S Options History — January 2012

In January 2012, S traded between $2.12 and $2.34. ATM implied volatility averaged 63.2%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 20.1% (HV 20d: 43.1%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2012-01-25: Highest Volume — 77,653 contracts
  • 2012-01-31: Largest IV spike — 124.3% change
  • 2012-01-31: Highest IV Rank — 38.6%
  • 2012-01-10: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.24$2.12$2.34$2.34$2.12
Max Pain$2.38$2.00$2.50$2.50$2.00
ATM IV63.2%33.4%75.0%46.2%75.0%
Expected Move19.5%17.3%21.9%21.0%18.7%
HV 20d43.1%35.7%49.2%49.1%36.8%
HV 60d56.3%47.8%77.5%77.5%47.8%
IV Rank30.3%9.2%38.6%18.2%38.6%
IV Percentile61.0%7.1%79.0%49.2%79.0%
Term Structure-2.7%-9.3%12.1%1.3%-3.3%
VWIV69.3%62.0%75.6%73.7%65.3%
Skew 25d-2.4%-14.1%5.5%-5.8%-9.1%
Skew 10d0.2%-25.4%25.6%-15.6%-5.3%
Call IV 25d71.7%66.5%81.0%81.0%73.3%
Put IV 25d69.3%60.5%80.9%75.2%64.2%
Bid-Ask Spread %7.933.3012.526.4212.52
Gamma HHI0.360.200.610.380.31
Net GEX351.4K130.5K699.5K684.5K159.2K
Net DEX18.2M56.6K32.1M18.1M3.8M
Net VEX-166.4K-198.7K-138.9K-198.7K-180.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.092.160.700.26
Total Volume19,802.756,93577,65313,62923,283
Total OI876,696.75375,6691,122,5571,093,938493,173

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$2.34$2.5046.2%21.0%49.1%18.2%73.7%-5.8%1.3%684.5K18.1M-198.7K0.706.42N/AN/A7,9995,630793,308300,630
2012-01-04$2.31$2.5057.0%19.6%48.3%25.9%69.5%-0.5%5.5%634.5K21.6M-190.9K0.715.86N/AN/A5,0863,606797,003300,324
2012-01-05$2.24$2.5056.8%18.8%49.0%25.7%69.9%-7.0%12.1%525.3K24.5M-182.0K0.3511.67N/AN/A10,9733,884797,063300,849
2012-01-06$2.19$2.5065.0%21.8%49.1%31.5%75.6%3.4%-5.3%407.0K30.1M-165.4K0.188.58N/AN/A22,5704,165800,007302,168
2012-01-09$2.20$2.5072.1%21.7%46.9%36.6%75.0%4.3%-5.4%447.2K29.9M-157.3K0.6910.00N/AN/A8,0965,570811,098303,138
2012-01-10$2.23$2.5054.9%21.9%47.0%24.4%74.7%5.5%-7.8%440.9K30.8M-155.7K0.694.35N/AN/A4,0932,842805,105305,856
2012-01-11$2.30$2.5071.5%20.3%46.6%36.2%71.8%4.6%-6.6%644.4K22.5M-177.3K0.846.91N/AN/A10,3308,698806,679300,087
2012-01-12$2.32$2.5071.1%20.4%46.6%35.8%72.9%2.7%-8.7%699.5K21.9M-178.2K0.354.77N/AN/A14,6885,214809,446301,404
2012-01-13$2.31$2.5069.5%19.9%42.7%34.8%70.7%0.8%-6.6%687.3K22.9M-176.8K1.239.21N/AN/A3,7504,628814,585300,733
2012-01-17$2.21$2.5067.3%19.3%45.6%33.1%69.1%-4.8%-3.2%130.5K31.3M-138.9K0.864.74N/AN/A10,5629,074814,792301,573
2012-01-18$2.33$2.5065.3%18.7%49.2%31.7%67.0%2.0%-3.0%155.4K32.1M-153.0K0.483.30N/AN/A6,0052,898816,763304,914
2012-01-19$2.34$2.5070.3%20.2%46.6%35.3%70.2%1.1%-9.3%165.0K31.3M-154.9K1.2810.66N/AN/A9,01911,506817,124303,396
2012-01-20$2.27$2.5067.3%19.3%35.8%33.2%66.6%-5.4%-6.9%146.9K31.1M-147.2K0.289.87N/AN/A19,0735,261819,129303,428
2012-01-23$2.25$2.5066.0%18.9%35.7%32.3%65.9%0.3%-1.6%175.6K1.6M-140.3K0.0911.09N/AN/A24,8632,239266,284109,385
2012-01-24$2.17$2.5063.0%18.1%37.5%30.2%68.7%-14.1%0.5%203.1K1.3M-140.9K0.719.32N/AN/A10,2737,341283,767110,234
2012-01-25$2.20$2.0060.4%17.3%37.7%28.3%65.0%-9.2%2.8%217.5K56.6K-152.1K2.169.80N/AN/A24,58353,070291,525115,132
2012-01-26$2.17$2.0064.3%18.4%37.8%31.1%67.3%-7.5%-2.8%162.3K3.2M-179.7K0.225.94N/AN/A18,3263,946305,555163,604
2012-01-27$2.17$2.0068.4%17.8%37.4%33.9%62.0%-4.4%0.1%178.4K3.3M-177.1K0.318.36N/AN/A8,2682,573314,811165,415
2012-01-30$2.16$2.0033.4%18.5%37.0%9.2%64.8%-4.9%-4.9%163.9K3.5M-180.0K0.365.24N/AN/A8,8923,178318,703165,745
2012-01-31$2.12$2.0075.0%18.7%36.8%38.6%65.3%-9.1%-3.3%159.2K3.8M-180.5K0.2612.52N/AN/A18,4364,847325,204167,969