S Options History — May 2013 In May 2013, S traded between $7.06 and $7.39. ATM implied volatility averaged 28.8%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.8% (HV 20d: 26.1%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2013-05-01 : Highest Volume — 84,518 contracts2013-05-15 : Largest IV spike — 19.1% change2013-05-31 : Highest IV Rank — 39.1%2013-05-31 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $7.27 $7.06 $7.39 $7.06 $7.30 Max Pain $6.98 $6.00 $8.00 $7.00 $8.00 ATM IV 28.8% 25.3% 36.0% 28.6% 36.0% Expected Move 8.2% 7.2% 10.1% 8.2% 10.1% HV 20d 26.1% 13.4% 46.7% 46.7% 14.5% HV 60d 29.9% 29.7% 30.3% 30.0% 29.9% IV Rank 27.4% 21.5% 39.1% 26.9% 39.1% IV Percentile 54.8% 46.8% 61.9% 52.4% 61.9% Term Structure -0.3% -5.3% 3.5% -4.1% 2.9% VWIV 28.6% 24.0% 35.2% 28.4% 35.2% Skew 25d 1.0% -3.9% 8.6% 0.5% -3.6% Skew 10d 8.0% -9.9% 81.7% 8.2% -1.8% Call IV 25d 29.9% 20.5% 38.2% 26.2% 38.2% Put IV 25d 30.9% 25.3% 36.0% 26.6% 34.6% Bid-Ask Spread % 18.26 6.52 32.21 21.09 24.07 Gamma HHI 0.43 0.30 0.61 0.61 0.31 Net GEX 9.7M 8.0M 12.0M 11.2M 9.4M Net DEX -159.1M -247.0M -102.4M -124.0M -127.2M Net VEX -1.1M -1.3M -896.0K -915.2K -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.01 2.87 1.43 0.85 Total Volume 33,055.545 9,526 84,518 84,518 37,697 Total OI 1,624,195.909 1,391,223 1,901,398 1,611,320 1,471,449
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 2013-05-01 $7.06 $7.00 28.6% 8.2% 46.7% 26.9% 28.4% 0.5% -4.1% 11.2M -124.0M -915.2K 1.43 21.09 N/A N/A 34,748 49,770 1,020,126 591,194 2013-05-02 $7.10 $7.00 26.3% 7.6% 46.7% 23.1% 24.0% 1.3% -0.8% 10.5M -126.2M -1.0M 2.87 23.37 N/A N/A 5,857 16,788 1,035,616 613,328 2013-05-03 $7.15 $7.00 27.0% 7.7% 46.7% 24.3% 26.4% 2.5% 0.1% 10.0M -133.9M -1.0M 0.45 22.07 N/A N/A 14,696 6,650 1,042,336 625,396 2013-05-06 $7.20 $6.50 28.2% 8.1% 46.7% 26.3% 29.2% 4.8% -2.1% 11.1M -160.1M -896.0K 2.40 20.32 N/A N/A 7,681 18,433 1,045,426 624,421 2013-05-07 $7.22 $6.00 27.2% 7.7% 46.6% 24.6% 27.2% 3.0% -1.2% 10.2M -165.6M -1.0M 1.11 17.71 N/A N/A 33,524 37,316 1,050,442 637,498 2013-05-08 $7.32 $6.00 28.6% 8.2% 46.4% 27.0% 28.2% 2.2% -0.9% 10.4M -186.5M -956.5K 1.02 18.22 N/A N/A 7,908 8,057 1,061,786 670,151 2013-05-09 $7.35 $6.00 27.2% 7.8% 46.4% 24.6% 27.2% -2.5% -0.3% 8.5M -199.7M -1.2M 0.08 15.26 N/A N/A 49,535 3,760 1,070,525 671,946 2013-05-10 $7.36 $6.00 25.3% 7.2% 46.1% 21.5% 25.5% 8.6% 2.0% 9.2M -236.0M -1.3M 0.18 16.64 N/A N/A 59,638 10,990 1,109,736 673,084 2013-05-13 $7.18 $7.00 27.7% 7.9% 16.4% 25.5% 26.4% 4.2% -1.6% 12.0M -180.4M -1.2M 0.65 18.71 N/A N/A 31,309 20,490 1,134,024 674,593 2013-05-14 $7.26 $7.00 26.0% 7.5% 15.3% 22.7% 30.1% 6.6% 1.6% 10.6M -196.8M -1.1M 0.95 14.52 N/A N/A 11,875 11,260 1,142,768 689,187 2013-05-15 $7.25 $7.00 31.0% 8.9% 14.2% 30.9% 28.2% 5.7% -3.5% 8.5M -212.8M -1.2M 0.12 16.86 N/A N/A 11,951 1,444 1,151,986 699,933 2013-05-16 $7.28 $0.00 28.8% 8.2% 13.4% 27.3% 28.6% 1.1% 1.5% 8.0M -224.4M -1.0M 0.01 32.21 N/A N/A 54,982 712 1,154,327 697,515 2013-05-17 $7.32 $7.00 28.6% 8.2% 13.4% 26.9% 30.9% 0.9% -0.6% 8.9M -247.0M -1.2M 0.15 20.53 N/A N/A 11,729 1,803 1,203,349 698,049 2013-05-20 $7.29 $7.00 28.0% 8.0% 13.6% 25.9% 27.4% -1.6% 2.7% 8.2M -102.4M -1.2M 0.36 10.48 N/A N/A 20,880 7,475 897,819 493,404 2013-05-21 $7.39 $7.00 27.6% 8.0% 13.7% 25.3% 28.2% 1.5% 2.9% 9.7M -139.6M -1.2M 0.17 11.60 N/A N/A 15,556 2,626 915,342 498,350 2013-05-22 $7.30 $7.00 29.5% 8.4% 14.6% 28.4% 29.6% -1.8% -1.6% 9.2M -111.9M -1.2M 0.06 6.52 N/A N/A 20,927 1,228 926,977 499,954 2013-05-23 $7.31 $7.00 29.5% 8.5% 14.4% 28.4% 32.0% -0.8% -1.3% 9.6M -131.6M -1.3M 0.81 12.65 N/A N/A 7,611 6,132 943,660 500,315 2013-05-24 $7.33 $7.00 28.1% 7.8% 14.3% 26.1% 29.1% -3.9% 3.5% 9.5M -116.6M -1.2M 1.07 10.56 N/A N/A 7,862 8,441 949,154 505,020 2013-05-28 $7.27 $8.00 30.9% 8.8% 14.7% 30.9% 31.0% -3.2% -1.0% 9.2M -117.8M -1.3M 0.67 23.02 N/A N/A 12,304 8,269 941,877 501,792 2013-05-29 $7.28 $8.00 32.3% 9.3% 14.2% 33.1% 0.0% -3.0% -5.3% 9.6M -122.5M -1.2M 1.02 20.31 N/A N/A 4,706 4,820 944,099 504,279 2013-05-30 $7.34 $8.00 32.7% 9.4% 14.4% 33.8% 0.0% -0.7% 0.3% 9.8M -136.7M -1.2M 0.78 25.07 N/A N/A 21,218 16,564 945,820 504,257 2013-05-31 $7.30 $8.00 36.0% 10.1% 14.5% 39.1% 35.2% -3.6% 2.9% 9.4M -127.2M -1.2M 0.85 24.07 N/A N/A 20,365 17,332 954,140 517,309
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