S Options History — August 2012

In August 2012, S traded between $4.27 and $5.39. ATM implied volatility averaged 50.6%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 21.2% (HV 20d: 71.8%). Max pain ranged from $3.50 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.46.

Notable Days

2012-08-15: Highest Volume — 289,807 contracts
2012-08-15: Largest IV spike — 27.4% change
2012-08-01: Highest IV Rank — 26.4%
2012-08-01: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.81	$4.27	$5.39	$4.32	$4.85
Max Pain	$4.39	$3.50	$5.00	$3.50	$4.50
ATM IV	50.6%	42.7%	65.8%	65.8%	42.7%
Expected Move	14.2%	12.9%	15.9%	15.9%	12.9%
HV 20d	71.8%	49.3%	84.7%	81.7%	49.3%
HV 60d	61.7%	59.6%	63.8%	59.9%	62.0%
IV Rank	14.8%	8.8%	26.4%	26.4%	8.8%
IV Percentile	19.5%	2.4%	56.7%	56.7%	2.4%
Term Structure	2.9%	-0.6%	6.3%	-0.6%	3.0%
VWIV	50.6%	44.7%	55.1%	54.7%	44.7%
Skew 25d	-1.2%	-7.5%	4.1%	-4.2%	-2.2%
Skew 10d	-0.3%	-13.1%	10.2%	-2.0%	-0.1%
Call IV 25d	52.4%	46.9%	61.4%	59.0%	46.9%
Put IV 25d	51.3%	44.7%	54.9%	54.9%	44.7%
Bid-Ask Spread %	2.94	1.86	4.54	2.97	3.31
Gamma HHI	0.33	0.24	0.53	0.30	0.30
Net GEX	1.5M	1.1M	1.7M	1.6M	1.5M
Net DEX	-175.5M	-277.3M	-131.0M	-148.9M	-142.7M
Net VEX	-700.8K	-782.7K	-608.6K	-648.8K	-749.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.15	1.10	0.19	0.78
Total Volume	62,714.217	13,113	289,807	26,123	24,687
Total OI	1,134,136.435	951,425	1,366,262	1,153,411	1,079,431

Daily Data (23 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
2012-08-01	$4.32	$3.50	65.8%	15.9%	81.7%	26.4%	54.7%	-4.2%	-0.6%	1.6M	-148.9M	-648.8K	0.19	2.97	N/A	N/A	21,919	4,204	602,847	550,564
2012-08-02	$4.29	$3.50	52.4%	14.3%	79.1%	16.2%	49.5%	-2.7%	0.0%	1.6M	-141.5M	-678.8K	0.72	2.90	N/A	N/A	23,178	16,675	607,691	552,046
2012-08-03	$4.27	$3.50	47.8%	13.0%	79.1%	12.6%	48.7%	3.3%	2.8%	1.6M	-141.4M	-664.2K	0.70	3.09	N/A	N/A	18,162	12,801	612,405	559,345
2012-08-06	$4.34	$4.00	52.5%	13.7%	77.8%	16.3%	49.4%	4.1%	3.2%	1.6M	-149.6M	-633.9K	0.41	2.65	N/A	N/A	9,304	3,809	597,680	558,271
2012-08-07	$4.31	$4.00	46.5%	12.9%	77.8%	11.7%	45.8%	3.2%	6.3%	1.6M	-145.2M	-633.0K	0.98	2.79	N/A	N/A	11,771	11,592	598,903	560,364
2012-08-08	$4.61	$4.50	45.5%	13.6%	80.0%	10.9%	48.5%	-0.4%	4.5%	1.3M	-185.6M	-608.6K	0.27	4.54	N/A	N/A	67,002	18,049	600,790	566,859
2012-08-09	$4.80	$4.50	50.9%	14.6%	79.7%	15.1%	51.8%	-0.2%	2.5%	1.1M	-206.7M	-646.3K	0.29	3.98	N/A	N/A	79,654	23,118	619,268	575,354
2012-08-10	$4.92	$4.50	53.1%	14.3%	79.4%	16.8%	50.6%	-0.4%	3.8%	1.2M	-219.4M	-644.6K	0.29	3.53	N/A	N/A	36,984	10,808	638,844	586,926
2012-08-13	$5.05	$4.50	49.4%	14.0%	79.1%	13.9%	50.7%	-2.5%	5.2%	1.5M	-236.0M	-636.3K	0.15	2.99	N/A	N/A	83,412	12,873	645,113	587,379
2012-08-14	$4.99	$4.50	46.5%	14.1%	78.7%	11.7%	49.8%	-2.1%	4.0%	1.6M	-230.7M	-654.2K	0.32	3.04	N/A	N/A	42,544	13,499	669,412	592,248
2012-08-15	$5.39	$4.50	59.3%	15.3%	81.5%	21.5%	54.6%	-7.5%	2.4%	1.4M	-277.3M	-633.6K	0.22	2.51	N/A	N/A	237,922	51,885	674,373	598,908
2012-08-16	$5.15	$4.50	52.8%	15.1%	84.7%	16.5%	55.1%	-3.4%	3.0%	1.6M	-246.0M	-729.6K	0.33	3.38	N/A	N/A	70,161	22,942	717,725	617,121
2012-08-17	$5.19	$4.50	50.8%	14.6%	84.0%	15.0%	52.7%	-4.5%	4.8%	1.4M	-253.6M	-741.1K	0.23	2.53	N/A	N/A	41,168	9,549	738,998	627,264
2012-08-20	$5.11	$4.50	49.3%	14.1%	83.5%	13.8%	50.4%	-1.3%	1.6%	1.4M	-164.4M	-740.3K	0.43	2.32	N/A	N/A	28,740	12,467	564,397	387,028
2012-08-21	$5.08	$5.00	49.3%	14.1%	81.7%	13.8%	50.5%	-0.5%	1.6%	1.4M	-161.5M	-738.2K	0.41	2.24	N/A	N/A	62,307	25,371	574,349	392,705
2012-08-22	$4.88	$5.00	49.0%	14.0%	83.1%	13.6%	50.4%	0.2%	3.8%	1.3M	-141.8M	-755.9K	0.35	2.88	N/A	N/A	67,382	23,903	592,605	402,816
2012-08-23	$4.78	$5.00	52.0%	14.9%	56.6%	15.8%	52.7%	-0.2%	1.3%	1.4M	-131.0M	-782.7K	0.82	2.61	N/A	N/A	40,454	33,189	621,174	410,220
2012-08-24	$4.89	$4.50	48.6%	13.9%	53.3%	13.3%	50.4%	1.3%	3.9%	1.5M	-141.0M	-765.4K	0.77	2.34	N/A	N/A	23,688	18,241	621,504	414,766
2012-08-27	$4.82	$4.50	50.8%	14.6%	51.6%	15.0%	51.3%	-1.4%	2.6%	1.5M	-139.9M	-753.2K	0.28	2.94	N/A	N/A	34,455	9,716	611,595	411,170
2012-08-28	$4.85	$4.50	50.2%	14.4%	49.7%	14.5%	51.7%	-1.4%	2.7%	1.6M	-145.2M	-754.1K	0.25	3.47	N/A	N/A	15,279	3,786	625,112	417,175
2012-08-29	$4.86	$4.50	51.4%	14.7%	49.5%	15.4%	52.3%	-2.6%	1.2%	1.7M	-145.5M	-768.4K	0.33	2.73	N/A	N/A	10,599	3,502	631,422	417,682
2012-08-30	$4.83	$4.50	46.8%	13.4%	49.4%	11.9%	47.3%	-1.5%	2.6%	1.7M	-141.9M	-758.4K	1.10	1.86	N/A	N/A	23,635	26,041	634,537	418,752
2012-08-31	$4.85	$4.50	42.7%	12.9%	49.3%	8.8%	44.7%	-2.2%	3.0%	1.5M	-142.7M	-749.8K	0.78	3.31	N/A	N/A	13,903	10,784	641,974	437,457