S Options History — December 2013

In December 2013, S traded between $7.89 and $10.79. ATM implied volatility averaged 50.0%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 7.8% (HV 20d: 42.2%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2013-12-27: Highest Volume — 75,672 contracts
  • 2013-12-27: Largest IV spike — 52.5% change
  • 2013-12-27: Highest IV Rank — 82.6%
  • 2013-12-13: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.92$7.89$10.79$8.20$10.75
Max Pain$6.43$5.00$7.00$5.00$7.00
ATM IV50.0%39.2%70.5%55.0%51.8%
Expected Move14.4%13.6%15.6%14.1%14.5%
HV 20d42.2%39.0%47.4%41.6%45.6%
HV 60d35.9%33.5%40.3%35.2%40.2%
IV Rank53.6%38.4%82.6%60.7%56.3%
IV Percentile94.9%81.3%99.6%98.4%96.0%
Term Structure0.6%-2.3%4.3%0.6%-0.2%
VWIV50.3%47.7%55.9%48.2%54.3%
Skew 25d-2.0%-5.8%0.0%-0.1%-4.4%
Skew 10d-3.3%-13.9%8.8%8.8%-9.4%
Call IV 25d51.1%44.6%64.7%46.0%60.2%
Put IV 25d49.2%43.6%58.8%45.9%55.8%
Bid-Ask Spread %33.8320.1085.4921.1143.31
Gamma HHI0.310.250.420.260.25
Net GEX1.4M785.6K1.9M785.6K1.4M
Net DEX-119.7M-214.7M-55.3M-68.9M-214.7M
Net VEX-583.5K-639.3K-530.2K-560.5K-616.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.081.040.210.56
Total Volume18,995.6191,56575,67228,12231,601
Total OI419,349.619348,227470,834348,227461,333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$8.20$5.0055.0%14.1%41.6%60.7%48.2%-0.1%0.6%785.6K-68.9M-560.5K0.2121.11N/AN/A23,1474,975190,451157,776
2013-12-03$8.04$5.0053.1%14.5%42.4%58.0%50.4%-0.3%0.6%947.7K-63.6M-588.3K1.0420.89N/AN/A8,0308,318210,239160,308
2013-12-04$7.95$7.0056.1%14.2%42.4%62.3%50.7%-0.6%0.8%924.1K-58.9M-594.6K0.7231.01N/AN/A4,9263,526215,817165,721
2013-12-05$8.00$7.0047.0%14.3%41.6%49.3%49.2%-1.2%-0.7%989.4K-62.2M-598.3K0.9536.02N/AN/A2,4522,340219,243168,089
2013-12-06$7.89$7.0044.4%14.6%41.8%45.7%48.2%-1.5%1.4%921.1K-55.3M-600.1K0.9628.05N/AN/A5,3095,102220,494169,442
2013-12-09$7.99$7.0050.8%14.8%41.8%54.8%48.6%-0.4%1.9%1.0M-63.5M-592.1K0.8620.10N/AN/A21,75418,657223,119172,379
2013-12-10$7.98$7.0048.1%14.4%41.3%50.9%48.4%-2.2%2.5%1.2M-72.9M-602.8K0.0820.92N/AN/A9,611758241,638190,552
2013-12-11$8.11$7.0039.2%14.3%41.4%38.4%49.4%-1.5%2.5%1.7M-84.5M-605.9K0.1522.96N/AN/A1,359206248,487190,976
2013-12-12$8.15$7.0044.5%14.3%41.4%45.8%49.9%-1.7%1.6%1.9M-89.3M-602.2K0.3025.82N/AN/A2,282689248,481191,094
2013-12-13$8.43$7.0043.8%15.6%42.5%44.8%54.4%-3.5%2.1%1.6M-110.8M-592.6K0.9585.49N/AN/A3,4333,249248,161191,054
2013-12-16$8.31$7.0047.8%14.8%41.2%50.5%48.9%-3.8%-0.4%1.6M-96.2M-589.1K1.0436.39N/AN/A10,40010,826242,712188,983
2013-12-17$8.76$7.0048.8%14.2%43.7%51.9%55.9%-4.0%-1.2%1.7M-126.3M-568.5K0.5135.11N/AN/A4,7272,395245,426191,743
2013-12-18$8.95$5.0047.6%13.6%42.8%50.2%48.5%-0.3%-0.2%1.8M-134.8M-566.3K0.8945.57N/AN/A5,0864,534245,221193,747
2013-12-19$9.24$5.0047.9%13.7%42.3%50.6%47.7%0.0%1.1%1.8M-150.1M-562.6K0.5324.29N/AN/A13,8497,289244,630194,344
2013-12-20$9.86$5.0051.4%14.2%39.6%55.7%51.2%-1.5%0.4%1.4M-179.5M-530.2K0.2937.79N/AN/A34,24610,034248,732198,326
2013-12-23$9.68$5.0050.5%14.3%39.9%54.3%50.2%-2.4%0.2%1.5M-148.9M-571.4K0.1730.82N/AN/A9,6501,592232,190171,654
2013-12-24$9.66$7.0050.4%14.4%39.9%54.1%49.6%-1.4%0.4%1.6M-151.6M-570.0K0.2927.58N/AN/A1,515433236,433172,616
2013-12-26$9.96$7.0046.2%14.6%39.0%48.3%51.1%-1.3%4.3%1.7M-164.6M-548.6K0.7224.39N/AN/A20,29714,637236,567173,029
2013-12-27$10.79$7.0070.5%14.4%46.0%82.6%50.0%-3.5%-1.7%1.3M-210.6M-554.6K0.8746.58N/AN/A40,38135,291253,703180,598
2013-12-30$10.58$7.0054.9%14.1%47.4%60.6%50.3%-5.8%-2.3%1.3M-205.9M-639.3K0.7746.23N/AN/A5,6514,351273,063197,771
2013-12-31$10.75$7.0051.8%14.5%45.6%56.3%54.3%-4.4%-0.2%1.4M-214.7M-616.2K0.5643.31N/AN/A20,23411,367274,485186,848