S Options History — September 2012

In September 2012, S traded between $4.80 and $5.70. ATM implied volatility averaged 51.4%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 12.5% (HV 20d: 38.9%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.38.

Notable Days

  • 2012-09-19: Highest Volume — 123,426 contracts
  • 2012-09-10: Largest IV spike — 40.1% change
  • 2012-09-05: Highest IV Rank — 28.5%
  • 2012-09-05: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.28$4.80$5.70$4.80$5.52
Max Pain$4.68$4.50$5.00$4.50$5.00
ATM IV51.4%43.9%68.4%52.1%44.1%
Expected Move14.2%13.5%15.5%13.5%13.5%
HV 20d38.9%29.8%50.1%49.5%39.2%
HV 60d58.6%57.6%60.1%60.1%57.6%
IV Rank15.4%9.6%28.5%15.9%9.8%
IV Percentile25.3%4.0%69.4%29.0%4.4%
Term Structure4.5%-1.8%7.7%3.6%7.7%
VWIV50.5%46.7%53.8%46.7%47.3%
Skew 25d-1.6%-6.3%1.1%-2.9%1.1%
Skew 10d-3.8%-14.9%0.0%-1.2%-2.2%
Call IV 25d52.2%48.0%56.8%48.6%48.0%
Put IV 25d50.6%45.7%54.4%45.7%49.1%
Bid-Ask Spread %3.202.405.083.013.41
Gamma HHI0.300.260.360.290.28
Net GEX2.5M1.4M3.4M1.4M2.3M
Net DEX-207.2M-279.5M-137.0M-137.0M-213.8M
Net VEX-722.9K-758.2K-674.6K-745.6K-693.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.111.120.300.69
Total Volume50,106.05316,155123,42616,15520,154
Total OI1,140,243.9471,023,0841,216,4781,079,1221,074,409

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$4.80$4.5052.1%13.5%49.5%15.9%46.7%-2.9%3.6%1.4M-137.0M-745.6K0.303.01N/AN/A12,4153,740641,797437,325
2012-09-05$4.95$4.5068.4%15.5%50.1%28.5%53.7%-3.1%-1.8%1.7M-159.8M-739.4K0.353.74N/AN/A80,39128,338644,102438,099
2012-09-06$4.96$4.5051.2%14.2%44.7%15.3%49.5%-4.2%1.4%2.5M-170.6M-758.2K0.295.08N/AN/A29,1428,449698,893455,821
2012-09-07$5.03$4.5043.9%13.9%42.8%9.6%49.5%0.0%4.4%2.4M-182.3M-753.1K0.423.89N/AN/A21,4229,055699,448456,849
2012-09-10$5.15$4.5061.5%14.4%42.7%23.1%53.7%-6.3%4.8%2.6M-198.3M-743.7K0.272.74N/AN/A66,16217,666695,657457,898
2012-09-11$5.00$4.5062.1%14.6%43.2%23.6%53.2%-1.9%4.8%2.4M-178.5M-740.7K0.243.37N/AN/A44,31410,671711,611465,368
2012-09-12$5.10$4.5050.2%15.1%43.5%14.5%52.5%0.8%3.2%2.5M-190.3M-753.6K0.113.77N/AN/A25,7272,892715,620470,689
2012-09-13$5.20$4.5049.5%14.2%33.9%13.9%49.9%-0.4%4.7%2.7M-206.1M-745.2K0.282.52N/AN/A20,4735,799725,058470,958
2012-09-14$5.26$4.5050.5%14.5%30.0%14.7%51.6%-0.3%4.0%2.8M-215.1M-735.8K0.252.80N/AN/A48,03912,160720,128472,665
2012-09-17$5.27$4.5049.4%14.2%29.9%13.9%50.3%-0.3%3.9%3.0M-216.3M-718.0K0.623.60N/AN/A11,7797,284726,783474,632
2012-09-18$5.19$4.5047.5%13.6%29.8%12.5%48.4%-2.3%6.1%2.9M-205.2M-720.3K0.432.68N/AN/A14,4406,236728,186474,303
2012-09-19$5.56$4.5053.1%15.2%38.2%16.7%53.8%-1.1%3.2%3.2M-260.6M-723.7K0.222.77N/AN/A101,21322,213731,212474,733
2012-09-20$5.44$5.0052.2%15.0%35.9%16.1%53.2%-1.8%4.9%3.4M-238.8M-714.5K0.182.82N/AN/A45,3688,238730,307480,361
2012-09-21$5.65$5.0048.1%13.8%36.2%12.9%48.7%-2.2%6.6%2.7M-279.5M-678.2K0.182.87N/AN/A87,26016,026736,639479,839
2012-09-24$5.70$5.0048.0%13.8%35.8%12.8%49.7%-1.7%7.1%2.6M-239.5M-674.6K0.633.13N/AN/A31,15519,487629,239393,845
2012-09-25$5.53$5.0047.6%13.7%37.5%12.5%48.6%-3.1%5.9%2.4M-218.1M-681.1K0.342.40N/AN/A30,76010,587634,702404,282
2012-09-26$5.46$5.0049.4%14.2%38.2%13.9%50.4%-0.3%5.3%2.1M-206.0M-701.3K1.123.23N/AN/A20,42622,875639,482407,594
2012-09-27$5.60$5.0048.5%13.9%38.8%13.2%48.7%-0.1%6.6%2.0M-220.7M-715.0K0.262.90N/AN/A23,5676,092640,418425,683
2012-09-28$5.52$5.0044.1%13.5%39.2%9.8%47.3%1.1%7.7%2.3M-213.8M-693.4K0.693.41N/AN/A11,9418,213645,721428,688