S Options History — November 2013

In November 2013, S traded between $6.87 and $8.39. ATM implied volatility averaged 34.1%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 0.7% (HV 20d: 33.4%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-11-26: Highest Volume — 102,499 contracts
  • 2013-11-14: Largest IV spike — 38.7% change
  • 2013-11-29: Highest IV Rank — 45.3%
  • 2013-11-29: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.44$6.87$8.39$6.87$8.39
Max Pain$5.10$5.00$7.00$7.00$5.00
ATM IV34.1%23.0%44.1%30.8%44.1%
Expected Move12.9%11.7%14.2%11.7%14.2%
HV 20d33.4%26.2%43.2%32.8%40.0%
HV 60d30.6%28.0%35.3%29.1%34.7%
IV Rank31.1%15.5%45.3%26.5%45.3%
IV Percentile71.8%41.7%94.8%65.1%94.8%
Term Structure1.0%-1.8%4.8%2.5%0.2%
VWIV45.1%42.3%49.4%42.8%49.4%
Skew 25d-1.1%-12.7%3.5%-12.7%-1.1%
Skew 10d1.5%-22.9%20.3%-22.9%-3.8%
Call IV 25d37.2%32.4%45.1%36.5%45.0%
Put IV 25d36.1%23.8%43.9%23.8%43.9%
Bid-Ask Spread %16.5811.8331.6815.0022.00
Gamma HHI0.510.260.780.680.26
Net GEX1.2M264.5K2.8M1.3M837.8K
Net DEX-51.1M-77.2M-29.8M-46.0M-77.2M
Net VEX-395.1K-563.1K-248.9K-248.9K-556.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.063.470.240.18
Total Volume19,474.551,271102,4996,6059,149
Total OI288,542.1191,286345,962268,432345,962

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$6.87$7.0030.8%11.7%32.8%26.5%42.8%-12.7%2.5%1.3M-46.0M-248.9K0.2415.00N/AN/A5,3441,261149,953118,479
2013-11-04$7.03$5.0035.5%11.7%33.1%33.1%43.0%1.6%4.8%1.5M-50.2M-263.7K0.7214.43N/AN/A7,4855,407148,477108,686
2013-11-05$7.19$5.0038.8%12.4%29.1%37.8%43.1%2.8%4.6%1.5M-57.1M-275.6K1.2413.16N/AN/A10,56413,139149,633113,641
2013-11-06$7.07$5.0032.9%12.5%28.5%29.4%43.2%1.2%-0.8%1.5M-49.7M-317.8K1.0311.83N/AN/A4,8635,010153,751126,102
2013-11-07$6.99$5.0032.4%12.7%29.0%28.8%44.1%-0.6%-1.0%1.5M-44.2M-321.6K0.3911.96N/AN/A14,7615,686154,742129,755
2013-11-08$7.07$5.0025.8%12.7%29.0%19.4%44.0%-0.4%-0.1%1.8M-49.9M-355.5K0.1114.18N/AN/A4,443472166,875134,797
2013-11-11$6.98$5.0032.7%12.5%29.9%29.2%0.0%0.4%0.2%1.8M-45.0M-345.0K1.2714.85N/AN/A560711165,203134,742
2013-11-12$6.99$5.0029.5%12.5%29.9%24.7%44.0%0.9%0.3%2.1M-46.3M-339.3K3.4714.59N/AN/A7672,661164,508134,349
2013-11-13$7.06$5.0023.0%12.4%26.6%15.5%43.8%1.7%0.7%2.8M-49.0M-341.3K0.1613.43N/AN/A2,545413164,643135,916
2013-11-14$7.11$5.0032.0%12.4%26.2%28.1%0.0%3.5%0.0%2.2M-52.5M-337.7K0.3213.02N/AN/A3,3331,070162,837134,927
2013-11-15$7.42$5.0031.9%12.5%29.2%28.1%42.3%-0.2%0.6%563.5K-66.0M-333.9K0.1915.59N/AN/A12,0452,299163,569135,811
2013-11-18$7.64$5.0035.2%12.9%29.6%32.7%45.0%-5.7%-1.8%577.6K-44.0M-336.1K1.3214.31N/AN/A37,81949,830114,33476,952
2013-11-19$7.49$5.0029.3%12.8%31.3%24.3%44.8%-3.3%4.1%468.2K-35.6M-468.9K1.8714.64N/AN/A4,8849,131145,894125,205
2013-11-20$7.35$5.0031.8%13.5%32.7%27.9%46.2%-5.1%2.7%264.5K-29.8M-473.3K1.3913.68N/AN/A7,62210,612148,681131,944
2013-11-21$7.95$5.0039.6%13.5%41.5%38.9%45.8%-1.5%-0.0%496.6K-51.1M-493.1K0.6731.68N/AN/A12,4778,387148,673140,484
2013-11-22$7.83$5.0036.9%13.4%41.8%35.2%48.5%-1.5%0.1%425.8K-45.8M-511.8K0.6023.34N/AN/A6,5513,914153,005144,555
2013-11-25$7.82$5.0036.5%13.2%41.6%34.5%48.1%-1.7%0.8%410.7K-45.7M-509.8K0.0622.22N/AN/A4,560279154,560146,214
2013-11-26$8.15$5.0040.3%14.0%43.2%40.0%46.3%1.0%0.8%544.0K-59.9M-509.9K0.5317.40N/AN/A66,79135,708156,031146,414
2013-11-27$8.36$5.0042.2%14.2%42.4%42.6%47.9%-2.3%1.9%899.8K-76.4M-563.1K1.0720.37N/AN/A8,1988,740187,159153,379
2013-11-29$8.39$5.0044.1%14.2%40.0%45.3%49.4%-1.1%0.2%837.8K-77.2M-556.5K0.1822.00N/AN/A7,7641,385188,700157,262