S Options History — March 2012 In March 2012, S traded between $2.39 and $2.98. ATM implied volatility averaged 50.1%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 6.4% (HV 20d: 56.6%). Max pain ranged from $2.00 to $2.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.67.
Notable Days 2012-03-13 : Highest Volume — 196,581 contracts2012-03-15 : Largest IV spike — 28.9% change2012-03-30 : Highest IV Rank — 26.4%2012-03-09 : Largest Expected Move — 16.7%Monthly Statistics Metric Avg Min Max Open Close Price $2.71 $2.39 $2.98 $2.50 $2.85 Max Pain $2.45 $2.00 $2.50 $2.00 $2.50 ATM IV 50.1% 40.3% 57.8% 49.0% 57.8% Expected Move 14.9% 13.2% 16.7% 13.7% 15.5% HV 20d 56.6% 46.5% 64.3% 59.0% 52.7% HV 60d 50.2% 48.7% 52.4% 50.2% 51.1% IV Rank 21.0% 14.0% 26.4% 20.2% 26.4% IV Percentile 39.8% 21.0% 48.8% 42.1% 48.8% Term Structure 4.7% -0.5% 10.3% 3.0% 0.6% VWIV 52.1% 46.7% 59.2% 47.5% 53.7% Skew 25d 1.3% -14.1% 7.9% -14.1% -6.6% Skew 10d 2.5% -22.4% 28.4% -22.4% -12.7% Call IV 25d 53.1% 38.6% 59.7% 56.4% 58.7% Put IV 25d 54.5% 42.3% 62.7% 42.3% 52.0% Bid-Ask Spread % 4.55 3.11 7.14 3.58 4.59 Gamma HHI 0.31 0.20 0.55 0.52 0.24 Net GEX 592.5K 312.7K 1.0M 935.2K 512.5K Net DEX -26.3M -47.8M -15.1M -22.9M -25.3M Net VEX -414.4K -514.6K -268.0K -278.2K -507.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.08 2.06 0.22 1.67 Total Volume 34,596.273 4,275 196,581 10,160 35,194 Total OI 715,933.364 579,906 823,299 583,356 810,769
Daily Data (22 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 2012-03-01 $2.50 $2.00 49.0% 13.7% 59.0% 20.2% 47.5% -14.1% 3.0% 935.2K -22.9M -278.2K 0.22 3.58 N/A N/A 8,317 1,843 396,219 187,137 2012-03-02 $2.50 $2.00 45.2% 13.8% 58.8% 17.5% 48.1% 3.9% 0.9% 809.0K -22.4M -290.6K 0.16 4.82 N/A N/A 8,011 1,276 398,172 188,060 2012-03-05 $2.43 $2.50 52.3% 14.7% 57.8% 22.5% 51.3% 3.7% 9.7% 803.7K -17.8M -269.6K 0.16 7.14 N/A N/A 46,315 7,483 394,028 185,878 2012-03-06 $2.39 $2.50 54.2% 14.7% 54.1% 23.9% 51.5% 1.4% 8.9% 817.5K -17.8M -268.0K 0.37 5.05 N/A N/A 9,012 3,349 420,421 185,325 2012-03-07 $2.43 $2.50 46.8% 14.8% 54.5% 18.7% 51.0% 1.9% 9.4% 920.2K -20.3M -273.2K 0.60 4.85 N/A N/A 5,172 3,094 412,911 186,665 2012-03-08 $2.60 $2.50 46.6% 15.3% 59.2% 18.5% 52.9% 3.8% 5.5% 1.0M -32.7M -290.0K 0.52 4.27 N/A N/A 37,683 19,543 413,696 187,822 2012-03-09 $2.78 $2.50 54.4% 16.7% 63.0% 24.0% 59.2% 3.0% -0.2% 824.5K -47.8M -316.4K 0.31 4.03 N/A N/A 66,016 20,293 428,059 199,233 2012-03-12 $2.72 $2.50 52.0% 16.5% 61.2% 22.3% 56.4% 1.0% 4.9% 813.0K -37.1M -314.8K 0.24 5.09 N/A N/A 17,758 4,206 422,724 209,242 2012-03-13 $2.79 $2.50 40.6% 15.6% 61.5% 14.3% 55.2% 0.5% 5.4% 729.1K -42.4M -321.2K 2.06 4.32 N/A N/A 64,139 132,442 430,120 209,738 2012-03-14 $2.77 $2.50 40.3% 15.0% 61.7% 14.0% 53.9% 1.6% 4.1% 353.7K -32.7M -498.6K 1.51 5.58 N/A N/A 10,571 15,958 484,524 338,775 2012-03-15 $2.80 $2.50 51.9% 14.9% 60.6% 22.2% 52.4% 1.0% 3.9% 455.2K -35.5M -495.9K 0.41 4.09 N/A N/A 3,631 1,476 479,594 339,530 2012-03-16 $2.89 $2.50 51.1% 14.7% 60.9% 21.7% 51.5% -1.1% 5.6% 312.7K -42.4M -510.7K 0.08 4.66 N/A N/A 46,620 3,577 479,925 339,688 2012-03-19 $2.76 $2.50 54.3% 15.6% 64.3% 24.0% 56.9% 7.9% -0.5% 398.1K -17.1M -484.1K 1.14 4.50 N/A N/A 31,900 36,444 417,010 320,781 2012-03-20 $2.75 $2.50 55.5% 15.9% 64.0% 24.8% 53.1% 4.5% 5.2% 370.4K -15.1M -493.7K 0.48 4.52 N/A N/A 12,248 5,829 426,121 340,727 2012-03-21 $2.78 $2.50 48.3% 13.8% 63.1% 19.7% 50.0% 3.7% 5.2% 421.8K -17.9M -497.8K 0.55 4.73 N/A N/A 7,671 4,207 429,236 342,851 2012-03-22 $2.74 $2.50 51.7% 14.8% 48.0% 22.1% 51.0% -0.6% 10.3% 383.3K -15.2M -495.9K 0.87 4.50 N/A N/A 9,479 8,212 432,194 344,328 2012-03-23 $2.74 $2.50 53.0% 15.2% 47.2% 23.1% 50.6% 1.9% 7.6% 384.9K -15.6M -494.0K 0.43 3.77 N/A N/A 2,996 1,279 437,528 351,274 2012-03-26 $2.86 $2.50 46.1% 13.2% 48.2% 18.1% 46.7% 6.2% 6.3% 461.9K -24.3M -504.6K 1.47 3.63 N/A N/A 7,297 10,736 434,261 351,138 2012-03-27 $2.83 $2.50 50.4% 14.4% 48.5% 21.2% 50.8% 3.6% 2.2% 412.3K -21.6M -500.5K 0.56 5.04 N/A N/A 5,500 3,107 436,801 358,445 2012-03-28 $2.83 $2.50 49.0% 14.0% 46.5% 20.2% 49.4% -0.4% 3.8% 424.9K -21.4M -497.9K 0.33 4.17 N/A N/A 5,502 1,789 439,076 359,691 2012-03-29 $2.98 $2.50 52.3% 15.0% 49.2% 22.6% 53.8% 2.5% 2.0% 486.1K -32.7M -514.6K 0.57 3.11 N/A N/A 21,682 12,261 439,785 361,032 2012-03-30 $2.85 $2.50 57.8% 15.5% 52.7% 26.4% 53.7% -6.6% 0.6% 512.5K -25.3M -507.6K 1.67 4.59 N/A N/A 13,188 22,006 450,546 360,223
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