S Options History — April 2012

In April 2012, S traded between $2.34 and $2.88. ATM implied volatility averaged 61.8%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 12.6% (HV 20d: 49.3%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2012-04-24: Highest Volume — 88,770 contracts
  • 2012-04-04: Largest IV spike — 71.3% change
  • 2012-04-04: Highest IV Rank — 52.4%
  • 2012-04-20: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.58$2.34$2.88$2.86$2.48
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV61.8%46.3%94.4%70.0%46.3%
Expected Move16.8%13.8%19.0%14.5%13.8%
HV 20d49.3%42.4%53.8%51.0%51.7%
HV 60d52.4%50.2%54.6%50.6%54.5%
IV Rank29.3%18.3%52.4%35.1%18.3%
IV Percentile51.7%27.8%93.3%67.1%27.8%
Term Structure0.9%-4.1%11.8%4.3%7.7%
VWIV57.4%41.5%66.1%50.8%48.1%
Skew 25d4.5%-5.4%27.4%-1.3%27.4%
Skew 10d5.6%-18.1%43.5%8.8%43.5%
Call IV 25d59.1%37.8%70.1%55.2%37.8%
Put IV 25d63.6%51.0%71.1%53.8%65.2%
Bid-Ask Spread %4.543.396.444.023.56
Gamma HHI0.260.200.440.240.33
Net GEX226.1K-53.5K524.9K506.1K205.5K
Net DEX-424.2K-26.0M17.0M-24.4M7.9M
Net VEX-439.2K-510.0K-381.0K-504.4K-416.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.134.140.620.71
Total Volume22,591.84,96888,7704,96816,277
Total OI821,100.5753,730855,464822,614834,410

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$2.86$2.5070.0%14.5%51.0%35.1%50.8%-1.3%4.3%506.1K-24.4M-504.4K0.624.02N/AN/A3,0741,894452,465370,149
2012-04-03$2.88$2.5055.1%15.0%50.2%24.5%41.5%-5.4%0.8%524.9K-26.0M-510.0K0.193.39N/AN/A15,0422,792453,986370,753
2012-04-04$2.75$2.5094.4%15.1%53.8%52.4%53.1%-3.3%11.8%409.8K-15.8M-488.3K0.434.61N/AN/A10,3524,465452,632371,579
2012-04-05$2.76$2.5055.4%14.8%48.7%24.7%51.2%3.5%7.4%412.7K-14.4M-489.7K0.524.82N/AN/A4,3782,268451,116369,541
2012-04-09$2.75$2.5066.6%18.5%42.4%32.6%63.7%7.0%-3.6%411.5K-13.4M-478.3K0.855.05N/AN/A9,2227,801448,792369,869
2012-04-10$2.66$2.5062.2%17.5%43.4%29.6%59.6%8.5%-0.2%344.2K-8.8M-462.5K0.454.56N/AN/A35,66916,094452,006371,124
2012-04-11$2.75$2.5051.3%18.1%44.1%21.9%57.0%6.8%-2.0%293.7K-8.6M-468.3K0.444.39N/AN/A8,4273,700438,975380,884
2012-04-12$2.75$2.5061.2%17.6%44.0%28.9%56.4%5.1%-0.3%319.4K-9.2M-468.3K0.855.05N/AN/A4,6333,925440,666380,933
2012-04-13$2.68$2.5062.3%17.9%44.7%29.6%61.8%6.6%-2.0%178.4K-3.1M-453.1K0.514.26N/AN/A5,3742,726441,979380,673
2012-04-16$2.51$2.5063.0%18.0%48.1%30.1%62.7%5.1%-3.0%9137.6M-422.6K0.516.44N/AN/A12,7336,538441,421382,741
2012-04-17$2.61$2.5063.9%18.3%48.5%30.8%63.7%8.6%-2.7%19.9K1.7M-427.2K0.864.20N/AN/A9,3338,019444,140383,964
2012-04-18$2.52$2.5063.1%18.1%49.8%30.2%63.5%5.1%-1.6%-47.0K6.5M-424.9K4.144.93N/AN/A3,92316,255448,937386,809
2012-04-19$2.40$2.5064.5%18.5%51.8%31.2%65.0%1.0%-3.3%-53.5K17.0M-385.1K1.385.22N/AN/A16,61622,982447,902383,465
2012-04-20$2.37$2.5066.2%19.0%51.8%32.4%66.1%-0.7%-4.1%29.6K16.9M-388.0K1.004.63N/AN/A5,5815,555454,570382,330
2012-04-23$2.34$2.5062.6%17.9%51.8%29.8%62.4%1.5%-2.1%14.9K13.6M-381.0K0.133.91N/AN/A21,9572,953401,378352,352
2012-04-24$2.47$2.5064.4%18.5%53.4%31.1%63.9%0.1%-0.5%142.7K5.1M-410.0K0.774.43N/AN/A50,22238,548414,976353,539
2012-04-25$2.43$2.5054.4%15.6%53.4%24.0%54.2%-4.3%1.6%362.7K9.7M-397.8K0.485.14N/AN/A30,58014,684442,781370,052
2012-04-26$2.37$2.5054.2%15.5%53.7%23.9%54.3%3.9%3.2%343.2K12.2M-405.2K0.294.46N/AN/A11,0133,226460,935381,722
2012-04-27$2.36$2.5055.3%14.1%48.8%24.7%49.2%15.7%6.2%102.9K16.9M-401.9K0.353.78N/AN/A9,6443,361461,268394,196
2012-04-30$2.48$2.5046.3%13.8%51.7%18.3%48.1%27.4%7.7%205.5K7.9M-416.9K0.713.56N/AN/A9,4956,782445,984388,426