S Options History — November 2011

In November 2011, S traded between $2.38 and $2.92. ATM implied volatility averaged 72.7%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 0.1% (HV 20d: 72.6%). Max pain ranged from $2.50 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2011-11-07: Highest Volume — 94,751 contracts
  • 2011-11-02: Largest IV drop — 40.1% change
  • 2011-11-30: Highest IV Rank — 89.2%
  • 2011-11-29: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.71$2.38$2.92$2.49$2.70
Max Pain$2.64$2.50$3.50$3.50$2.50
ATM IV72.7%52.8%146.5%88.2%146.5%
Expected Move20.5%17.7%26.6%24.0%25.4%
HV 20d72.6%59.4%115.2%110.1%64.4%
HV 60d83.4%79.7%87.1%85.5%81.0%
IV Rank37.0%22.9%89.2%47.9%89.2%
IV Percentile79.4%69.8%98.8%93.7%98.8%
Term Structure3.8%-2.9%9.9%-1.2%-0.3%
VWIV72.0%61.1%92.3%84.7%78.9%
Skew 25d8.9%1.8%30.2%4.1%30.2%
Skew 10d9.9%-8.7%18.5%-0.6%17.6%
Call IV 25d68.7%55.4%84.0%84.0%59.7%
Put IV 25d77.6%68.5%93.9%88.1%89.8%
Bid-Ask Spread %4.232.606.926.924.04
Gamma HHI0.380.260.590.310.37
Net GEX1.0M351.4K2.1M732.4K758.5K
Net DEX8.7M-4.1M24.3M16.2M-1.2M
Net VEX-392.1K-479.1K-283.8K-393.7K-346.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.121.800.301.80
Total Volume33,458.2386,38394,75123,59664,599
Total OI1,291,1491,067,5841,462,6901,292,6731,128,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$2.49$3.5088.2%24.0%110.1%47.9%84.7%4.1%-1.2%732.4K16.2M-393.7K0.306.92N/AN/A18,1305,466934,668358,005
2011-11-02$2.72$3.5052.8%22.5%115.2%22.9%75.6%10.2%3.7%980.3K6.4M-430.9K0.413.34N/AN/A9,0563,677944,072357,643
2011-11-03$2.81$3.5072.4%20.6%114.3%36.8%75.6%8.2%0.9%1.2M-3.3M-475.6K0.743.86N/AN/A37,17727,546942,843359,148
2011-11-04$2.87$2.5070.5%21.7%79.9%35.4%77.7%1.8%0.4%1.3M-3.8M-462.4K0.505.20N/AN/A15,6957,874966,854382,427
2011-11-07$2.91$2.5066.4%20.1%72.4%32.6%73.3%6.1%3.1%1.4M-4.1M-456.4K0.755.58N/AN/A54,00740,744965,039379,335
2011-11-08$2.89$2.5060.4%19.7%69.6%28.3%72.7%5.8%3.2%1.5M-166.3K-479.1K0.584.58N/AN/A8,5604,9901,025,517437,173
2011-11-09$2.74$2.5064.9%22.7%68.2%31.4%77.3%8.1%1.4%1.1M10.0M-428.7K0.285.63N/AN/A21,7686,1481,002,914415,157
2011-11-10$2.84$2.5068.3%19.6%63.5%33.9%69.6%6.3%2.0%1.5M2.1M-461.5K0.123.94N/AN/A43,5305,2811,011,338415,527
2011-11-11$2.91$2.5062.7%18.0%64.0%29.9%62.6%4.0%6.0%1.8M-956.4K-458.1K0.353.02N/AN/A8,5073,0051,009,961418,204
2011-11-14$2.86$2.5064.4%18.5%64.4%31.1%68.3%5.9%5.6%1.7M3.6M-430.2K0.653.26N/AN/A6,8664,4631,009,465411,685
2011-11-15$2.92$2.5062.1%17.8%64.2%29.5%64.7%4.1%5.8%2.1M5.0M-428.4K0.222.60N/AN/A7,7451,6741,011,037423,178
2011-11-16$2.85$2.5062.8%18.0%64.0%30.0%68.1%6.5%7.5%1.9M7.6M-423.2K0.213.58N/AN/A5,2601,1231,012,401417,877
2011-11-17$2.70$2.5071.9%20.6%65.9%36.4%70.0%7.8%3.7%565.2K21.8M-352.4K0.585.04N/AN/A8,4074,9151,014,880407,794
2011-11-18$2.62$2.5070.7%20.3%66.1%35.6%70.4%9.4%5.5%432.1K22.4M-352.3K0.894.28N/AN/A25,18222,3681,017,934409,768
2011-11-21$2.60$2.5067.4%19.3%65.4%33.2%67.3%17.1%6.5%548.8K12.2M-334.8K0.833.83N/AN/A17,18614,315754,493313,091
2011-11-22$2.62$2.5062.2%17.8%65.5%29.6%61.1%14.8%5.8%563.9K13.3M-329.9K0.173.43N/AN/A16,4782,883765,964320,041
2011-11-23$2.47$2.5061.9%17.7%63.6%29.3%61.2%3.4%9.9%427.1K20.6M-290.1K0.434.34N/AN/A9,9084,308773,022317,751
2011-11-25$2.38$2.5069.8%19.0%62.3%34.9%67.9%12.2%3.8%351.4K24.3M-283.8K0.984.37N/AN/A8,3518,152774,548320,243
2011-11-28$2.45$2.5075.2%21.1%61.9%38.8%73.6%8.1%9.7%387.4K19.9M-292.7K0.144.13N/AN/A68,5339,743770,714319,388
2011-11-29$2.50$2.50104.8%26.6%59.4%59.7%92.3%13.8%-2.9%521.4K11.2M-323.7K0.223.78N/AN/A56,67112,332774,711319,727
2011-11-30$2.70$2.50146.5%25.4%64.4%89.2%78.9%30.2%-0.3%758.5K-1.2M-346.4K1.804.04N/AN/A23,10041,499799,693328,899