S Options History — November 2012 In November 2012, S traded between $5.48 and $5.75. ATM implied volatility averaged 19.0%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 10.4% (HV 20d: 29.4%). Max pain ranged from $5.00 to $5.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.75.
Notable Days 2012-11-16 : Highest Volume — 76,298 contracts2012-11-16 : Largest IV spike — 37.7% change2012-11-16 : Highest IV Rank — 10.7%2012-11-14 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $5.62 $5.48 $5.75 $5.61 $5.73 Max Pain $5.05 $5.00 $5.50 $5.50 $5.00 ATM IV 19.0% 12.3% 26.8% 18.1% 16.2% Expected Move 5.7% 4.3% 8.8% 4.4% 5.3% HV 20d 29.4% 16.7% 56.8% 56.8% 16.7% HV 60d 46.8% 44.5% 51.7% 51.7% 44.5% IV Rank 4.8% 0.0% 10.7% 0.0% 2.9% IV Percentile 2.9% 0.0% 8.7% 0.0% 0.8% Term Structure -2.2% -11.0% 2.9% 0.9% 0.8% VWIV 22.7% 15.4% 41.2% 15.4% 20.0% Skew 25d 7.9% -1.0% 67.8% 2.2% 3.6% Skew 10d 13.3% -4.1% 93.8% 3.0% -0.9% Call IV 25d 20.2% 13.0% 24.4% 13.0% 16.7% Put IV 25d 28.1% 15.3% 91.0% 15.3% 20.3% Bid-Ask Spread % 7.18 4.45 15.04 4.76 6.67 Gamma HHI 0.57 0.41 0.71 0.58 0.61 Net GEX 5.4M 3.0M 10.3M 5.3M 6.3M Net DEX -127.6M -204.8M -70.1M -149.6M -134.5M Net VEX -1.1M -1.4M -926.6K -1.1M -995.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.12 2.35 0.45 0.42 Total Volume 21,871.333 1,698 76,298 19,094 11,469 Total OI 2,159,252.524 1,886,217 2,400,317 2,319,412 1,915,634
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 2012-11-01 $5.61 $5.50 18.1% 4.4% 56.8% 0.0% 15.4% 2.2% 0.9% 5.3M -149.6M -1.1M 0.45 4.76 N/A N/A 13,149 5,945 1,373,588 945,824 2012-11-02 $5.70 $5.50 12.3% 5.8% 53.4% 0.0% 19.8% -1.0% -1.3% 8.7M -185.9M -1.2M 1.18 4.58 N/A N/A 17,577 20,724 1,376,505 947,246 2012-11-05 $5.75 $5.00 16.9% 4.6% 52.5% 3.4% 16.2% 67.8% 2.9% 10.3M -204.8M -1.1M 0.74 5.51 N/A N/A 10,200 7,549 1,373,328 955,731 2012-11-06 $5.73 $5.00 20.7% 5.3% 52.3% 6.2% 18.6% 8.0% 0.4% 9.6M -199.4M -1.4M 0.25 8.21 N/A N/A 24,632 6,064 1,375,048 960,737 2012-11-07 $5.62 $5.00 16.9% 5.7% 52.2% 3.4% 19.9% 7.0% -1.3% 5.0M -152.9M -1.1M 0.22 7.39 N/A N/A 6,517 1,428 1,381,560 962,491 2012-11-08 $5.61 $5.00 18.7% 6.2% 50.8% 4.7% 26.5% 5.3% -2.0% 4.8M -144.0M -1.1M 0.65 5.94 N/A N/A 9,823 6,337 1,379,145 960,244 2012-11-09 $5.55 $5.00 19.1% 6.8% 51.0% 5.0% 24.3% 3.9% -3.8% 3.3M -120.6M -1.4M 0.46 5.90 N/A N/A 13,191 6,085 1,383,617 962,270 2012-11-12 $5.61 $5.00 25.8% 5.7% 17.4% 10.1% 22.9% 6.9% -0.5% 5.4M -144.5M -1.4M 0.12 5.98 N/A N/A 49,280 6,101 1,390,907 961,791 2012-11-13 $5.58 $5.00 18.8% 5.9% 17.4% 4.8% 20.5% 6.9% -2.1% 3.9M -145.0M -1.3M 0.64 5.48 N/A N/A 4,798 3,076 1,393,252 958,436 2012-11-14 $5.49 $5.00 21.2% 8.8% 18.2% 6.6% 30.7% 5.3% -11.0% 3.0M -99.5M -997.1K 1.04 4.45 N/A N/A 23,333 24,293 1,395,272 960,309 2012-11-15 $5.54 $5.00 19.4% 5.6% 18.6% 5.3% 20.6% 4.6% -4.7% 3.6M -112.5M -1.3M 1.40 9.31 N/A N/A 9,927 13,928 1,403,384 974,990 2012-11-16 $5.48 $5.00 26.8% 7.7% 18.6% 10.7% 22.5% 2.0% -7.9% 3.9M -96.9M -1.0M 0.91 10.97 N/A N/A 39,952 36,346 1,424,385 975,932 2012-11-19 $5.55 $5.00 18.7% 5.4% 19.0% 4.7% 17.2% 4.4% -4.5% 3.5M -78.0M -1.2M 1.19 6.54 N/A N/A 10,854 12,928 1,082,688 803,529 2012-11-20 $5.51 $5.00 20.2% 5.8% 17.5% 5.9% 17.7% 5.8% -5.5% 3.5M -70.1M -995.4K 2.35 5.05 N/A N/A 6,361 14,978 1,088,224 809,597 2012-11-21 $5.58 $5.00 17.7% 5.1% 18.0% 4.0% 26.7% 5.3% -2.1% 4.5M -97.4M -991.8K 0.94 10.34 N/A N/A 3,370 3,173 1,091,098 816,146 2012-11-23 $5.64 $5.00 19.4% 5.6% 18.4% 5.3% 19.9% 10.5% -0.2% 5.3M -105.0M -944.2K 0.75 4.90 N/A N/A 3,284 2,459 1,092,044 818,436 2012-11-26 $5.62 $5.00 21.4% 6.1% 18.3% 6.7% 30.3% 8.2% -4.1% 5.4M -104.2M -926.6K 0.42 8.79 N/A N/A 1,193 505 1,092,668 817,325 2012-11-27 $5.63 $5.00 15.0% 4.3% 17.1% 2.0% 41.2% 7.0% -1.5% 5.2M -90.7M -1.1M 0.58 7.75 N/A N/A 7,963 4,580 1,092,565 817,723 2012-11-28 $5.70 $5.00 18.3% 5.2% 17.3% 4.4% 0.0% 0.1% 0.3% 6.0M -117.8M -1.0M 0.18 7.20 N/A N/A 7,150 1,268 1,093,963 821,574 2012-11-29 $5.72 $5.00 18.3% 5.3% 17.0% 4.5% 0.0% 3.0% 1.9% 6.5M -125.8M -1.0M 0.94 15.04 N/A N/A 3,879 3,629 1,092,961 822,136 2012-11-30 $5.73 $5.00 16.2% 5.3% 16.7% 2.9% 20.0% 3.6% 0.8% 6.3M -134.5M -995.4K 0.42 6.67 N/A N/A 8,055 3,414 1,092,203 823,431
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