S Options History — May 2012

In May 2012, S traded between $2.34 and $2.67. ATM implied volatility averaged 50.5%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 3.2% (HV 20d: 47.3%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2012-05-17: Highest Volume — 58,455 contracts
  • 2012-05-03: Largest IV spike — 66.8% change
  • 2012-05-04: Highest IV Rank — 29.4%
  • 2012-05-18: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.47$2.34$2.67$2.55$2.57
Max Pain$2.50$2.50$2.50$2.50$2.50
ATM IV50.5%31.3%62.0%50.8%48.7%
Expected Move14.6%11.7%16.9%13.3%13.3%
HV 20d47.3%38.3%55.3%53.1%39.4%
HV 60d51.3%47.4%54.1%53.9%48.1%
IV Rank21.3%7.7%29.4%21.5%20.0%
IV Percentile30.0%3.6%48.4%31.7%23.4%
Term Structure6.0%-0.9%12.6%7.5%6.5%
VWIV51.1%40.8%59.7%46.0%45.8%
Skew 25d9.4%-7.9%30.4%13.0%13.8%
Skew 10d18.7%-11.1%77.4%18.7%19.2%
Call IV 25d50.0%31.4%68.5%33.4%32.5%
Put IV 25d59.3%43.0%68.2%46.4%46.3%
Bid-Ask Spread %5.904.657.504.656.81
Gamma HHI0.330.210.560.340.21
Net GEX145.8K-192.4K591.7K305.8K6.4K
Net DEX11.3M81.6K23.9M546.5K7.9M
Net VEX-417.1K-442.7K-385.6K-435.0K-424.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.101.711.311.08
Total Volume15,347.9094,27658,45526,7604,276
Total OI820,156.227703,602905,637835,494737,423

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$2.55$2.5050.8%13.3%53.1%21.5%46.0%13.0%7.5%305.8K546.5K-435.0K1.314.65N/AN/A11,57915,181449,038386,456
2012-05-02$2.57$2.5031.3%12.3%53.1%7.7%42.9%-7.9%8.9%353.0K81.6K-427.3K0.966.30N/AN/A9,3248,990452,767387,463
2012-05-03$2.48$2.5052.2%13.0%52.2%22.5%46.7%30.4%7.2%238.0K10.2M-423.7K0.305.41N/AN/A4,8001,427452,983408,911
2012-05-04$2.36$2.5062.0%15.9%54.4%29.4%55.6%8.2%1.1%53.9K18.1M-395.2K0.515.88N/AN/A12,8486,528453,119409,084
2012-05-07$2.41$2.5051.8%14.8%55.3%22.2%51.8%11.7%6.0%181.5K15.0M-408.4K0.546.04N/AN/A7,0923,863456,107412,653
2012-05-08$2.35$2.5053.4%15.8%54.9%23.3%56.1%9.7%3.3%119.7K18.8M-391.0K0.275.82N/AN/A6,2961,700460,825415,750
2012-05-09$2.40$2.5050.5%16.0%53.9%21.3%57.2%7.0%4.1%200.0K14.9M-412.7K0.265.92N/AN/A12,4473,292463,682415,914
2012-05-10$2.45$2.5053.0%15.2%54.7%23.0%53.4%5.9%7.3%375.6K10.3M-417.0K0.225.47N/AN/A5,6931,225470,416416,892
2012-05-11$2.49$2.5052.0%14.9%54.7%22.3%52.4%6.1%7.3%323.6K7.4M-432.2K0.425.59N/AN/A8,9243,738471,851417,154
2012-05-14$2.50$2.5055.1%15.8%49.6%24.5%56.1%7.1%5.9%456.9K5.6M-429.2K0.304.72N/AN/A5,9021,743468,637415,390
2012-05-15$2.47$2.5056.1%16.1%47.5%25.2%56.6%4.8%6.0%591.7K7.3M-426.2K0.176.42N/AN/A8,2041,421469,948416,199
2012-05-16$2.40$2.5051.1%14.7%47.0%21.7%50.9%2.3%12.6%444.4K15.0M-401.9K0.105.99N/AN/A16,8451,613472,171416,679
2012-05-17$2.36$2.5056.5%16.2%44.1%25.6%56.5%0.6%7.7%297.6K16.9M-400.4K1.265.35N/AN/A25,80832,647482,751417,372
2012-05-18$2.34$2.5059.0%16.9%43.9%27.3%59.7%-1.1%5.7%-170.3K23.9M-385.6K1.716.23N/AN/A9,54216,302468,967436,670
2012-05-21$2.37$2.5054.9%15.8%43.9%24.4%55.0%5.3%2.1%-192.4K19.0M-406.1K0.214.91N/AN/A8,8381,842322,871380,731
2012-05-22$2.41$2.5051.1%14.6%39.7%21.7%51.2%5.8%2.4%-167.3K16.4M-410.0K0.387.10N/AN/A6,5942,526328,382381,429
2012-05-23$2.46$2.5047.0%13.5%40.0%18.8%47.0%20.2%6.4%-123.4K13.6M-416.7K0.277.50N/AN/A9,4002,537332,087382,605
2012-05-24$2.53$2.5045.5%13.0%39.9%17.7%45.5%23.2%8.2%-58.1K11.2M-427.7K0.367.02N/AN/A5,5762,032337,690383,471
2012-05-25$2.62$2.5045.9%11.7%41.4%18.0%40.8%16.0%10.2%-56.6K6.7M-435.8K0.155.16N/AN/A28,9524,235340,931383,869
2012-05-29$2.67$2.5032.4%14.5%38.3%8.4%50.2%9.6%-0.9%7.0K2.9M-442.7K0.184.88N/AN/A5,7811,015347,623383,850
2012-05-30$2.58$2.5051.3%13.1%39.5%21.8%45.7%14.2%7.9%19.8K7.1M-426.9K0.916.66N/AN/A4,7634,313350,098384,528
2012-05-31$2.57$2.5048.7%13.3%39.4%20.0%45.8%13.8%6.5%6.4K7.9M-424.2K1.086.81N/AN/A2,0572,219351,308386,115