S Options History — October 2013 In October 2013, S traded between $5.97 and $6.93. ATM implied volatility averaged 42.8%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 12.7% (HV 20d: 30.1%). Max pain ranged from $4.00 to $7.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.15.
Notable Days 2013-10-29 : Highest Volume — 35,762 contracts2013-10-25 : Largest IV spike — 40.6% change2013-10-29 : Highest IV Rank — 80.3%2013-10-14 : Largest Expected Move — 12.1%Monthly Statistics Metric Avg Min Max Open Close Price $6.35 $5.97 $6.93 $6.29 $6.73 Max Pain $5.55 $4.00 $7.00 $6.00 $7.00 ATM IV 42.8% 34.3% 68.9% 44.8% 35.4% Expected Move 11.2% 9.5% 12.1% 10.2% 11.7% HV 20d 30.1% 27.3% 33.3% 30.0% 33.0% HV 60d 35.1% 27.2% 43.0% 42.8% 28.7% IV Rank 43.4% 31.4% 80.3% 46.2% 33.1% IV Percentile 89.2% 78.6% 99.6% 93.3% 80.2% Term Structure 0.1% -5.7% 7.9% 5.2% 1.1% VWIV 39.5% 33.3% 44.3% 35.9% 40.9% Skew 25d 3.0% -3.9% 11.3% -1.7% 5.0% Skew 10d 9.0% -16.0% 86.4% -2.7% 8.9% Call IV 25d 37.6% 23.7% 43.0% 37.8% 32.6% Put IV 25d 40.6% 27.4% 44.6% 36.2% 37.6% Bid-Ask Spread % 13.73 4.25 63.12 5.12 11.95 Gamma HHI 0.35 0.31 0.50 0.32 0.36 Net GEX 400.1K -142.1K 1.0M 616.9K 538.7K Net DEX -21.7M -47.6M -7.0M -21.6M -38.2M Net VEX -203.8K -260.7K -181.7K -191.9K -260.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.15 0.10 27.10 1.22 0.14 Total Volume 9,718.696 809 35,762 6,372 3,380 Total OI 194,690.826 161,281 266,801 161,281 266,801
Daily Data (23 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 2013-10-01 $6.29 $6.00 44.8% 10.2% 30.0% 46.2% 35.9% -1.7% 5.2% 616.9K -21.6M -191.9K 1.22 5.12 N/A N/A 2,874 3,498 114,279 47,002 2013-10-02 $6.35 $6.00 50.1% 9.8% 30.3% 53.8% 34.3% 11.3% 6.5% 608.4K -22.1M -196.5K 1.30 6.12 N/A N/A 696 904 114,520 50,066 2013-10-03 $6.29 $6.00 36.9% 9.5% 29.1% 35.1% 33.3% 7.9% 7.9% 566.5K -21.0M -195.1K 3.02 4.25 N/A N/A 388 1,171 115,067 50,955 2013-10-04 $6.44 $6.00 34.5% 11.7% 30.5% 31.7% 39.9% 1.8% -0.9% 654.3K -24.2M -197.8K 0.10 6.94 N/A N/A 1,685 174 115,174 51,584 2013-10-07 $6.38 $6.00 41.9% 11.8% 30.1% 42.1% 40.6% 2.7% -1.7% 589.6K -22.4M -193.1K 0.46 5.82 N/A N/A 554 255 115,084 51,557 2013-10-08 $6.13 $6.00 34.3% 11.7% 33.3% 31.4% 41.7% 2.1% -1.3% 450.3K -15.6M -188.7K 1.08 5.42 N/A N/A 1,167 1,263 114,491 51,758 2013-10-09 $6.00 $6.00 34.7% 11.1% 32.2% 32.0% 40.0% 3.2% 0.8% 362.9K -11.1M -181.9K 0.59 5.89 N/A N/A 955 566 115,247 52,608 2013-10-10 $5.97 $6.00 40.1% 11.5% 29.8% 39.6% 40.1% 3.6% -0.9% 327.8K -10.7M -181.7K 0.11 5.75 N/A N/A 4,128 474 115,650 52,906 2013-10-11 $6.00 $6.00 37.9% 10.9% 29.9% 36.6% 37.9% 3.5% 1.5% 346.9K -11.7M -184.8K 0.57 5.26 N/A N/A 2,906 1,671 118,312 53,260 2013-10-14 $6.03 $0.00 37.0% 12.1% 30.0% 35.3% 44.3% 3.1% 2.1% 307.8K -12.3M -182.6K 27.10 63.12 N/A N/A 774 20,974 118,536 54,568 2013-10-15 $6.03 $5.00 36.8% 11.4% 27.3% 35.0% 42.3% 3.5% 1.8% -142.1K -7.0M -196.3K 0.39 19.38 N/A N/A 2,511 970 119,065 74,958 2013-10-16 $6.30 $4.00 40.2% 11.2% 31.8% 39.7% 39.9% 4.1% -1.3% 237.8K -19.1M -204.9K 2.63 12.88 N/A N/A 4,665 12,246 120,897 75,720 2013-10-17 $6.42 $5.00 41.0% 11.4% 32.4% 41.0% 40.5% 4.4% -0.8% 248.5K -21.6M -206.8K 0.84 12.63 N/A N/A 3,631 3,058 120,150 80,355 2013-10-18 $6.40 $5.00 39.2% 11.5% 29.6% 38.4% 39.8% -0.1% 0.8% 189.0K -20.5M -208.0K 0.33 15.39 N/A N/A 3,799 1,266 120,259 83,376 2013-10-21 $6.35 $5.00 40.6% 11.4% 29.0% 40.4% 39.9% -3.9% -1.8% 163.9K -18.2M -207.3K 0.12 20.01 N/A N/A 7,156 842 113,060 76,770 2013-10-22 $6.39 $5.00 39.7% 11.5% 29.0% 39.1% 42.2% -1.5% -0.2% 267.1K -20.1M -205.4K 0.17 15.18 N/A N/A 1,224 204 117,644 76,548 2013-10-23 $6.43 $5.00 43.7% 11.4% 29.0% 44.8% 39.9% 5.4% -5.7% 312.3K -21.2M -207.7K 1.18 15.02 N/A N/A 14,452 17,123 118,448 76,622 2013-10-24 $6.52 $5.00 36.5% 11.4% 28.8% 34.6% 38.3% 6.2% -2.6% 342.7K -25.6M -217.7K 2.41 17.83 N/A N/A 4,025 9,715 129,605 89,528 2013-10-25 $6.45 $5.00 51.4% 11.3% 27.7% 55.6% 39.8% 1.0% -3.0% 154.3K -22.0M -223.0K 1.01 15.79 N/A N/A 6,164 6,212 131,381 94,295 2013-10-28 $6.61 $5.00 63.5% 11.1% 28.7% 72.8% 38.6% 7.4% -2.9% 437.7K -31.0M -219.6K 0.36 16.98 N/A N/A 3,683 1,337 136,466 97,824 2013-10-29 $6.68 $5.00 68.9% 11.2% 28.7% 80.3% 38.0% 1.6% -3.0% 610.5K -34.9M -220.7K 3.51 14.89 N/A N/A 7,922 27,840 138,090 98,423 2013-10-30 $6.93 $7.00 54.4% 11.6% 31.1% 59.8% 40.3% -1.9% 1.4% 1.0M -47.6M -215.6K 0.86 14.15 N/A N/A 17,791 15,237 142,331 106,649 2013-10-31 $6.73 $7.00 35.4% 11.7% 33.0% 33.1% 40.9% 5.0% 1.1% 538.7K -38.2M -260.7K 0.14 11.95 N/A N/A 2,973 407 148,459 118,342
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