	6.8%	-6.6%	629.7K	32.6M	-778.5K	0.30	7.48	N/A	N/A	28,604	8,505	841,718	467,590
2011-08-19	$3.42	$4.00	74.4%	21.3%	107.7%	80.1%	74.2%	8.3%	-5.0%	674.2K	40.8M	-751.9K	0.55	6.72	N/A	N/A	19,595	10,812	856,217	471,827
2011-08-22	$3.26	$4.00	74.9%	21.5%	107.9%	80.8%	76.6%	11.2%	-2.2%	624.1K	14.7M	-696.7K	0.26	6.19	N/A	N/A	17,193	4,389	679,164	352,088
2011-08-23	$3.59	$4.00	79.2%	22.7%	115.6%	87.2%	77.7%	14.2%	-6.6%	875.5K	-11.0M	-818.0K	0.20	8.01	N/A	N/A	61,918	12,540	687,730	354,892
2011-08-24	$3.45	$4.00	77.2%	22.1%	115.7%	84.2%	76.6%	11.7%	-2.9%	906.3K	-2.1M	-757.3K	0.43	7.85	N/A	N/A	21,118	9,022	720,546	358,826
2011-08-25	$3.23	$4.00	86.6%	24.8%	102.4%	98.2%	78.5%	13.4%	-9.0%	764.2K	9.6M	-695.3K	0.15	6.33	N/A	N/A	28,103	4,337	729,694	362,613
2011-08-26	$3.25	$3.50	80.9%	23.2%	102.6%	89.8%	75.7%	9.7%	-5.6%	827.2K	9.6M	-694.9K	0.71	5.28	N/A	N/A	7,622	5,448	738,803	359,613
2011-08-29	$3.46	$3.50	67.4%	19.3%	105.7%	69.7%	67.2%	7.5%	1.4%	1.0M	-2.5M	-746.1K	0.93	4.92	N/A	N/A	16,217	15,019	742,425	360,789
2011-08-30	$3.55	$3.50	68.4%	19.6%	104.0%	71.1%	70.7%	1.6%	2.7%	1.2M	-15.1M	-797.0K	0.20	5.28	N/A	N/A	17,964	3,637	744,726	355,641
2011-08-31	$3.76	$3.50	68.5%	19.7%	105.4%	71.4%	67.9%	-4.8%	3.2%	1.4M	-37.2M	-859.8K	0.14	8.27	N/A	N/A	103,993	14,637	750,340	356,501