S Options History — September 2013

In September 2013, S traded between $6.15 and $6.72. ATM implied volatility averaged 36.0%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 11.4% (HV 20d: 24.5%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2013-09-20: Highest Volume — 37,664 contracts
  • 2013-09-11: Largest IV drop — 22.5% change
  • 2013-09-03: Highest IV Rank — 47.3%
  • 2013-09-30: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.42$6.15$6.72$6.68$6.22
Max Pain$6.55$6.00$7.00$6.00$6.00
ATM IV36.0%28.6%45.5%45.5%42.6%
Expected Move9.8%9.1%10.8%9.5%10.8%
HV 20d24.5%15.4%29.5%22.9%29.5%
HV 60d42.0%41.2%42.7%41.5%42.7%
IV Rank33.8%23.4%47.3%47.3%43.2%
IV Percentile78.4%63.9%88.9%86.9%88.9%
Term Structure4.3%0.8%6.3%1.1%3.4%
VWIV34.3%29.7%37.8%33.2%37.8%
Skew 25d-0.5%-4.3%5.4%5.4%-3.2%
Skew 10d-2.7%-14.8%11.0%11.0%-5.9%
Call IV 25d35.0%31.6%40.0%32.3%40.0%
Put IV 25d34.5%32.4%37.7%37.7%36.8%
Bid-Ask Spread %5.664.297.854.295.65
Gamma HHI0.360.300.530.340.31
Net GEX809.4K542.9K1.2M887.4K571.1K
Net DEX-31.1M-48.8M-17.4M-39.2M-19.5M
Net VEX-182.9K-200.6K-165.3K-182.3K-191.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.070.980.690.55
Total Volume7,965.9568037,6643,9732,188
Total OI200,131.95152,564229,544204,002159,741

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$6.68$6.0045.5%9.5%22.9%47.3%33.2%5.4%1.1%887.4K-39.2M-182.3K0.694.29N/AN/A2,3561,617140,60063,402
2013-09-04$6.65$6.0042.1%9.1%22.3%42.5%29.7%5.4%0.8%878.2K-38.1M-178.7K0.455.17N/AN/A4,1561,876142,05264,411
2013-09-05$6.48$6.0036.3%9.5%23.8%34.2%34.8%2.9%4.3%808.1K-30.7M-179.4K0.975.14N/AN/A5,2425,083145,31066,234
2013-09-06$6.47$7.0034.5%10.1%23.7%31.7%34.2%0.4%5.2%885.9K-29.3M-176.8K0.507.85N/AN/A2,4051,212145,73166,561
2013-09-09$6.37$7.0040.5%10.2%16.2%40.2%35.2%-1.1%4.6%984.3K-28.3M-168.5K0.136.12N/AN/A8,4821,080145,86061,997
2013-09-10$6.33$7.0036.9%10.0%15.4%35.1%34.6%-1.4%3.7%961.9K-26.5M-165.3K0.265.44N/AN/A20,3395,319144,12062,719
2013-09-11$6.50$7.0028.6%9.8%18.9%23.4%34.7%0.3%4.4%1.1M-37.2M-200.6K0.275.67N/AN/A3,307895159,47466,959
2013-09-12$6.69$7.0034.3%9.8%22.1%31.4%34.4%0.6%4.2%1.1M-45.4M-190.0K0.985.93N/AN/A8,1047,919154,56167,670
2013-09-13$6.72$7.0033.9%9.7%22.2%30.8%33.9%-0.0%4.4%1.2M-48.8M-191.3K0.596.33N/AN/A2,5331,495156,09669,060
2013-09-16$6.64$7.0033.6%9.6%22.5%30.4%34.0%-1.0%3.5%1.0M-44.2M-180.8K0.306.83N/AN/A1,258380156,16569,736
2013-09-17$6.39$7.0034.1%9.8%25.9%31.1%34.8%-1.1%5.5%810.2K-34.1M-174.6K0.304.81N/AN/A2,883859156,43469,528
2013-09-18$6.44$7.0034.4%9.9%25.9%31.6%33.9%1.0%4.7%689.6K-37.1M-172.3K0.435.33N/AN/A2,9641,276157,78769,992
2013-09-19$6.49$7.0033.4%9.6%26.2%30.2%33.1%0.7%6.3%725.3K-37.3M-171.3K0.335.69N/AN/A2,327776157,11570,567
2013-09-20$6.26$7.0033.4%9.6%28.6%30.1%33.4%-1.5%5.3%776.8K-31.7M-169.4K0.475.76N/AN/A25,70911,955158,40771,137
2013-09-23$6.15$6.0035.4%10.2%28.7%33.0%35.7%-4.3%4.1%553.9K-17.4M-191.3K0.095.77N/AN/A9,480849108,93043,634
2013-09-24$6.19$6.0034.4%9.9%29.0%31.5%34.4%-4.3%4.3%569.4K-19.2M-192.5K0.184.74N/AN/A2,400438111,01244,220
2013-09-25$6.19$6.0035.3%10.1%28.3%32.8%35.2%-3.2%5.2%558.6K-18.4M-191.5K0.515.00N/AN/A4,0212,049111,41744,424
2013-09-26$6.30$6.0035.1%10.1%29.1%32.5%35.1%-2.0%5.2%601.6K-21.2M-195.7K0.545.33N/AN/A2,2181,189113,41646,036
2013-09-27$6.16$6.0034.9%9.7%29.1%32.3%33.8%-4.0%5.4%542.9K-18.6M-194.0K0.076.26N/AN/A63743113,50046,624
2013-09-30$6.22$6.0042.6%10.8%29.5%43.2%37.8%-3.2%3.4%571.1K-19.5M-191.1K0.555.65N/AN/A1,413775113,19846,543