S Options History — July 2013

In July 2013, S traded between $5.74 and $7.19. ATM implied volatility averaged 36.0%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 4.5% (HV 20d: 40.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2013-07-08: Highest Volume — 63,402 contracts
  • 2013-07-12: Largest IV spike — 213.4% change
  • 2013-07-29: Highest IV Rank — 100.0%
  • 2013-07-16: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.42$5.74$7.19$7.07$5.96
Max Pain$6.36$5.00$7.50$7.50$6.00
ATM IV36.0%12.1%82.8%14.8%36.5%
Expected Move9.6%3.5%13.9%4.2%10.0%
HV 20d40.4%22.5%55.6%24.3%55.6%
HV 60d31.2%18.4%36.1%31.6%36.1%
IV Rank37.9%0.0%100.0%4.3%34.5%
IV Percentile53.3%0.0%100.0%4.8%70.6%
Term Structure-0.4%-3.0%9.7%-1.3%-1.8%
VWIV35.7%11.5%51.5%15.0%34.8%
Skew 25d3.7%-4.2%27.7%1.3%2.5%
Skew 10d7.0%-19.7%65.1%3.4%3.8%
Call IV 25d33.5%11.2%51.2%16.7%30.5%
Put IV 25d37.2%15.0%66.8%18.0%32.9%
Bid-Ask Spread %15.206.1446.1423.528.59
Gamma HHI0.600.301.000.860.73
Net GEX2.5M-65.3K9.3M7.7M568.4K
Net DEX-26.8M-107.7M620.2K-64.8M-7.2M
Net VEX-317.4K-919.6K-554-898.2K-107.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.114.690.790.88
Total Volume18,111.6191,12663,40221,39111,415
Total OI493,403.9527461,420,7041,400,849133,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$7.07$7.5014.8%4.2%24.3%4.3%15.0%1.3%-1.3%7.7M-64.8M-898.2K0.7923.52N/AN/A11,9389,453857,573543,276
2013-07-02$7.15$7.0014.6%4.2%24.6%3.9%0.0%1.3%-0.8%7.7M-84.0M-885.3K0.5325.05N/AN/A10,4465,504854,471545,521
2013-07-03$7.19$7.0012.1%3.5%24.6%0.0%0.0%-0.8%4.9%9.3M-107.7M-862.6K1.4124.99N/AN/A15,54421,926853,446549,056
2013-07-05$7.16$7.0017.9%5.1%23.5%9.6%0.0%0.9%-1.3%6.0M-80.9M-919.6K0.3727.50N/AN/A18,8226,924855,765564,939
2013-07-08$7.07$7.0016.7%4.8%23.4%7.5%16.7%3.0%-1.2%5.8M-48.9M-910.2K0.5412.41N/AN/A41,26722,135804,276566,036
2013-07-09$7.06$7.0015.9%4.6%23.3%6.3%15.9%4.1%-1.8%5.8M-58.1M-893.4K0.7919.40N/AN/A12,91910,267818,496573,764
2013-07-10$7.18$7.0013.0%3.7%22.5%1.4%11.5%3.8%1.8%8.3M-98.5M-758.6K0.1230.93N/AN/A19,8592,348809,819570,871
2013-07-12$6.45$5.0040.6%11.6%43.8%46.9%31.9%17.1%9.7%-20.4K-1.3M-1.4K4.6946.14N/AN/A1989282,23823,475
2013-07-15$6.72$7.0043.2%12.4%47.0%51.1%43.1%-1.9%-2.5%-8.0K160.7K-5540.5619.86N/AN/A3,4781,934193553
2013-07-16$6.48$7.0048.4%13.9%48.3%59.7%51.5%-4.2%-3.0%13.7K-79.9K-8.2K0.119.05N/AN/A9,4591,0723,6162,455
2013-07-17$6.25$5.0043.3%12.4%49.4%51.3%42.5%-2.6%-0.6%59.0K-2.0M-19.0K3.556.31N/AN/A1,4024,98212,4643,038
2013-07-18$6.05$6.0043.3%12.4%49.5%51.3%43.4%1.3%-0.3%-58.0K-646.3K-24.8K0.918.05N/AN/A8,5137,75113,7107,992
2013-07-19$6.07$6.0042.7%12.2%47.9%50.4%39.6%0.7%1.4%-65.3K-1.5M-38.4K0.456.69N/AN/A3,2941,48421,81115,535
2013-07-22$5.92$6.0041.7%12.0%47.9%48.7%41.7%0.3%-0.3%22.3K-771.3K-37.8K0.927.05N/AN/A2,1161,95123,29015,111
2013-07-23$5.85$6.0042.4%12.1%47.8%49.8%38.6%13.2%0.4%4.9K-13.7K-41.2K0.446.94N/AN/A5,0692,25324,73516,928
2013-07-24$5.77$6.0044.7%12.8%47.8%53.7%43.5%8.8%-1.7%2.4K409.8K-45.7K0.477.00N/AN/A3,0311,42925,74118,824
2013-07-25$5.82$6.0043.0%12.3%48.0%50.9%43.1%-0.9%-1.2%5.0K257.8K-49.3K0.627.99N/AN/A1,44589727,65419,909
2013-07-26$5.74$6.0055.4%13.1%47.4%71.1%45.8%-1.1%-2.7%2.9K598.6K-51.1K0.396.14N/AN/A2,34091428,62020,684
2013-07-29$5.74$6.0082.8%13.6%47.3%100.0%47.9%3.5%-2.3%18.1K620.2K-51.5K1.407.92N/AN/A12,62517,66730,37021,458
2013-07-30$6.16$6.0042.5%10.4%55.1%43.0%36.4%27.7%-3.0%399.9K-8.2M-60.7K0.747.70N/AN/A36,35226,99342,10438,296
2013-07-31$5.96$6.0036.5%10.0%55.6%34.5%34.8%2.5%-1.8%568.4K-7.2M-107.9K0.888.59N/AN/A6,0755,34070,98262,388