S Options History — June 2013

In June 2013, S traded between $6.86 and $7.35. ATM implied volatility averaged 28.8%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 9.6% (HV 20d: 19.2%). Max pain ranged from $7.00 to $8.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2013-06-11: Highest Volume — 270,788 contracts
  • 2013-06-21: Largest IV drop — 46.5% change
  • 2013-06-07: Highest IV Rank — 54.0%
  • 2013-06-07: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.15$6.86$7.35$7.22$7.02
Max Pain$7.18$7.00$8.50$8.50$7.00
ATM IV28.8%12.3%45.0%35.9%14.0%
Expected Move8.3%3.5%12.9%10.4%4.0%
HV 20d19.2%14.9%24.5%15.0%24.4%
HV 60d30.8%30.0%31.9%30.0%31.6%
IV Rank27.2%0.1%54.0%39.1%2.9%
IV Percentile43.2%0.4%66.7%61.5%2.0%
Term Structure-0.8%-8.2%8.8%-0.7%0.4%
VWIV30.8%12.3%45.3%43.5%13.9%
Skew 25d2.1%-7.5%33.9%-7.5%0.5%
Skew 10d1.9%-12.6%89.3%-10.8%3.1%
Call IV 25d29.9%16.0%45.9%44.1%18.2%
Put IV 25d32.0%15.1%64.2%36.6%18.7%
Bid-Ask Spread %27.299.6264.1720.5127.23
Gamma HHI0.470.290.870.300.87
Net GEX8.9M6.1M15.9M9.0M9.0M
Net DEX-73.8M-142.0M45.6M-101.2M-55.5M
Net VEX-1.1M-1.4M-841.9K-1.2M-911.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.253.501.310.47
Total Volume74,570.37,423270,78812,66133,799
Total OI1,555,208.21,390,8091,715,0711,454,0991,432,566

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$7.22$8.5035.9%10.4%15.0%39.1%0.0%-7.5%-0.7%9.0M-101.2M-1.2M1.3120.51N/AN/A5,4847,177949,678504,421
2013-06-04$7.26$8.5044.1%12.7%14.9%52.5%43.5%-2.1%-3.1%9.6M-117.7M-1.3M0.7119.79N/AN/A50,62635,751950,401508,952
2013-06-05$7.20$7.0043.9%12.6%15.2%52.1%44.7%1.5%-6.0%8.9M-93.7M-1.2M0.3921.76N/AN/A5,3462,077987,828537,050
2013-06-06$7.34$7.0042.1%12.1%16.0%49.3%42.4%-0.5%-2.5%11.3M-142.0M-1.3M0.9523.71N/AN/A7,8057,427989,842535,968
2013-06-07$7.24$7.0045.0%12.9%16.6%54.0%45.3%6.2%-8.2%8.3M-108.7M-1.2M1.3148.60N/AN/A6,7338,836991,673541,609
2013-06-10$7.18$7.0042.9%12.3%16.8%50.5%43.7%-2.3%-4.5%8.1M-90.9M-1.2M0.2519.60N/AN/A24,6796,205951,191537,516
2013-06-11$7.35$7.0028.6%8.2%16.6%27.0%28.8%5.6%8.8%10.7M-134.2M-1.1M0.9618.64N/AN/A138,466132,322952,711541,188
2013-06-12$7.35$7.0030.0%8.6%16.2%29.2%29.8%1.9%4.0%10.8M-136.9M-1.3M1.4222.18N/AN/A31,29144,3681,019,529633,493
2013-06-13$7.32$0.0029.7%8.5%16.2%28.8%29.5%12.9%0.5%10.5M-127.0M-1.2M3.5048.66N/AN/A23,10780,9531,032,756660,398
2013-06-14$7.32$7.5032.0%9.3%16.2%32.6%0.0%7.0%-2.1%7.1M-119.1M-1.4M1.0664.17N/AN/A17,06318,0741,028,706679,106
2013-06-17$7.22$7.0032.1%9.3%16.8%32.8%33.1%-6.2%-2.6%6.7M-90.7M-1.4M1.1213.82N/AN/A12,22413,689991,156666,962
2013-06-18$7.32$7.0033.5%9.6%17.5%35.0%33.9%33.9%-3.6%6.2M-111.0M-1.2M0.5112.94N/AN/A15,1647,670993,020674,983
2013-06-19$7.00$7.0021.3%6.1%22.9%15.0%21.1%1.9%-0.5%6.1M-1.6M-1.2M0.2655.02N/AN/A142,02836,554985,376678,125
2013-06-20$7.07$7.0023.0%6.6%23.1%17.7%23.0%-7.3%2.6%9.2M-45.0M-1.1M0.2914.60N/AN/A54,34415,8811,046,017653,472
2013-06-21$6.97$7.0012.3%3.5%23.5%0.1%12.3%-6.3%0.1%15.9M-10.0M-886.5K1.729.62N/AN/A81,989141,0371,062,548652,523
2013-06-24$6.86$7.0015.9%4.5%23.9%6.1%0.0%1.0%1.2%6.3M45.6M-853.9K0.3423.52N/AN/A126,09642,473955,571568,716
2013-06-25$6.88$7.0016.4%4.7%23.9%6.9%16.4%2.2%-0.6%7.7M6.5M-841.9K0.2526.23N/AN/A58,27414,347863,953526,856
2013-06-26$6.97$7.0016.8%4.8%24.5%7.6%0.0%0.1%-0.7%7.4M-18.1M-916.8K0.4425.75N/AN/A7,9423,532855,505538,417
2013-06-27$6.98$7.0015.7%4.4%24.2%5.7%0.0%-0.3%0.9%8.3M-24.0M-915.6K0.6329.46N/AN/A18,71011,863883,820540,562
2013-06-28$7.02$7.0014.0%4.0%24.4%2.9%13.9%0.5%0.4%9.0M-55.5M-911.8K0.4727.23N/AN/A23,05310,746890,151542,415