S Options History — February 2012

In February 2012, S traded between $2.21 and $2.55. ATM implied volatility averaged 65.7%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 16.9% (HV 20d: 48.8%). Max pain ranged from $1.50 to $2.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2012-02-07: Highest Volume — 86,941 contracts
  • 2012-02-08: Largest IV drop — 52.8% change
  • 2012-02-07: Highest IV Rank — 73.4%
  • 2012-02-01: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.36$2.21$2.55$2.23$2.47
Max Pain$1.98$1.50$2.00$2.00$2.00
ATM IV65.7%50.2%124.1%67.3%58.8%
Expected Move16.4%14.4%20.7%20.7%15.0%
HV 20d48.8%41.0%61.1%41.8%61.1%
HV 60d49.6%46.8%52.7%48.6%50.7%
IV Rank32.0%21.1%73.4%33.1%27.1%
IV Percentile58.4%45.2%97.2%62.3%50.0%
Term Structure-0.2%-8.8%5.9%-8.8%-1.2%
VWIV57.7%46.8%73.1%73.1%51.4%
Skew 25d2.2%-17.0%22.5%1.9%-17.0%
Skew 10d6.6%-27.2%35.4%16.8%-27.2%
Call IV 25d58.3%37.4%72.8%69.0%59.0%
Put IV 25d60.6%41.9%72.3%70.9%41.9%
Bid-Ask Spread %4.662.7610.7310.454.71
Gamma HHI0.450.330.590.360.51
Net GEX547.7K252.3K865.6K252.3K865.6K
Net DEX-12.4M-26.3M-1.0M-1.0M-20.8M
Net VEX-241.7K-285.5K-196.0K-196.0K-278.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.050.580.070.58
Total Volume33,336.9511,51186,94138,44413,715
Total OI587,345.5490,281665,291507,465578,350

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$2.23$2.0067.3%20.7%41.8%33.1%73.1%1.9%-8.8%252.3K-1.0M-196.0K0.0710.45N/AN/A35,9602,484337,374170,091
2012-02-02$2.21$2.0088.1%20.0%41.7%47.9%69.1%-1.6%-5.5%339.1K-3.1M-197.8K0.059.64N/AN/A31,5941,645363,004170,247
2012-02-03$2.32$1.5080.9%16.9%43.9%42.8%60.8%-0.0%-0.5%469.3K-10.1M-217.2K0.345.64N/AN/A17,6275,979381,919170,925
2012-02-06$2.46$2.00112.6%17.3%47.3%65.2%60.7%10.0%-1.2%560.3K-18.6M-228.6K0.3910.73N/AN/A45,35817,818388,344173,257
2012-02-07$2.45$2.00124.1%19.8%47.4%73.4%71.2%-0.4%-5.2%603.4K-20.5M-252.0K0.334.68N/AN/A65,61621,325413,411186,009
2012-02-08$2.41$2.0058.5%17.1%47.9%27.0%60.6%3.8%-1.8%785.8K-14.7M-239.8K0.263.42N/AN/A68,03917,959436,863200,914
2012-02-09$2.39$2.0057.6%16.5%47.0%26.3%58.5%7.8%0.3%846.3K-13.7M-246.7K0.272.82N/AN/A22,3726,048454,040205,998
2012-02-10$2.29$2.0058.3%16.7%49.5%26.8%58.4%-0.8%-0.6%566.3K-8.2M-238.5K0.253.04N/AN/A9,1942,317453,634204,465
2012-02-13$2.31$2.0056.4%16.2%49.6%25.5%59.5%1.9%-0.6%551.3K-8.4M-234.7K0.393.14N/AN/A13,3935,182437,973201,096
2012-02-14$2.31$2.0050.6%14.5%46.7%21.4%52.0%4.1%5.1%567.8K-8.6M-237.2K0.062.76N/AN/A15,977886443,267204,043
2012-02-15$2.26$2.0054.4%15.6%43.4%24.1%56.3%4.6%4.3%361.0K-6.1M-228.7K0.072.76N/AN/A20,3951,330449,965203,881
2012-02-16$2.26$2.0054.6%15.7%43.4%24.2%55.9%3.4%4.6%324.3K-5.6M-230.9K0.433.15N/AN/A9,4374,028457,009204,250
2012-02-17$2.30$2.0053.1%15.2%42.5%23.1%54.2%1.3%5.9%350.1K-7.5M-236.1K0.423.13N/AN/A10,8714,531459,851205,440
2012-02-21$2.27$2.0050.2%14.4%42.6%21.1%53.4%1.6%1.0%364.9K-4.9M-226.0K0.203.33N/AN/A12,0152,346322,680167,601
2012-02-22$2.23$2.0054.5%15.6%41.0%24.1%54.7%0.9%-1.1%349.6K-3.9M-225.9K0.273.54N/AN/A17,8444,754331,160169,054
2012-02-23$2.52$2.0053.6%15.4%59.3%23.5%53.6%22.5%-0.8%556.9K-19.7M-268.6K0.214.72N/AN/A51,15010,849344,720170,456
2012-02-24$2.47$2.0053.1%14.7%59.7%23.1%50.0%-0.2%-0.2%656.2K-20.0M-282.1K0.403.25N/AN/A25,96910,394372,759176,134
2012-02-27$2.55$2.0062.0%15.7%60.3%29.4%54.5%7.6%1.6%737.1K-25.5M-285.5K0.394.93N/AN/A27,49810,620382,828177,957
2012-02-28$2.55$2.0064.3%14.7%60.2%31.1%46.8%-7.1%1.3%845.8K-26.3M-284.1K0.323.34N/AN/A16,8145,406392,972182,969
2012-02-29$2.47$2.0058.8%15.0%61.1%27.1%51.4%-17.0%-1.2%865.6K-20.8M-278.4K0.584.71N/AN/A8,6595,056394,231184,119