S Options History — April 2013 In April 2013, S traded between $6.16 and $7.20. ATM implied volatility averaged 24.3%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 9.7% (HV 20d: 34.0%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2013-04-15 : Highest Volume — 794,659 contracts2013-04-15 : Largest IV spike — 28.4% change2013-04-15 : Highest IV Rank — 27.9%2013-04-15 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $6.72 $6.16 $7.20 $6.25 $7.05 Max Pain $6.40 $6.00 $7.00 $6.50 $7.00 ATM IV 24.3% 20.1% 29.1% 20.1% 27.0% Expected Move 7.0% 5.9% 8.2% 5.9% 7.8% HV 20d 34.0% 17.3% 47.8% 17.3% 47.2% HV 60d 24.4% 15.7% 30.2% 18.3% 30.0% IV Rank 18.6% 9.6% 27.9% 9.6% 24.3% IV Percentile 41.8% 27.4% 50.4% 27.4% 50.4% Term Structure 0.9% -4.2% 5.5% 4.5% -1.2% VWIV 24.5% 20.5% 28.8% 21.9% 26.9% Skew 25d -1.4% -7.3% 3.6% 0.1% -0.9% Skew 10d 3.6% -11.4% 26.2% 9.9% 6.9% Call IV 25d 26.2% 20.2% 31.6% 21.7% 27.2% Put IV 25d 24.8% 19.8% 33.5% 21.8% 26.3% Bid-Ask Spread % 14.91 4.17 31.16 20.08 22.00 Gamma HHI 0.61 0.37 0.77 0.69 0.61 Net GEX 8.7M 3.9M 11.8M 8.7M 10.4M Net DEX -89.6M -210.4M -15.0M -31.5M -116.0M Net VEX -875.2K -1.3M -717.1K -815.1K -885.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.20 2.28 1.20 0.57 Total Volume 92,674.227 11,200 794,659 34,880 91,495 Total OI 1,702,634.136 1,564,820 1,803,512 1,782,985 1,568,083
Daily Data (22 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 2013-04-01 $6.25 $6.50 20.1% 5.9% 17.3% 9.6% 21.9% 0.1% 4.5% 8.7M -31.5M -815.1K 1.20 20.08 N/A N/A 15,846 19,034 1,098,693 684,292 2013-04-02 $6.23 $6.50 21.4% 6.3% 17.5% 11.1% 22.4% 1.3% 3.6% 10.0M -47.7M -1.3M 0.75 18.28 N/A N/A 7,701 5,741 1,105,683 687,143 2013-04-03 $6.16 $6.50 21.8% 6.2% 18.1% 11.6% 21.6% -0.3% 0.5% 11.8M -21.6M -785.7K 0.95 17.33 N/A N/A 13,224 12,606 1,107,264 683,626 2013-04-04 $6.21 $6.50 20.8% 6.0% 18.2% 10.5% 21.3% 3.6% 1.4% 10.0M -29.4M -717.1K 2.28 11.40 N/A N/A 5,157 11,749 1,105,575 687,978 2013-04-05 $6.23 $6.50 21.3% 6.1% 18.1% 11.0% 21.4% 1.0% 0.7% 9.1M -32.2M -772.7K 1.24 11.83 N/A N/A 7,127 8,804 1,105,873 693,555 2013-04-08 $6.30 $6.50 25.1% 7.2% 18.3% 15.7% 25.4% -2.3% 0.7% 6.9M -25.0M -849.4K 1.03 9.52 N/A N/A 19,102 19,771 1,098,081 693,788 2013-04-09 $6.28 $6.50 24.2% 6.9% 18.3% 14.6% 21.4% -1.9% 1.6% 8.1M -22.3M -787.3K 0.83 9.83 N/A N/A 25,668 21,393 1,086,234 698,612 2013-04-10 $6.25 $6.00 20.9% 6.0% 18.3% 14.2% 23.8% -3.4% 3.2% 8.8M -15.0M -743.6K 1.30 10.25 N/A N/A 20,206 26,227 1,091,251 702,026 2013-04-11 $6.26 $0.00 23.0% 6.5% 18.0% 17.8% 20.5% -1.5% 2.7% 8.9M -18.9M -842.4K 0.63 29.05 N/A N/A 7,258 4,591 1,092,409 708,165 2013-04-12 $6.22 $6.00 22.7% 6.2% 18.2% 17.2% 21.4% -0.0% 3.4% 8.8M -15.8M -788.9K 0.96 8.18 N/A N/A 17,826 17,186 1,092,632 710,880 2013-04-15 $7.06 $6.00 29.1% 8.2% 47.1% 27.9% 28.8% 2.5% -0.4% 3.9M -130.2M -892.4K 0.56 4.60 N/A N/A 510,276 284,383 1,085,169 713,470 2013-04-16 $7.20 $6.00 26.0% 7.5% 47.3% 22.7% 26.3% -4.2% 1.2% 5.6M -134.8M -817.5K 0.64 4.17 N/A N/A 214,429 136,914 991,860 672,475 2013-04-17 $7.09 $6.00 25.2% 7.2% 47.7% 21.4% 25.2% -7.3% 1.9% 6.0M -137.4M -926.4K 0.46 5.48 N/A N/A 176,424 80,690 983,273 671,261 2013-04-18 $7.19 $6.00 26.8% 7.7% 47.6% 23.9% 26.7% -4.9% -0.4% 8.0M -207.4M -937.2K 0.26 8.22 N/A N/A 81,644 21,053 1,069,383 616,911 2013-04-19 $7.17 $6.00 27.7% 8.0% 47.8% 25.5% 28.1% -5.9% -1.3% 8.8M -210.4M -894.5K 0.21 8.57 N/A N/A 19,583 4,050 1,113,546 608,552 2013-04-22 $7.17 $7.00 24.1% 7.1% 47.8% 19.6% 0.0% -3.5% 1.6% 9.8M -134.7M -1.1M 0.92 22.65 N/A N/A 13,603 12,503 993,307 574,515 2013-04-23 $7.10 $7.00 27.0% 7.8% 47.3% 24.3% 28.2% 1.1% -4.2% 8.9M -132.5M -924.8K 0.32 31.16 N/A N/A 11,773 3,766 993,629 575,295 2013-04-24 $7.09 $6.50 24.8% 7.1% 47.4% 20.6% 24.6% -0.1% -1.1% 9.1M -116.4M -990.9K 1.18 23.06 N/A N/A 9,518 11,184 996,515 575,289 2013-04-25 $7.14 $6.50 24.9% 7.2% 47.3% 20.9% 26.2% -1.7% -1.3% 9.7M -131.3M -856.3K 0.20 12.63 N/A N/A 13,246 2,587 995,217 580,264 2013-04-26 $7.12 $6.50 24.8% 6.5% 46.9% 20.7% 24.4% -0.9% 5.5% 10.0M -126.9M -840.7K 0.82 20.04 N/A N/A 23,200 19,095 1,001,940 579,417 2013-04-29 $7.12 $6.50 26.4% 7.8% 46.9% 23.4% 27.2% -1.6% -3.3% 10.6M -134.8M -784.3K 0.68 19.70 N/A N/A 6,667 4,533 995,752 569,068 2013-04-30 $7.05 $7.00 27.0% 7.8% 47.2% 24.3% 26.9% -0.9% -1.2% 10.4M -116.0M -885.1K 0.57 22.00 N/A N/A 58,120 33,375 997,298 570,785
« Mar 2013 | All History | May 2013 » Home S History April 2013