S Options History — March 2013

In March 2013, S traded between $5.80 and $6.21. ATM implied volatility averaged 15.3%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.1% (HV 20d: 15.2%). Max pain ranged from $5.50 to $6.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2013-03-20: Highest Volume — 174,540 contracts
  • 2013-03-19: Largest IV spike — 33.9% change
  • 2013-03-19: Highest IV Rank — 7.9%
  • 2013-03-19: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.94$5.80$6.21$5.80$6.21
Max Pain$5.92$5.50$6.00$5.50$6.00
ATM IV15.3%12.2%18.7%18.2%17.2%
Expected Move4.4%3.5%5.3%5.0%4.9%
HV 20d15.2%13.3%17.3%15.8%17.3%
HV 60d17.7%17.0%18.7%17.9%18.7%
IV Rank3.7%0.0%7.9%7.1%6.1%
IV Percentile4.3%0.0%15.9%7.1%11.1%
Term Structure3.2%-0.9%10.1%2.7%0.9%
VWIV15.5%12.2%18.5%17.6%17.5%
Skew 25d7.5%-12.3%65.4%2.3%-2.5%
Skew 10d18.0%-9.2%108.9%5.3%11.3%
Call IV 25d17.7%13.4%25.3%17.9%19.5%
Put IV 25d25.2%12.0%83.4%20.1%17.0%
Bid-Ask Spread %22.338.0032.7032.5917.17
Gamma HHI0.690.590.790.650.67
Net GEX8.6M5.8M14.3M5.8M10.2M
Net DEX51.0M-21.2M92.8M92.8M-20.0M
Net VEX-784.1K-952.6K-650.3K-711.3K-864.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.0711.5211.520.71
Total Volume45,700.37,785174,54029,56242,550
Total OI1,643,735.41,521,4011,794,4521,521,4011,794,452

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$5.80$5.5018.2%5.0%15.8%7.1%17.6%2.3%2.7%5.8M92.8M-711.3K11.5232.59N/AN/A2,36227,200930,687590,714
2013-03-04$5.83$5.5015.4%4.4%15.5%3.7%15.3%4.3%3.6%5.8M85.4M-741.3K0.7122.10N/AN/A8,5706,126927,853594,857
2013-03-05$5.87$6.0015.5%4.4%15.4%3.8%15.5%4.3%2.3%6.5M76.0M-827.9K0.6822.28N/AN/A33,33322,831932,490598,352
2013-03-06$5.87$6.0014.4%4.1%15.2%2.5%0.0%4.7%2.4%6.5M79.3M-697.1K0.0720.08N/AN/A32,8052,328938,859593,196
2013-03-07$5.85$6.0015.3%4.4%14.9%3.6%15.2%4.4%0.7%7.2M75.8M-713.1K0.6623.85N/AN/A4,8783,229957,474600,527
2013-03-08$5.88$6.0014.1%4.0%14.8%2.2%0.0%6.6%0.6%8.3M67.0M-816.4K0.828.00N/AN/A7,4076,107958,193602,693
2013-03-11$5.86$6.0015.0%4.3%14.8%3.3%0.0%6.1%2.0%7.1M80.2M-718.2K0.3020.05N/AN/A5,9761,809962,354607,563
2013-03-12$5.92$6.0012.2%3.5%15.2%0.0%12.2%4.9%1.5%9.6M67.6M-650.3K0.5414.58N/AN/A64,27734,867964,724608,759
2013-03-13$5.88$6.0014.2%4.1%13.6%2.5%14.2%4.1%0.5%8.0M70.8M-760.4K1.8821.62N/AN/A4,1797,8551,003,603632,927
2013-03-14$5.86$0.0013.7%3.8%13.3%1.8%0.0%-1.5%2.2%7.9M75.9M-789.3K3.5310.25N/AN/A1,9486,881993,243631,586
2013-03-15$5.81$0.0018.1%5.3%13.6%7.1%18.3%2.8%-0.9%6.6M83.6M-760.8K1.2519.95N/AN/A6,7038,411994,313637,111
2013-03-18$5.87$6.0014.0%3.9%13.9%2.1%13.7%3.2%5.8%7.6M75.6M-682.6K0.3532.70N/AN/A19,5356,807966,382638,436
2013-03-19$6.03$6.0018.7%5.3%16.9%7.9%18.5%65.4%4.4%7.4M47.4M-765.9K0.5229.64N/AN/A76,04439,638981,447644,892
2013-03-20$6.03$6.0014.2%4.1%15.2%2.4%14.2%-6.8%10.1%10.3M19.7M-751.9K0.7929.51N/AN/A97,64976,8911,023,072647,294
2013-03-21$6.06$6.0014.1%4.0%15.2%2.2%14.1%52.1%6.6%10.4M13.5M-859.6K0.9429.55N/AN/A35,25233,1691,089,929690,833
2013-03-22$6.14$6.0014.1%3.7%15.7%2.3%13.0%-12.3%5.2%14.3M-21.2M-818.5K0.7329.30N/AN/A42,99631,4611,093,813684,042
2013-03-25$6.03$5.5016.7%4.9%16.1%5.4%17.0%-6.0%4.6%10.2M22.2M-952.6K0.6019.16N/AN/A37,66322,4971,094,515684,708
2013-03-26$6.05$6.0015.6%4.5%15.9%4.2%15.8%6.4%5.2%10.8M10.1M-896.0K0.9520.59N/AN/A15,34514,6531,104,883688,369
2013-03-27$6.04$6.0016.2%4.6%15.4%4.8%16.4%6.6%4.6%11.7M18.5M-904.9K0.4323.67N/AN/A15,2426,5321,092,993692,570
2013-03-28$6.21$6.0017.2%4.9%17.3%6.1%17.5%-2.5%0.9%10.2M-20.0M-864.8K0.7117.17N/AN/A24,94517,6051,098,462695,990