S Options History — December 2012

In December 2012, S traded between $5.46 and $5.73. ATM implied volatility averaged 20.6%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.1% (HV 20d: 14.5%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2012-12-31: Highest Volume — 108,484 contracts
  • 2012-12-06: Largest IV drop — 45.2% change
  • 2012-12-05: Highest IV Rank — 20.6%
  • 2012-12-05: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.60$5.46$5.73$5.72$5.67
Max Pain$5.23$5.00$6.00$5.00$6.00
ATM IV20.6%15.3%35.3%20.4%21.3%
Expected Move5.5%4.3%6.4%5.9%6.1%
HV 20d14.5%13.2%15.8%15.7%14.7%
HV 60d41.4%35.0%44.1%44.1%35.0%
IV Rank7.3%2.7%20.6%6.0%8.0%
IV Percentile8.8%0.8%15.9%7.9%14.3%
Term Structure0.6%-5.2%6.0%-1.1%1.2%
VWIV20.4%17.5%22.2%21.7%21.8%
Skew 25d3.4%-3.0%10.6%3.8%3.2%
Skew 10d6.5%-3.0%16.9%-0.2%13.9%
Call IV 25d20.4%15.3%23.0%18.0%21.7%
Put IV 25d23.8%15.3%29.2%21.8%24.9%
Bid-Ask Spread %20.624.1147.948.5819.69
Gamma HHI0.510.310.640.640.52
Net GEX4.2M679.8K6.5M6.5M5.3M
Net DEX-81.4M-125.7M-28.8M-118.2M-88.4M
Net VEX-990.5K-1.5M-760.3K-965.7K-913.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.075.304.060.47
Total Volume33,074.751,807108,48426,384108,484
Total OI2,029,255.751,918,8672,149,7541,918,8672,149,754

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$5.72$5.0020.4%5.9%15.7%6.0%21.7%3.8%-1.1%6.5M-118.2M-965.7K4.068.58N/AN/A5,21321,1711,093,008825,859
2012-12-04$5.68$5.0026.0%4.5%15.6%12.2%0.0%-2.8%-3.1%6.3M-106.2M-964.8K5.308.99N/AN/A3,59019,0211,093,980835,099
2012-12-05$5.72$5.0035.3%6.4%15.8%20.6%22.2%-0.4%-5.2%6.1M-123.8M-961.3K0.7117.47N/AN/A5,6434,0051,095,558848,265
2012-12-06$5.73$0.0019.4%5.3%14.0%6.3%0.0%0.6%4.4%5.9M-125.7M-993.7K0.4912.50N/AN/A6,1983,0301,093,814857,414
2012-12-07$5.69$0.0015.6%4.3%14.3%2.9%0.0%0.4%-2.4%5.8M-101.8M-1.0M0.4640.74N/AN/A7,5563,4841,095,349858,583
2012-12-10$5.66$0.0015.3%4.4%13.8%2.7%0.0%-3.0%1.8%5.7M-101.4M-959.6K1.0034.29N/AN/A3,5003,5021,098,786860,945
2012-12-11$5.57$0.0018.7%5.4%14.6%5.7%0.0%-0.4%-0.1%3.9M-79.2M-926.7K1.6247.94N/AN/A38,63062,4841,101,598863,599
2012-12-12$5.66$0.0021.0%6.0%15.5%7.8%0.0%6.6%-0.8%4.8M-102.4M-1.0M3.5539.71N/AN/A12,05042,8181,120,087880,674
2012-12-13$5.64$0.0021.5%6.2%14.3%8.2%0.0%4.9%-0.5%4.7M-80.5M-1.3M1.008.62N/AN/A21,61321,5211,127,831909,839
2012-12-14$5.55$0.0017.4%4.6%15.3%4.6%0.0%5.4%6.0%2.9M-69.8M-936.6K1.1132.23N/AN/A2,2212,4631,140,004922,121
2012-12-17$5.56$5.0019.5%5.3%14.7%6.4%19.3%3.1%3.0%3.1M-99.4M-1.5M0.676.69N/AN/A6,4504,2991,140,287922,318
2012-12-18$5.53$5.0021.5%5.9%14.1%8.2%21.3%4.5%0.8%2.8M-62.7M-892.0K0.514.11N/AN/A8,2454,2401,140,461920,599
2012-12-19$5.46$5.0018.9%5.0%14.6%5.9%17.5%6.4%1.6%679.8K-28.8M-760.3K1.014.62N/AN/A22,68822,8111,142,686923,478
2012-12-20$5.48$5.0019.4%5.6%13.9%6.4%19.6%6.3%0.2%2.1M-37.2M-1.1M0.275.46N/AN/A29,1507,7901,156,496930,298
2012-12-21$5.46$5.0018.7%5.3%13.2%5.7%18.7%5.1%0.9%2.8M-48.0M-873.3K2.656.14N/AN/A7,60920,1851,162,345936,285
2012-12-24$5.50$5.5018.8%5.6%13.6%5.7%0.0%10.6%1.5%2.6M-48.8M-1.1M0.5513.44N/AN/A1,1686391,144,421937,933
2012-12-26$5.56$5.5020.2%5.8%14.2%7.0%20.2%4.5%1.7%3.6M-53.3M-890.2K1.3038.45N/AN/A2,0962,7351,144,554938,676
2012-12-27$5.62$5.5022.1%6.3%14.0%8.8%21.9%2.6%0.5%4.3M-78.2M-847.5K0.3329.33N/AN/A15,9505,3191,144,714939,791
2012-12-28$5.60$5.5020.7%5.8%14.0%7.5%20.2%7.8%1.5%4.2M-74.0M-824.8K0.0733.38N/AN/A95,5356,3891,145,857941,749
2012-12-31$5.67$6.0021.3%6.1%14.7%8.0%21.8%3.2%1.2%5.3M-88.4M-913.8K0.4719.69N/AN/A73,77534,7091,206,159943,595