S Options History — October 2011

In October 2011, S traded between $2.22 and $3.01. ATM implied volatility averaged 107.4%, placing in the 64.2% IV rank vs the trailing year. The 30-day expected move averaged 28.0%. IV traded above realized volatility by 5.2% (HV 20d: 102.1%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2011-10-07: Highest Volume — 179,505 contracts
2011-10-07: Largest IV spike — 41.5% change
2011-10-03: Highest IV Rank — 100.0%
2011-10-10: Largest Expected Move — 38.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.69	$2.22	$3.01	$2.73	$2.57
Max Pain	$3.55	$3.00	$4.00	$3.00	$3.50
ATM IV	107.4%	75.0%	161.7%	124.3%	82.5%
Expected Move	28.0%	21.0%	38.1%	26.4%	21.1%
HV 20d	102.1%	60.0%	115.9%	60.0%	111.3%
HV 60d	92.4%	79.8%	98.8%	79.8%	92.1%
IV Rank	64.2%	38.6%	100.0%	100.0%	43.9%
IV Percentile	96.0%	85.3%	100.0%	100.0%	91.7%
Term Structure	-4.9%	-16.8%	3.3%	3.3%	2.6%
VWIV	97.9%	66.6%	127.2%	98.7%	76.9%
Skew 25d	12.7%	-11.2%	24.0%	-11.2%	2.5%
Skew 10d	22.0%	-17.7%	43.0%	-17.7%	5.0%
Call IV 25d	93.8%	68.4%	125.7%	105.0%	78.7%
Put IV 25d	106.5%	74.7%	135.6%	93.8%	81.2%
Bid-Ask Spread %	6.62	3.04	12.34	5.27	12.34
Gamma HHI	0.26	0.21	0.31	0.25	0.31
Net GEX	861.3K	468.8K	1.3M	620.4K	775.9K
Net DEX	7.8M	-11.5M	26.4M	21.6M	18.8M
Net VEX	-483.0K	-586.2K	-377.4K	-510.4K	-377.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.11	1.19	0.49	0.41
Total Volume	65,248.476	13,943	179,505	85,541	18,066
Total OI	1,332,660.81	1,195,523	1,427,283	1,195,523	1,281,970

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
2011-10-03	$2.73	$3.00	124.3%	26.4%	60.0%	100.0%	98.7%	-11.2%	3.3%	620.4K	21.6M	-510.4K	0.49	5.27	N/A	N/A	57,377	28,164	820,653	374,870
2011-10-04	$2.86	$3.00	149.6%	33.5%	62.1%	100.0%	121.8%	16.0%	-13.4%	756.9K	10.7M	-538.4K	0.28	3.67	N/A	N/A	112,743	32,034	831,013	371,729
2011-10-05	$2.86	$3.00	140.9%	28.2%	60.7%	93.2%	101.3%	9.1%	-0.8%	856.8K	8.0M	-536.5K	0.15	3.94	N/A	N/A	22,516	3,474	879,905	377,746
2011-10-06	$3.01	$3.00	105.6%	28.9%	64.4%	65.9%	101.2%	12.6%	-7.8%	1.0M	-2.7M	-586.2K	0.11	3.04	N/A	N/A	55,119	6,030	885,716	377,954
2011-10-07	$2.41	$4.00	149.4%	34.7%	99.9%	99.9%	117.7%	17.7%	-12.5%	545.9K	17.5M	-459.6K	0.27	8.86	N/A	N/A	141,083	38,422	918,133	381,990
2011-10-10	$2.22	$4.00	161.7%	38.1%	102.4%	100.0%	127.2%	9.8%	-16.8%	468.8K	26.4M	-392.5K	0.22	4.17	N/A	N/A	117,397	26,363	930,670	389,945
2011-10-11	$2.38	$4.00	138.0%	34.1%	104.5%	83.2%	117.3%	21.3%	-9.2%	688.3K	17.6M	-443.3K	0.25	3.17	N/A	N/A	54,010	13,349	992,393	393,965
2011-10-12	$2.57	$4.00	116.8%	32.4%	110.1%	68.2%	113.0%	13.6%	-10.4%	921.1K	12.2M	-479.3K	0.35	3.40	N/A	N/A	49,679	17,161	1,007,994	398,430
2011-10-13	$2.78	$4.00	101.3%	29.0%	114.9%	57.2%	104.4%	23.0%	-9.2%	994.7K	-3.3M	-544.1K	1.19	3.47	N/A	N/A	58,763	70,209	1,018,170	409,113
2011-10-14	$2.79	$4.00	89.1%	25.6%	114.9%	48.6%	89.6%	20.0%	-2.7%	1.0M	-6.2M	-535.1K	0.17	8.83	N/A	N/A	89,572	15,426	1,030,643	392,714
2011-10-17	$2.81	$3.50	95.4%	27.3%	115.1%	53.1%	96.2%	15.6%	-4.8%	1.2M	-9.6M	-547.5K	0.26	7.54	N/A	N/A	24,763	6,531	1,036,643	386,694
2011-10-18	$2.88	$3.50	93.4%	26.8%	115.7%	51.7%	96.6%	24.0%	-5.0%	1.3M	-11.5M	-550.0K	0.31	8.54	N/A	N/A	17,865	5,558	1,029,477	389,079
2011-10-19	$2.80	$3.50	92.6%	26.5%	115.8%	51.1%	95.6%	15.2%	-3.3%	1.1M	-3.3M	-519.2K	0.31	3.79	N/A	N/A	10,630	3,313	1,028,519	391,139
2011-10-20	$2.71	$3.50	101.9%	29.2%	113.3%	57.7%	98.3%	15.5%	-7.4%	898.7K	2.6M	-490.2K	1.06	8.02	N/A	N/A	9,884	10,431	1,028,892	392,219
2011-10-21	$2.77	$3.50	86.8%	24.9%	111.6%	47.0%	89.6%	15.2%	-1.6%	876.4K	4.6M	-491.6K	0.49	3.96	N/A	N/A	10,525	5,186	1,028,964	397,103
2011-10-24	$2.69	$3.50	90.5%	26.0%	111.6%	49.6%	85.6%	15.3%	-1.7%	831.4K	7.3M	-461.7K	0.25	10.58	N/A	N/A	27,614	6,854	901,596	352,970
2011-10-25	$2.70	$3.50	97.2%	27.9%	111.4%	54.3%	92.2%	14.6%	-7.9%	834.3K	10.9M	-438.1K	0.41	10.50	N/A	N/A	48,959	19,907	910,852	355,777
2011-10-26	$2.51	$3.50	82.0%	23.5%	113.8%	43.6%	85.8%	1.8%	2.2%	664.0K	17.6M	-404.2K	0.23	7.61	N/A	N/A	54,208	12,283	931,781	367,736
2011-10-27	$2.63	$3.50	80.4%	23.0%	115.3%	42.4%	79.9%	8.3%	0.4%	801.0K	14.9M	-413.5K	0.12	9.34	N/A	N/A	33,458	3,918	926,132	363,338
2011-10-28	$2.72	$3.50	75.0%	21.0%	115.9%	38.6%	66.6%	6.3%	3.1%	933.3K	10.2M	-424.8K	0.34	9.07	N/A	N/A	23,350	8,024	938,638	362,612
2011-10-31	$2.57	$3.50	82.5%	21.1%	111.3%	43.9%	76.9%	2.5%	2.6%	775.9K	18.8M	-377.4K	0.41	12.34	N/A	N/A	12,811	5,255	926,211	355,759