S Options History — February 2013

In February 2013, S traded between $5.69 and $5.91. ATM implied volatility averaged 20.2%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.0% (HV 20d: 17.2%). Max pain ranged from $5.50 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.55.

Notable Days

2013-02-13: Highest Volume — 80,710 contracts
2013-02-25: Largest IV spike — 31.3% change
2013-02-25: Highest IV Rank — 13.8%
2013-02-06: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.80	$5.69	$5.91	$5.69	$5.80
Max Pain	$5.76	$5.50	$6.00	$5.50	$5.50
ATM IV	20.2%	15.1%	27.7%	23.5%	15.1%
Expected Move	5.8%	4.1%	7.9%	6.7%	4.4%
HV 20d	17.2%	13.1%	21.7%	21.7%	15.9%
HV 60d	17.5%	17.1%	17.9%	17.9%	17.9%
IV Rank	8.4%	3.1%	13.8%	10.0%	3.3%
IV Percentile	14.4%	0.8%	30.6%	25.8%	0.8%
Term Structure	-0.2%	-4.7%	3.2%	-0.7%	-1.4%
VWIV	20.4%	16.6%	26.7%	23.5%	17.0%
Skew 25d	19.5%	-2.3%	89.3%	-0.2%	3.4%
Skew 10d	26.0%	-15.5%	117.6%	-8.8%	3.2%
Call IV 25d	20.4%	16.2%	28.2%	24.6%	17.6%
Put IV 25d	39.9%	19.7%	107.0%	24.4%	21.1%
Bid-Ask Spread %	24.41	9.24	61.20	25.18	38.89
Gamma HHI	0.67	0.56	0.90	0.56	0.68
Net GEX	8.2M	3.9M	20.9M	4.7M	5.4M
Net DEX	60.5M	21.4M	81.3M	81.3M	80.1M
Net VEX	-817.0K	-918.2K	-719.6K	-782.0K	-918.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.06	2.22	0.31	0.46
Total Volume	32,192.526	5,761	80,710	26,628	12,443
Total OI	1,695,360.474	1,447,549	1,893,438	1,795,665	1,527,641

Daily Data (19 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
2013-02-01	$5.69	$5.50	23.5%	6.7%	21.7%	10.0%	23.5%	-0.2%	-0.7%	4.7M	81.3M	-782.0K	0.31	25.18	N/A	N/A	20,300	6,328	1,033,962	761,703
2013-02-04	$5.74	$5.50	26.4%	7.6%	21.0%	12.6%	26.4%	2.7%	-4.5%	5.6M	66.1M	-795.1K	0.88	21.41	N/A	N/A	7,968	7,033	1,029,366	762,174
2013-02-05	$5.71	$5.50	25.5%	7.3%	20.8%	11.8%	25.5%	-2.3%	-2.7%	5.0M	73.2M	-875.3K	0.06	19.32	N/A	N/A	45,931	2,847	1,033,213	766,624
2013-02-06	$5.77	$5.50	27.7%	7.9%	21.2%	13.7%	26.7%	-1.6%	-4.7%	6.3M	44.9M	-883.3K	0.53	24.74	N/A	N/A	13,524	7,142	1,074,956	768,700
2013-02-07	$5.74	$0.00	22.0%	6.5%	20.6%	8.6%	0.0%	1.2%	-3.9%	7.4M	61.5M	-789.1K	0.47	14.32	N/A	N/A	17,283	8,044	1,080,464	771,745
2013-02-08	$5.77	$0.00	15.8%	4.1%	20.4%	3.1%	21.5%	4.2%	2.7%	8.7M	46.7M	-785.8K	0.24	26.74	N/A	N/A	5,887	1,419	1,087,008	774,241
2013-02-11	$5.79	$6.00	16.9%	5.1%	20.4%	5.6%	17.7%	88.5%	0.2%	9.2M	55.3M	-744.5K	0.25	9.69	N/A	N/A	7,914	1,948	1,084,921	769,443
2013-02-12	$5.91	$6.00	19.2%	5.4%	16.1%	8.4%	18.8%	79.1%	0.5%	17.9M	21.4M	-748.9K	0.17	9.24	N/A	N/A	53,792	9,310	1,085,452	770,398
2013-02-13	$5.86	$6.00	16.7%	4.8%	15.7%	5.3%	16.6%	2.6%	3.2%	16.6M	33.2M	-821.0K	0.47	11.75	N/A	N/A	55,090	25,620	1,113,665	777,256
2013-02-14	$5.87	$6.00	16.6%	4.8%	14.1%	5.2%	16.6%	89.3%	-0.0%	16.2M	28.0M	-845.5K	0.50	9.26	N/A	N/A	3,853	1,908	1,114,523	776,940
2013-02-15	$5.91	$6.00	18.4%	5.3%	13.1%	7.4%	18.4%	84.3%	0.0%	20.9M	37.7M	-719.6K	0.63	14.46	N/A	N/A	33,408	20,896	1,115,610	777,828
2013-02-19	$5.90	$6.00	17.6%	5.1%	13.1%	6.5%	17.9%	5.4%	3.2%	5.0M	65.1M	-748.2K	0.08	24.30	N/A	N/A	22,270	1,887	886,001	561,548
2013-02-20	$5.79	$6.00	20.5%	5.9%	15.1%	10.0%	0.0%	-0.6%	1.3%	4.3M	71.6M	-827.7K	0.95	24.89	N/A	N/A	3,874	3,683	903,034	561,859
2013-02-21	$5.79	$6.00	21.0%	6.0%	15.1%	10.5%	0.0%	1.8%	0.2%	4.3M	74.1M	-841.6K	2.22	19.90	N/A	N/A	6,429	14,291	904,984	564,166
2013-02-22	$5.82	$6.00	18.1%	5.1%	15.2%	7.0%	0.0%	5.7%	0.9%	4.4M	79.3M	-764.7K	0.53	17.81	N/A	N/A	23,106	12,223	907,086	572,775
2013-02-25	$5.73	$5.50	23.7%	6.8%	16.2%	13.8%	0.0%	3.7%	-0.7%	3.9M	81.3M	-912.5K	0.30	57.61	N/A	N/A	54,648	16,173	911,356	575,291
2013-02-26	$5.78	$5.50	18.8%	5.4%	15.4%	7.9%	0.0%	-0.1%	3.2%	4.6M	79.2M	-860.4K	1.22	61.20	N/A	N/A	8,083	9,876	915,946	584,144
2013-02-27	$5.86	$5.50	19.4%	5.6%	15.3%	8.6%	19.1%	3.5%	-0.5%	6.0M	70.1M	-860.1K	0.27	33.16	N/A	N/A	51,215	14,012	917,110	588,716
2013-02-28	$5.80	$5.50	15.1%	4.4%	15.9%	3.3%	17.0%	3.4%	-1.4%	5.4M	80.1M	-918.2K	0.46	38.89	N/A	N/A	8,507	3,936	935,346	592,295