S Options History — August 2013

In August 2013, S traded between $6.38 and $7.25. ATM implied volatility averaged 33.4%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 16.1% (HV 20d: 49.5%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-08-06: Highest Volume — 30,106 contracts
  • 2013-08-05: Largest IV spike — 32.3% change
  • 2013-08-05: Highest IV Rank — 40.4%
  • 2013-08-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.89$6.38$7.25$6.38$6.71
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV33.4%30.3%40.6%36.1%38.7%
Expected Move9.4%8.7%10.8%10.8%9.2%
HV 20d49.5%25.6%65.4%61.7%25.6%
HV 60d41.0%38.8%41.7%38.8%41.7%
IV Rank30.1%25.7%40.4%34.0%37.6%
IV Percentile70.3%66.7%79.0%70.6%79.0%
Term Structure3.3%-6.3%7.2%-6.3%2.9%
VWIV33.1%29.8%37.4%37.4%34.9%
Skew 25d-0.0%-13.9%5.1%-2.0%5.1%
Skew 10d-0.8%-22.9%13.0%-2.7%0.5%
Call IV 25d35.5%33.3%38.6%38.6%34.2%
Put IV 25d35.5%23.7%39.3%36.5%39.3%
Bid-Ask Spread %5.454.036.856.176.85
Gamma HHI0.350.210.510.510.35
Net GEX569.2K128.2K900.6K353.0K897.0K
Net DEX-44.7M-55.5M-22.5M-22.5M-39.6M
Net VEX-168.2K-197.4K-106.2K-108.8K-186.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.073.130.290.63
Total Volume9,680.3641,13030,10618,7134,040
Total OI187,739.273137,130212,049137,130203,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$6.38$6.0036.1%10.8%61.7%34.0%37.4%-2.0%-6.3%353.0K-22.5M-108.8K0.296.17N/AN/A14,4994,21475,50961,621
2013-08-02$6.67$6.0030.7%9.5%64.1%26.3%29.8%3.3%-3.6%394.8K-35.7M-106.2K0.366.41N/AN/A19,1946,84784,40262,848
2013-08-05$6.88$6.0040.6%9.1%65.3%40.4%31.9%1.1%6.6%499.4K-43.0M-118.5K0.875.40N/AN/A5,1704,47694,88550,372
2013-08-06$6.97$6.0038.3%9.8%65.3%37.0%34.1%0.3%4.8%517.0K-46.8M-119.9K0.694.14N/AN/A17,86512,24198,17253,740
2013-08-07$6.92$6.0034.5%9.7%65.4%31.7%34.2%0.9%5.6%572.6K-44.5M-144.8K0.295.22N/AN/A6,8601,964110,87464,739
2013-08-08$6.94$6.0032.7%9.5%65.1%29.1%34.9%1.0%5.4%585.8K-45.7M-154.7K3.134.79N/AN/A1,9025,959113,20265,966
2013-08-09$7.25$6.0031.6%9.4%53.7%27.6%32.5%-0.1%7.2%286.9K-55.5M-147.1K0.756.23N/AN/A15,02611,242113,94471,589
2013-08-12$7.11$6.0032.5%9.5%52.7%28.9%33.3%3.0%6.5%245.8K-51.1M-181.7K0.794.97N/AN/A2,7572,173122,96380,706
2013-08-13$7.01$6.0031.5%9.6%51.1%27.5%33.5%1.3%5.3%215.2K-48.1M-174.3K0.544.29N/AN/A5,2772,856123,60680,530
2013-08-14$7.00$6.0030.5%9.5%48.9%26.1%33.4%2.9%6.3%228.6K-47.2M-185.2K0.084.03N/AN/A5,167394126,94082,917
2013-08-15$6.96$6.0033.8%9.7%47.0%30.7%34.6%0.1%6.3%128.2K-46.9M-182.6K0.294.24N/AN/A1,710504128,85182,944
2013-08-16$6.92$6.0033.7%9.7%47.2%30.5%36.0%-1.1%5.7%225.5K-43.1M-178.3K0.074.15N/AN/A23,2101,537129,03283,017
2013-08-19$6.91$6.0033.5%9.6%45.8%30.3%33.2%0.4%3.0%721.6K-46.3M-197.4K0.125.99N/AN/A3,301398128,75962,989
2013-08-20$6.97$6.0032.9%9.4%45.2%29.5%32.9%-1.8%2.9%771.5K-50.4M-191.9K0.365.05N/AN/A829301130,68863,143
2013-08-21$6.96$6.0032.2%9.2%44.6%28.5%32.2%1.1%3.2%777.4K-50.0M-191.5K0.295.18N/AN/A4,5061,301130,90463,137
2013-08-22$6.92$6.0030.8%8.8%45.0%26.4%30.8%1.3%2.5%858.0K-47.9M-186.3K0.336.84N/AN/A1,752584130,86162,869
2013-08-23$6.96$6.0030.5%8.7%44.2%26.0%30.5%-2.0%2.3%795.5K-49.5M-185.8K0.906.01N/AN/A2,8122,527132,07162,683
2013-08-26$6.91$6.0030.3%8.7%44.5%25.7%30.3%-1.9%3.0%846.3K-48.4M-182.9K0.245.72N/AN/A2,195526133,04561,658
2013-08-27$6.75$6.0033.8%9.7%39.5%30.8%32.3%-13.9%0.6%844.5K-40.9M-186.0K0.116.51N/AN/A9,3821,057133,70862,081
2013-08-28$6.66$6.0033.4%9.6%37.6%30.2%33.6%0.1%0.4%857.8K-38.3M-195.7K0.125.16N/AN/A2,494301138,91662,752
2013-08-29$6.76$6.0031.5%9.0%29.8%27.5%31.5%0.2%2.2%900.6K-42.4M-193.2K0.226.51N/AN/A1,323295140,18762,975
2013-08-30$6.71$6.0038.7%9.2%25.6%37.6%34.9%5.1%2.9%897.0K-39.6M-186.6K0.636.85N/AN/A2,4721,568140,47462,995