S Options History — December 2011

In December 2011, S traded between $2.16 and $2.70. ATM implied volatility averaged 77.1%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 21.1% (HV 20d: 56.0%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2011-12-09: Highest Volume — 56,112 contracts
  • 2011-12-14: Largest IV spike — 30.0% change
  • 2011-12-01: Highest IV Rank — 52.7%
  • 2011-12-01: Largest Expected Move — 25.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.40$2.16$2.70$2.70$2.34
Max Pain$2.79$2.50$3.00$2.50$2.50
ATM IV77.1%61.4%94.9%94.9%61.4%
Expected Move21.7%20.6%25.6%25.6%22.3%
HV 20d56.0%49.9%63.7%56.1%50.4%
HV 60d80.8%78.2%81.9%80.7%78.3%
IV Rank40.1%29.0%52.7%52.7%29.0%
IV Percentile81.6%59.5%94.4%94.4%59.5%
Term Structure1.9%-3.3%8.2%-3.3%-2.5%
VWIV74.1%56.9%80.8%75.5%77.6%
Skew 25d4.1%-2.4%20.4%20.4%-2.4%
Skew 10d0.9%-24.9%30.8%16.6%-17.8%
Call IV 25d74.0%66.6%80.0%70.2%78.7%
Put IV 25d78.1%74.2%90.6%90.6%76.3%
Bid-Ask Spread %4.802.858.714.514.50
Gamma HHI0.340.290.420.310.35
Net GEX531.9K335.9K652.7K601.8K646.0K
Net DEX18.2M-3.9M27.8M-3.9M17.2M
Net VEX-251.2K-360.9K-194.7K-360.9K-214.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.083.211.710.30
Total Volume21,973.0486,55756,11233,23918,181
Total OI1,121,303.1431,043,9571,184,1581,171,4331,088,161

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$2.70$2.5094.9%25.6%56.1%52.7%75.5%20.4%-3.3%601.8K-3.9M-360.9K1.714.51N/AN/A12,26720,972809,877361,556
2011-12-02$2.60$2.5086.2%22.0%56.2%46.5%74.5%12.4%0.8%652.7K4.8M-331.9K3.213.86N/AN/A8,49327,249810,941373,217
2011-12-05$2.65$3.0088.0%22.0%56.1%47.9%76.5%12.4%2.4%604.2K10.5M-321.3K1.157.11N/AN/A6,5157,503800,466357,449
2011-12-06$2.61$3.0079.9%20.7%55.8%42.1%72.7%9.7%2.5%608.8K11.8M-303.3K1.223.79N/AN/A7,8739,621801,639347,249
2011-12-07$2.56$3.0070.7%20.6%56.0%35.6%56.9%9.1%3.4%464.3K16.8M-293.3K1.862.85N/AN/A5,3319,924802,009352,328
2011-12-08$2.44$3.0074.8%21.4%55.5%38.5%70.2%2.5%2.1%335.9K22.2M-276.3K0.446.37N/AN/A9,4804,215803,019351,022
2011-12-09$2.47$3.0071.2%21.5%53.7%35.9%74.9%2.2%0.3%365.1K19.7M-278.3K2.426.54N/AN/A16,38739,725806,424349,798
2011-12-12$2.37$3.0079.2%21.0%53.7%41.6%74.2%-1.3%2.0%351.6K24.9M-251.7K0.085.81N/AN/A51,3374,180806,902338,431
2011-12-13$2.39$3.0071.4%21.3%54.0%36.0%73.2%3.6%3.4%595.6K20.1M-255.5K0.525.82N/AN/A23,16011,987825,288320,784
2011-12-14$2.27$3.0092.8%22.3%54.8%51.2%74.5%-2.2%-0.2%488.8K26.9M-225.3K0.643.89N/AN/A9,8766,273830,769323,194
2011-12-15$2.28$3.0075.4%21.6%55.0%38.9%74.9%1.9%2.7%491.7K27.8M-224.2K0.934.18N/AN/A7,6697,100843,913323,244
2011-12-16$2.25$3.0073.8%21.2%52.6%37.8%73.1%0.8%8.2%480.1K27.1M-222.3K0.203.78N/AN/A10,3782,085836,339324,008
2011-12-19$2.16$3.0075.5%21.7%53.3%39.0%75.4%1.1%6.2%386.0K26.6M-194.7K0.834.07N/AN/A11,1629,270753,898290,059
2011-12-20$2.36$3.0079.1%22.7%63.7%41.5%80.8%7.7%2.7%576.0K17.6M-231.9K0.183.01N/AN/A36,2486,560758,649295,710
2011-12-21$2.33$2.5075.5%21.6%63.6%39.0%77.1%3.8%4.4%591.5K17.7M-230.4K0.222.93N/AN/A9,5632,093775,767295,372
2011-12-22$2.35$2.5073.5%21.1%60.6%37.5%73.5%4.8%3.3%607.4K18.5M-225.0K0.675.01N/AN/A5,8473,909777,100296,229
2011-12-23$2.31$2.5077.2%22.1%59.4%40.2%77.1%3.5%-2.5%583.8K18.0M-221.2K0.113.90N/AN/A5,925632779,707297,937
2011-12-27$2.32$2.5074.7%21.4%58.4%38.4%75.1%-1.7%1.8%604.9K18.1M-213.4K0.308.71N/AN/A6,2661,876780,216296,880
2011-12-28$2.28$2.5072.8%20.9%58.0%37.0%75.3%-1.5%0.2%544.1K21.3M-198.8K0.145.31N/AN/A8,9371,259782,374296,790
2011-12-29$2.31$2.5071.8%20.6%49.9%36.3%73.6%-1.7%1.2%588.7K19.5M-201.1K0.294.75N/AN/A10,9673,139785,305297,346
2011-12-30$2.34$2.5061.4%22.3%50.4%29.0%77.6%-2.4%-2.5%646.0K17.2M-214.8K0.304.50N/AN/A14,0274,154788,783299,378