S Options History — June 2012 In June 2012, S traded between $2.51 and $3.29. ATM implied volatility averaged 48.6%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 0.9% (HV 20d: 49.5%). Max pain ranged from $2.50 to $3.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.02.
Notable Days 2012-06-07 : Highest Volume — 169,022 contracts2012-06-06 : Largest IV drop — 34.6% change2012-06-11 : Highest IV Rank — 28.0%2012-06-04 : Largest Expected Move — 15.7%Monthly Statistics Metric Avg Min Max Open Close Price $2.98 $2.51 $3.29 $2.51 $3.26 Max Pain $2.67 $2.50 $3.00 $2.50 $3.00 ATM IV 48.6% 36.8% 60.0% 48.2% 43.6% Expected Move 14.1% 12.3% 15.7% 14.0% 12.6% HV 20d 49.5% 32.8% 58.3% 38.2% 55.6% HV 60d 49.3% 44.1% 51.1% 48.3% 49.9% IV Rank 19.9% 11.6% 28.0% 19.6% 16.4% IV Percentile 22.3% 6.0% 45.6% 22.6% 9.5% Term Structure 5.0% 2.2% 9.6% 3.7% 5.9% VWIV 49.3% 44.5% 54.8% 48.4% 45.7% Skew 25d 6.7% -11.2% 13.7% -11.2% 4.8% Skew 10d 17.1% -15.8% 41.0% -15.8% 8.2% Call IV 25d 48.0% 42.9% 57.9% 57.9% 43.3% Put IV 25d 54.7% 46.6% 63.3% 46.7% 48.1% Bid-Ask Spread % 6.89 4.82 9.96 6.71 6.28 Gamma HHI 0.22 0.19 0.27 0.23 0.21 Net GEX 218.0K -157.2K 485.5K -39.3K 419.1K Net DEX -34.7M -59.9M 15.8M 13.8M -59.9M Net VEX -640.4K -736.0K -391.2K -391.2K -729.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.03 7.39 7.39 0.13 Total Volume 28,573.143 3,336 169,022 35,122 10,242 Total OI 922,010.476 739,967 1,003,375 739,967 1,003,375
Daily Data (21 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 2012-06-01 $2.51 $2.50 48.2% 14.0% 38.2% 19.6% 48.4% -11.2% 3.7% -39.3K 13.8M -391.2K 7.39 6.71 N/A N/A 4,185 30,937 352,666 387,301 2012-06-04 $2.54 $2.50 50.4% 15.7% 33.4% 21.2% 54.8% 9.8% 5.3% -135.3K 13.6M -420.1K 1.51 7.33 N/A N/A 2,850 4,293 352,347 414,742 2012-06-05 $2.53 $2.50 56.3% 14.9% 32.8% 25.4% 52.1% 10.0% 6.8% -157.1K 15.8M -415.1K 0.29 8.15 N/A N/A 2,587 749 352,694 417,334 2012-06-06 $2.72 $2.50 36.8% 15.3% 39.5% 11.6% 45.6% 11.6% 4.0% -157.2K 907.9K -439.2K 0.16 9.96 N/A N/A 10,514 1,730 353,455 417,785 2012-06-07 $2.74 $2.50 43.3% 15.3% 39.2% 16.2% 46.6% 10.8% 3.3% -119.9K -1.8M -441.4K 0.03 7.01 N/A N/A 164,187 4,835 358,686 418,211 2012-06-08 $2.98 $2.50 49.3% 13.8% 47.7% 20.5% 51.9% 8.4% 4.3% 253.1K -41.4M -679.8K 0.33 8.63 N/A N/A 40,912 13,447 514,373 419,185 2012-06-11 $2.83 $2.50 60.0% 14.5% 52.4% 28.0% 53.9% 8.8% 3.3% 211.5K -28.5M -670.3K 0.23 9.79 N/A N/A 14,247 3,257 524,347 425,947 2012-06-12 $2.92 $2.50 55.9% 14.1% 53.1% 25.1% 50.3% 13.7% 3.7% 293.3K -37.0M -669.4K 0.21 7.56 N/A N/A 29,418 6,059 524,502 427,188 2012-06-13 $2.94 $2.50 47.2% 14.7% 52.6% 18.9% 53.5% 9.7% 2.2% 427.6K -38.8M -686.4K 0.76 6.17 N/A N/A 18,128 13,780 535,616 430,496 2012-06-14 $3.10 $2.50 52.8% 15.1% 52.9% 22.9% 53.7% 10.8% 3.1% 485.5K -56.1M -719.1K 0.16 7.39 N/A N/A 29,802 4,639 542,665 433,607 2012-06-15 $3.09 $2.50 50.4% 14.4% 52.1% 21.2% 51.1% 6.1% 4.8% 477.6K -57.3M -715.9K 0.65 6.80 N/A N/A 13,175 8,510 553,280 435,128 2012-06-18 $3.08 $2.50 45.4% 13.0% 51.8% 17.7% 45.2% 8.1% 7.7% 273.8K -41.7M -701.7K 0.47 6.38 N/A N/A 10,851 5,126 508,839 417,245 2012-06-19 $3.15 $2.50 45.5% 13.0% 51.9% 17.7% 45.2% 11.7% 5.8% 327.9K -47.4M -708.1K 3.47 5.27 N/A N/A 6,600 22,875 512,420 419,781 2012-06-20 $3.13 $2.50 47.1% 13.5% 52.4% 18.9% 47.5% 8.0% 3.4% 277.8K -49.1M -715.2K 3.39 4.82 N/A N/A 7,002 23,770 513,807 438,912 2012-06-21 $3.18 $3.00 44.4% 12.7% 52.3% 17.0% 44.5% 2.3% 9.6% 275.1K -51.7M -712.2K 0.57 6.31 N/A N/A 19,699 11,298 516,187 460,146 2012-06-22 $3.29 $3.00 43.0% 12.3% 52.6% 16.0% 45.3% 2.1% 7.7% 339.2K -59.8M -736.0K 0.53 4.94 N/A N/A 15,560 8,275 522,717 464,562 2012-06-25 $3.09 $3.00 52.7% 15.1% 58.3% 22.8% 53.8% -0.2% 4.6% 187.6K -44.7M -719.1K 0.25 7.56 N/A N/A 15,170 3,809 525,747 465,744 2012-06-26 $3.13 $3.00 52.1% 14.9% 58.2% 22.4% 51.8% 4.3% 4.6% 269.7K -49.9M -722.2K 0.41 5.09 N/A N/A 4,427 1,830 531,983 467,013 2012-06-27 $3.13 $3.00 50.9% 14.6% 56.2% 21.6% 48.5% 7.5% 5.5% 247.4K -47.5M -729.3K 0.30 6.92 N/A N/A 4,942 1,484 533,334 467,157 2012-06-28 $3.26 $3.00 45.5% 13.1% 57.0% 17.8% 46.2% 4.0% 6.7% 419.8K -59.7M -727.7K 0.21 5.69 N/A N/A 4,008 827 534,288 467,408 2012-06-29 $3.26 $3.00 43.6% 12.6% 55.6% 16.4% 45.7% 4.8% 5.9% 419.1K -59.9M -729.6K 0.13 6.28 N/A N/A 9,093 1,149 535,948 467,427
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