S Options History — September 2011 In September 2011, S traded between $3.01 and $3.74. ATM implied volatility averaged 72.7%, placing in the 77.5% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 2.5% (HV 20d: 70.1%). Max pain ranged from $3.00 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.34.
Notable Days 2011-09-22 : Highest Volume — 98,516 contracts2011-09-06 : Largest IV spike — 17.3% change2011-09-26 : Highest IV Rank — 89.9%2011-09-26 : Largest Expected Move — 23.2%Monthly Statistics Metric Avg Min Max Open Close Price $3.33 $3.01 $3.74 $3.74 $3.04 Max Pain $3.05 $3.00 $3.50 $3.50 $3.00 ATM IV 72.7% 61.7% 81.0% 64.5% 78.4% Expected Move 20.8% 17.7% 23.2% 18.5% 22.7% HV 20d 70.1% 51.1% 100.8% 98.7% 51.6% HV 60d 76.2% 74.1% 78.0% 74.1% 77.4% IV Rank 77.5% 61.3% 89.9% 65.3% 86.0% IV Percentile 94.1% 86.5% 98.4% 92.5% 94.8% Term Structure 3.1% -1.2% 6.6% 6.6% 5.2% VWIV 73.0% 60.7% 82.3% 60.7% 81.6% Skew 25d 7.0% 1.3% 13.2% 3.5% 2.9% Skew 10d 13.7% -9.8% 31.2% 4.5% -9.8% Call IV 25d 71.5% 60.9% 81.4% 63.9% 81.4% Put IV 25d 78.5% 67.5% 87.0% 67.5% 84.3% Bid-Ask Spread % 5.06 3.89 6.05 5.43 4.49 Gamma HHI 0.31 0.27 0.35 0.32 0.27 Net GEX 1.1M 718.8K 1.6M 1.5M 822.9K Net DEX -2.3M -35.3M 15.7M -35.3M 7.3M Net VEX -683.4K -858.0K -568.1K -858.0K -608.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.07 0.90 0.15 0.11 Total Volume 28,592.81 7,686 98,516 21,024 25,864 Total OI 1,143,265.143 1,068,758 1,188,703 1,128,633 1,188,703
Daily Data (21 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 2011-09-01 $3.74 $3.50 64.5% 18.5% 98.7% 65.3% 60.7% 3.5% 6.6% 1.5M -35.3M -858.0K 0.15 5.43 N/A N/A 18,251 2,773 768,880 359,753 2011-09-02 $3.53 $3.50 67.3% 19.3% 100.8% 69.6% 67.8% 4.1% 2.4% 1.3M -12.3M -767.9K 0.35 5.30 N/A N/A 13,726 4,764 771,636 359,556 2011-09-06 $3.37 $3.00 79.0% 21.8% 80.5% 86.8% 77.2% 8.5% 1.2% 1.1M -2.5M -718.0K 0.18 5.42 N/A N/A 9,225 1,693 776,476 359,312 2011-09-07 $3.47 $3.00 70.3% 20.9% 79.5% 74.0% 74.6% 10.1% -1.2% 1.3M -6.2M -738.4K 0.26 4.57 N/A N/A 6,079 1,607 777,929 359,785 2011-09-08 $3.45 $3.00 70.5% 19.6% 78.1% 74.4% 70.2% 7.6% 2.3% 1.3M -3.0M -721.6K 0.62 4.18 N/A N/A 5,731 3,581 777,897 358,876 2011-09-09 $3.45 $3.00 71.0% 20.8% 77.9% 75.0% 73.5% 5.5% 1.1% 1.3M -6.2M -728.9K 0.44 5.58 N/A N/A 12,991 5,750 779,787 361,234 2011-09-12 $3.40 $3.00 79.0% 21.1% 77.8% 86.9% 73.5% 8.5% 0.8% 1.2M 219.1K -697.4K 0.36 5.36 N/A N/A 16,734 6,035 781,229 362,062 2011-09-13 $3.57 $3.00 71.9% 20.5% 73.9% 76.4% 71.1% 10.9% 1.5% 1.6M -14.6M -745.6K 0.20 5.47 N/A N/A 35,346 6,991 791,022 363,309 2011-09-14 $3.53 $3.00 68.1% 20.4% 73.1% 70.8% 74.1% 13.2% 2.2% 1.6M -12.3M -737.4K 0.07 5.51 N/A N/A 50,304 3,362 803,898 365,423 2011-09-15 $3.44 $3.00 69.6% 20.0% 72.3% 73.0% 73.0% 6.8% 3.9% 1.5M -6.5M -694.5K 0.30 4.67 N/A N/A 17,518 5,213 805,609 365,651 2011-09-16 $3.36 $3.00 67.3% 19.3% 69.2% 69.5% 68.5% 12.4% 3.9% 1.3M 4.5M -671.3K 0.26 5.39 N/A N/A 26,531 6,800 809,902 369,564 2011-09-19 $3.35 $3.00 64.7% 18.5% 68.9% 65.6% 64.2% 13.0% 6.6% 915.9K 431.1K -665.2K 0.15 4.57 N/A N/A 16,023 2,377 729,323 339,435 2011-09-20 $3.33 $3.00 61.7% 17.7% 66.7% 61.3% 62.3% 9.9% 6.4% 943.6K 3.1M -642.6K 0.24 3.89 N/A N/A 14,322 3,459 736,575 340,418 2011-09-21 $3.25 $3.00 67.7% 19.4% 56.8% 70.1% 65.4% 4.9% 5.9% 921.3K 6.1M -625.2K 0.36 5.81 N/A N/A 19,125 6,901 747,040 343,002 2011-09-22 $3.01 $3.00 78.7% 22.6% 61.2% 86.4% 79.5% 6.9% 3.4% 718.8K 15.7M -568.1K 0.21 5.54 N/A N/A 81,309 17,207 756,957 348,768 2011-09-23 $3.18 $3.00 80.2% 23.0% 60.7% 88.7% 80.6% 7.4% 2.2% 924.8K -3.2M -665.4K 0.64 4.95 N/A N/A 46,121 29,444 791,025 355,702 2011-09-26 $3.09 $3.00 81.0% 23.2% 61.4% 89.9% 82.3% 4.0% 1.5% 890.3K 6.6M -615.0K 0.77 4.11 N/A N/A 8,149 6,297 804,449 365,723 2011-09-27 $3.13 $3.00 78.7% 22.6% 56.8% 86.4% 77.8% 3.8% 4.2% 892.7K 2.7M -634.7K 0.90 5.18 N/A N/A 20,552 18,574 801,233 370,329 2011-09-28 $3.08 $3.00 80.3% 23.0% 55.7% 88.8% 78.7% 1.3% 1.3% 783.9K 5.2M -616.6K 0.23 4.80 N/A N/A 8,447 1,974 803,250 376,072 2011-09-29 $3.13 $3.00 76.3% 21.9% 51.1% 82.8% 76.8% 1.4% 2.8% 850.9K 1.9M -630.6K 0.43 6.05 N/A N/A 9,300 3,999 806,062 375,712 2011-09-30 $3.04 $3.00 78.4% 22.7% 51.6% 86.0% 81.6% 2.9% 5.2% 822.9K 7.3M -608.3K 0.11 4.49 N/A N/A 23,323 2,541 810,178 378,525
« Aug 2011 | All History | Oct 2011 » Home S History September 2011