S Options History — October 2012

In October 2012, S traded between $4.90 and $5.78. ATM implied volatility averaged 40.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 22.0% (HV 20d: 62.2%). Max pain ranged from $4.50 to $5.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2012-10-11: Highest Volume — 830,889 contracts
2012-10-15: Largest IV drop — 59.3% change
2012-10-02: Highest IV Rank — 31.9%
2012-10-11: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.44	$4.90	$5.78	$5.18	$5.55
Max Pain	$5.10	$4.50	$5.50	$5.00	$5.50
ATM IV	40.2%	18.6%	72.9%	55.5%	18.6%
Expected Move	10.9%	5.5%	18.0%	13.8%	5.5%
HV 20d	62.2%	46.5%	72.5%	46.5%	60.9%
HV 60d	59.5%	51.6%	66.3%	59.4%	51.7%
IV Rank	11.7%	0.0%	31.9%	18.5%	0.0%
IV Percentile	27.6%	0.0%	81.7%	50.4%	0.0%
Term Structure	-0.6%	-8.9%	8.7%	6.6%	1.2%
VWIV	38.5%	19.0%	62.8%	50.3%	19.0%
Skew 25d	-0.1%	-8.6%	7.1%	-3.3%	-5.1%
Skew 10d	0.2%	-30.5%	10.1%	1.2%	-7.4%
Call IV 25d	39.8%	21.4%	60.4%	53.6%	24.2%
Put IV 25d	39.8%	17.4%	67.5%	50.3%	19.0%
Bid-Ask Spread %	4.57	2.58	8.48	2.87	5.48
Gamma HHI	0.43	0.21	0.67	0.25	0.58
Net GEX	5.8M	1.4M	13.8M	1.9M	5.5M
Net DEX	-208.7M	-314.7M	-120.0M	-171.9M	-128.6M
Net VEX	-1.1M	-1.3M	-694.2K	-694.2K	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.26	3.42	0.83	1.00
Total Volume	172,218.476	15,722	830,889	81,289	46,064
Total OI	1,749,358.667	1,057,156	2,397,879	1,057,156	2,299,542

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
2012-10-01	$5.18	$5.00	55.5%	13.8%	46.5%	18.5%	50.3%	-3.3%	6.6%	1.9M	-171.9M	-694.2K	0.83	2.87	N/A	N/A	44,413	36,876	633,351	423,805
2012-10-02	$4.90	$5.00	72.9%	15.5%	50.8%	31.9%	52.8%	-8.6%	3.7%	1.4M	-138.9M	-694.2K	0.35	8.29	N/A	N/A	213,812	74,820	649,093	444,100
2012-10-03	$5.20	$5.00	70.5%	15.3%	54.0%	30.1%	55.2%	-3.5%	8.7%	2.3M	-207.3M	-1.0M	0.47	3.13	N/A	N/A	78,315	36,674	799,797	479,189
2012-10-04	$5.09	$5.00	57.2%	14.9%	54.6%	19.9%	53.1%	-2.9%	8.5%	2.3M	-192.3M	-1.0M	0.47	4.08	N/A	N/A	53,826	25,045	821,544	491,670
2012-10-05	$5.20	$4.50	58.9%	15.9%	54.9%	21.2%	55.4%	2.8%	-2.2%	2.5M	-210.3M	-1.0M	0.33	3.08	N/A	N/A	64,569	21,062	835,475	503,828
2012-10-08	$5.09	$4.50	66.0%	16.3%	54.9%	26.6%	57.2%	1.4%	-3.7%	2.5M	-196.0M	-1.0M	0.52	3.34	N/A	N/A	10,311	5,411	838,602	493,189
2012-10-09	$4.95	$4.50	51.7%	16.6%	54.8%	15.7%	58.3%	0.8%	-5.3%	2.1M	-173.5M	-989.0K	0.68	2.58	N/A	N/A	17,279	11,703	837,453	496,051
2012-10-10	$5.04	$4.50	50.2%	16.6%	54.7%	16.4%	58.1%	1.8%	-4.8%	2.3M	-188.9M	-993.7K	0.90	3.62	N/A	N/A	13,411	12,094	845,897	499,835
2012-10-11	$5.76	$4.50	62.7%	18.0%	72.4%	27.3%	62.8%	7.1%	-8.9%	3.5M	-295.9M	-1.0M	0.26	3.58	N/A	N/A	661,999	168,890	842,036	503,371
2012-10-12	$5.73	$5.00	59.7%	17.1%	72.4%	24.6%	59.9%	4.3%	-6.4%	5.5M	-314.7M	-1.3M	0.34	4.34	N/A	N/A	271,923	92,375	1,154,705	590,005
2012-10-15	$5.70	$5.00	24.3%	7.0%	72.5%	0.0%	25.8%	-0.4%	-0.5%	8.9M	-271.7M	-874.5K	0.44	5.92	N/A	N/A	350,637	155,299	1,198,549	632,889
2012-10-16	$5.69	$5.50	21.5%	6.2%	72.2%	0.0%	21.4%	1.1%	-1.7%	10.4M	-276.1M	-1.1M	0.66	8.48	N/A	N/A	185,040	121,192	1,385,606	714,717
2012-10-17	$5.73	$5.00	20.2%	5.8%	68.1%	0.0%	21.3%	-1.1%	1.0%	11.2M	-265.9M	-1.2M	0.47	4.92	N/A	N/A	128,127	60,627	1,428,223	771,381
2012-10-18	$5.78	$5.50	22.7%	6.5%	67.5%	2.0%	23.7%	3.0%	-4.7%	13.8M	-281.9M	-1.3M	0.73	3.87	N/A	N/A	65,583	48,124	1,498,708	804,136
2012-10-19	$5.65	$5.50	19.7%	5.6%	66.8%	0.0%	20.0%	-2.0%	-0.2%	8.4M	-227.1M	-1.2M	0.74	5.96	N/A	N/A	47,833	35,481	1,530,132	867,747
2012-10-22	$5.68	$5.50	23.0%	6.6%	66.8%	2.6%	23.0%	1.6%	-5.1%	8.5M	-196.4M	-1.3M	0.43	3.31	N/A	N/A	17,006	7,322	1,268,985	739,405
2012-10-23	$5.65	$5.50	23.0%	6.6%	65.9%	2.6%	22.8%	0.8%	-3.4%	8.6M	-201.6M	-1.2M	0.74	3.75	N/A	N/A	27,102	20,097	1,283,940	744,943
2012-10-24	$5.62	$5.50	22.1%	6.3%	65.7%	1.9%	22.1%	0.4%	-2.4%	8.4M	-188.7M	-1.2M	0.69	4.04	N/A	N/A	62,939	43,735	1,312,262	758,824
2012-10-25	$5.52	$5.50	19.4%	5.6%	65.4%	0.0%	19.4%	-5.3%	0.8%	6.1M	-134.1M	-1.3M	0.73	5.32	N/A	N/A	50,086	36,501	1,349,357	788,389
2012-10-26	$5.49	$5.50	25.4%	7.6%	65.2%	4.7%	26.4%	6.0%	5.8%	6.2M	-120.0M	-1.3M	3.42	6.12	N/A	N/A	43,707	149,278	1,366,578	809,223
2012-10-31	$5.55	$5.50	18.6%	5.5%	60.9%	0.0%	19.0%	-5.1%	1.2%	5.5M	-128.6M	-1.1M	1.00	5.48	N/A	N/A	23,071	22,993	1,373,875	925,667