S Options History — January 2013

In January 2013, S traded between $5.53 and $5.97. ATM implied volatility averaged 20.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.5% (HV 20d: 20.4%). Max pain ranged from $5.50 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.83.

Notable Days

  • 2013-01-11: Highest Volume — 102,553 contracts
  • 2013-01-29: Largest IV spike — 29.7% change
  • 2013-01-29: Highest IV Rank — 14.2%
  • 2013-01-29: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.74$5.53$5.97$5.79$5.63
Max Pain$5.60$5.50$6.00$6.00$5.50
ATM IV20.9%17.7%28.2%18.4%23.5%
Expected Move6.0%5.1%8.2%5.3%6.7%
HV 20d20.4%16.3%23.3%16.6%21.4%
HV 60d22.1%16.3%33.1%33.1%17.8%
IV Rank7.7%4.8%14.2%5.4%10.0%
IV Percentile14.9%3.6%27.4%4.8%25.4%
Term Structure-0.0%-6.7%3.4%0.2%-0.0%
VWIV20.2%11.8%27.1%13.0%27.1%
Skew 25d-0.1%-4.9%6.9%1.6%-2.1%
Skew 10d1.9%-7.9%12.1%12.1%-1.9%
Call IV 25d21.8%16.7%26.9%18.8%26.1%
Put IV 25d21.7%17.3%28.0%20.4%24.1%
Bid-Ask Spread %19.594.9338.6830.1326.24
Gamma HHI0.590.410.760.650.51
Net GEX6.1M1.8M12.7M7.6M3.6M
Net DEX-25.4M-171.6M110.8M-105.6M100.0M
Net VEX-905.0K-1.6M-711.2K-820.6K-759.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.171.730.491.04
Total Volume47,283.5242,497102,55331,1722,497
Total OI2,046,661.9051,710,8802,422,4332,123,5731,794,786

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$5.79$6.0018.4%5.3%16.6%5.4%13.0%1.6%0.2%7.6M-105.6M-820.6K0.4930.13N/AN/A20,93310,2391,161,764961,809
2013-01-03$5.82$5.5017.7%5.1%16.4%4.8%11.8%-0.5%1.1%8.6M-103.9M-711.2K0.2828.36N/AN/A34,2919,5221,103,586966,254
2013-01-04$5.92$5.5021.9%6.3%17.2%8.6%21.9%0.7%-0.7%8.3M-150.4M-1.1M0.4930.25N/AN/A67,13333,1321,120,787971,362
2013-01-07$5.96$6.0020.3%5.8%17.3%7.1%20.2%-4.9%1.8%9.5M-171.6M-916.6K0.1716.66N/AN/A27,3794,7721,153,232994,694
2013-01-08$5.97$6.0018.5%5.3%17.0%5.5%18.5%6.9%-0.0%12.2M-167.7M-811.3K0.6733.57N/AN/A25,86817,2951,159,085996,242
2013-01-09$5.88$6.0022.0%6.3%17.9%8.6%22.0%2.3%-2.1%10.3M-132.8M-916.6K0.7023.96N/AN/A41,27328,9351,164,9331,006,896
2013-01-10$5.94$0.0019.2%5.5%16.8%6.1%19.2%4.8%0.1%12.7M-150.5M-994.1K0.648.90N/AN/A30,13819,3431,189,5311,025,024
2013-01-11$5.92$5.5018.4%5.2%16.3%5.4%18.1%3.9%0.8%11.7M-144.2M-901.2K0.8722.01N/AN/A54,93047,6231,200,5821,032,270
2013-01-14$5.69$5.5022.1%6.4%22.0%8.7%22.5%3.6%-1.4%5.4M-41.5M-1.1M0.675.39N/AN/A48,25632,3541,215,4941,053,180
2013-01-15$5.62$5.5020.0%5.8%21.7%6.9%20.1%-2.3%1.4%2.9M-9.3M-737.3K0.605.85N/AN/A62,64237,5121,230,8731,088,183
2013-01-16$5.53$5.5022.6%6.6%22.5%9.2%23.5%2.1%-0.3%1.8M29.8M-861.5K1.364.93N/AN/A29,26539,8701,259,2981,108,895
2013-01-17$5.63$5.5020.4%5.8%23.3%7.2%20.4%1.3%-0.4%3.6M-78.1M-1.6M0.826.95N/AN/A37,35230,6231,274,0921,094,928
2013-01-18$5.65$5.5018.9%5.3%22.7%5.9%18.7%-4.1%1.8%3.5M-11.9M-858.6K1.058.27N/AN/A22,06823,2481,297,5211,124,912
2013-01-22$5.66$5.5019.5%5.5%22.7%6.4%22.0%-3.1%-0.0%4.1M73.6M-853.9K0.8518.02N/AN/A13,24811,248992,562718,318
2013-01-23$5.67$5.5019.1%5.5%22.6%6.1%18.7%-2.6%2.1%4.2M70.8M-881.0K1.4414.44N/AN/A10,51715,128996,780721,516
2013-01-24$5.67$5.5019.2%5.5%22.5%6.1%19.3%-0.6%-0.5%4.6M79.7M-852.4K0.5612.11N/AN/A5,7953,2221,008,331736,995
2013-01-25$5.64$5.5022.4%6.2%22.4%9.0%21.6%-0.9%3.4%4.0M85.0M-861.6K1.2115.16N/AN/A22,35026,9501,010,036732,975
2013-01-28$5.56$5.5021.7%6.3%22.6%8.4%0.0%-3.6%-0.2%2.2M110.8M-735.0K1.5123.38N/AN/A3,6035,4411,015,635737,738
2013-01-29$5.64$5.5028.2%8.2%23.2%14.2%25.5%-0.5%-6.7%3.9M96.2M-768.8K1.7338.68N/AN/A11,03519,1251,025,864750,351
2013-01-30$5.65$5.5025.1%7.2%22.8%11.4%27.1%-3.7%-0.8%3.7M87.6M-847.3K0.3338.06N/AN/A5,1111,6881,027,336755,250
2013-01-31$5.63$5.5023.5%6.7%21.4%10.0%0.0%-2.1%-0.0%3.6M100.0M-759.6K1.0426.24N/AN/A1,2221,2751,033,741761,045