S Options History — July 2012 In July 2012, S traded between $3.19 and $4.51. ATM implied volatility averaged 54.7%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 0.0% (HV 20d: 54.8%). Max pain ranged from $2.50 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.68.
Notable Days 2012-07-26 : Highest Volume — 212,803 contracts2012-07-27 : Largest IV spike — 33.2% change2012-07-30 : Highest IV Rank — 29.9%2012-07-25 : Largest Expected Move — 16.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.59 $3.19 $4.51 $3.40 $4.36 Max Pain $2.83 $2.50 $3.50 $3.00 $3.00 ATM IV 54.7% 45.6% 70.3% 51.5% 66.8% Expected Move 15.1% 12.6% 16.6% 12.9% 15.6% HV 20d 54.8% 43.7% 81.4% 56.5% 81.4% HV 60d 51.0% 47.0% 60.7% 50.5% 59.8% IV Rank 18.1% 11.0% 29.9% 18.4% 27.2% IV Percentile 33.4% 11.1% 66.7% 25.8% 58.7% Term Structure -0.2% -6.7% 8.2% 8.2% 0.3% VWIV 52.6% 38.5% 61.5% 45.7% 54.0% Skew 25d 2.1% -9.7% 19.0% 0.6% -4.9% Skew 10d 5.5% -17.2% 31.0% 11.4% -1.6% Call IV 25d 53.4% 32.0% 61.7% 47.6% 59.0% Put IV 25d 55.5% 41.3% 64.0% 48.1% 54.1% Bid-Ask Spread % 4.81 2.69 9.78 6.39 2.69 Gamma HHI 0.27 0.22 0.48 0.23 0.38 Net GEX 797.9K 413.4K 1.8M 553.0K 1.7M Net DEX -94.4M -191.8M -53.8M -75.0M -180.4M Net VEX -730.5K -806.5K -701.5K -737.6K -754.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.08 2.92 0.52 0.96 Total Volume 55,218.286 2,660 212,803 30,439 51,530 Total OI 1,063,290.238 1,004,168 1,219,578 1,004,414 1,136,329
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 2012-07-02 $3.40 $3.00 51.5% 12.9% 56.5% 18.4% 45.7% 0.6% 8.2% 553.0K -75.0M -737.6K 0.52 6.39 N/A N/A 19,992 10,447 537,824 466,590 2012-07-03 $3.47 $3.00 45.6% 12.6% 56.1% 11.0% 42.5% 19.0% 7.6% 591.6K -79.1M -731.7K 0.39 5.18 N/A N/A 5,300 2,086 537,770 466,398 2012-07-05 $3.31 $3.00 51.1% 13.7% 56.2% 15.2% 38.5% -9.7% 2.9% 479.4K -65.1M -714.9K 0.67 5.53 N/A N/A 10,809 7,214 538,139 467,147 2012-07-06 $3.29 $2.50 49.6% 14.6% 56.5% 14.0% 53.6% 1.5% 0.3% 508.0K -63.7M -714.4K 1.18 5.17 N/A N/A 6,942 8,211 541,889 470,855 2012-07-09 $3.21 $2.50 63.7% 15.8% 50.2% 24.9% 52.7% 5.5% -0.6% 423.6K -56.1M -708.7K 0.49 4.88 N/A N/A 5,869 2,889 542,696 474,676 2012-07-10 $3.19 $2.50 47.6% 15.3% 46.0% 12.5% 53.3% 2.7% 0.2% 430.3K -53.8M -704.0K 2.92 6.61 N/A N/A 4,793 13,983 545,720 475,384 2012-07-11 $3.23 $2.50 47.5% 15.7% 45.1% 12.4% 53.4% 4.8% 0.8% 413.4K -56.3M -709.6K 0.08 4.79 N/A N/A 3,557 298 546,358 485,410 2012-07-12 $3.20 $2.50 54.5% 15.6% 45.4% 17.8% 54.5% 4.4% -0.9% 417.3K -55.5M -701.5K 0.46 4.98 N/A N/A 1,824 836 548,461 479,482 2012-07-13 $3.33 $2.50 50.8% 14.6% 43.7% 15.0% 54.7% 3.5% 0.2% 556.7K -66.6M -702.6K 0.39 4.34 N/A N/A 13,763 5,346 548,676 479,630 2012-07-16 $3.46 $2.50 53.2% 15.3% 45.3% 16.8% 54.2% 2.8% -0.5% 664.9K -78.9M -715.3K 0.16 4.15 N/A N/A 13,815 2,233 547,417 482,893 2012-07-17 $3.65 $2.50 57.0% 16.3% 48.2% 19.7% 57.1% 2.8% -3.8% 815.7K -99.8M -719.2K 0.54 4.67 N/A N/A 44,847 24,282 551,356 484,228 2012-07-18 $3.66 $3.00 55.1% 15.8% 47.9% 18.3% 54.1% 1.6% -2.9% 698.0K -99.6M -727.9K 0.14 4.38 N/A N/A 45,166 6,270 557,753 498,309 2012-07-19 $3.71 $3.00 54.7% 15.7% 47.7% 18.0% 53.9% 1.3% -2.2% 829.0K -106.5M -740.2K 0.41 4.69 N/A N/A 18,066 7,361 583,764 498,368 2012-07-20 $3.66 $3.00 53.1% 15.2% 48.2% 16.7% 53.1% 0.7% -0.8% 868.8K -101.9M -737.2K 1.91 4.00 N/A N/A 10,658 20,376 589,765 502,105 2012-07-23 $3.57 $3.00 54.7% 15.7% 48.4% 17.9% 56.2% 3.4% -2.9% 613.6K -77.8M -734.2K 0.66 4.15 N/A N/A 31,999 21,097 552,573 468,526 2012-07-24 $3.45 $3.00 54.9% 15.7% 44.0% 18.1% 55.5% -2.9% -2.5% 694.3K -69.3M -720.7K 1.24 4.09 N/A N/A 15,536 19,218 576,321 480,937 2012-07-25 $3.37 $3.00 57.9% 16.6% 45.1% 20.4% 61.5% 2.3% -6.7% 478.2K -59.3M -724.2K 0.30 9.78 N/A N/A 120,820 35,650 581,255 492,712 2012-07-26 $4.05 $3.00 46.9% 13.5% 78.2% 12.0% 46.0% 5.8% 3.4% 1.8M -155.6M -762.0K 0.30 3.07 N/A N/A 164,117 48,686 658,781 515,756 2012-07-27 $4.31 $3.00 62.5% 15.3% 79.6% 23.9% 53.7% 0.4% -1.4% 1.7M -191.8M -774.8K 0.55 4.62 N/A N/A 114,594 62,452 681,851 537,727 2012-07-30 $4.51 $3.50 70.3% 16.2% 80.1% 29.9% 56.7% -0.8% -3.5% 1.5M -191.3M -806.5K 0.09 2.88 N/A N/A 143,136 13,516 660,171 537,093 2012-07-31 $4.36 $3.00 66.8% 15.6% 81.4% 27.2% 54.0% -4.9% 0.3% 1.7M -180.4M -754.0K 0.96 2.69 N/A N/A 26,356 25,174 636,849 499,480
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