S Options History — January 2014

In January 2014, S traded between $8.27 and $10.40. ATM implied volatility averaged 52.6%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 1.3% (HV 20d: 51.3%). 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 13 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2014-01-10: Highest Volume — 103,882 contracts
  • 2014-01-06: Largest IV spike — 21.0% change
  • 2014-01-06: Highest IV Rank — 73.5%
  • 2014-01-31: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.17$8.27$10.40$10.40$8.27
Max Pain$6.71$5.00$7.00$7.00$7.00
ATM IV52.6%44.7%64.0%57.5%53.8%
Expected Move14.8%14.5%15.4%14.7%15.4%
HV 20d51.3%42.7%58.9%47.1%42.7%
HV 60d43.7%41.0%46.7%41.0%46.4%
IV Rank57.3%46.1%73.5%64.3%59.0%
IV Percentile93.1%84.9%98.8%98.4%94.0%
Term Structure0.0%-3.0%2.6%1.4%0.9%
VWIV51.5%49.8%54.1%50.8%50.9%
Skew 25d0.3%-4.3%2.6%-1.5%0.7%
Skew 10d-1.9%-13.9%10.6%-4.8%0.8%
Call IV 25d54.3%49.6%58.1%58.1%55.8%
Put IV 25d54.6%51.8%58.5%56.5%56.5%
Bid-Ask Spread %29.2719.4741.3037.4523.14
Gamma HHI0.260.210.430.230.22
Net GEX2.1M1.5M3.6M1.5M1.9M
Net DEX-147.5M-200.4M-102.7M-200.4M-102.7M
Net VEX-743.9K-802.1K-640.3K-640.3K-776.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.101.130.470.10
Total Volume17,871.3811,760103,88223,69511,765
Total OI536,300.19484,714614,897484,714554,787

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$10.40$7.0057.5%14.7%47.1%64.3%50.8%-1.5%1.4%1.5M-200.4M-640.3K0.4737.45N/AN/A16,1007,595289,506195,208
2014-01-03$9.94$7.0052.9%14.5%50.8%57.7%50.6%-2.5%2.6%1.8M-176.0M-667.4K0.5839.04N/AN/A25,00814,426297,846195,967
2014-01-06$9.77$7.0064.0%15.0%51.8%73.5%52.6%0.5%-3.0%2.0M-172.0M-690.2K0.6340.72N/AN/A14,9439,391305,705194,719
2014-01-07$9.87$7.0054.9%14.8%51.0%60.6%53.4%1.0%-1.2%1.9M-185.6M-709.8K0.3941.30N/AN/A8,1873,176315,856199,773
2014-01-08$9.98$7.0056.4%14.6%51.0%62.6%54.1%-1.7%-2.2%1.8M-191.0M-696.7K1.1333.54N/AN/A7,1238,035313,153202,078
2014-01-09$9.42$7.0054.6%14.8%56.5%60.1%51.6%-0.3%-0.5%1.9M-150.5M-703.6K0.1432.19N/AN/A14,7262,055317,478203,985
2014-01-10$9.46$5.0049.4%14.8%56.4%52.8%51.2%2.5%-0.5%2.0M-151.1M-708.4K0.8225.62N/AN/A57,16646,716319,753204,869
2014-01-13$9.09$5.0051.6%14.7%58.9%55.9%51.0%-0.1%-1.6%2.2M-152.5M-802.1K1.1125.74N/AN/A10,20511,378364,983248,827
2014-01-14$9.17$5.0046.4%14.9%58.0%48.5%50.7%0.4%0.0%2.3M-159.8M-793.3K0.5119.47N/AN/A8,1124,138369,246245,651
2014-01-15$9.08$7.0044.7%15.1%57.8%46.1%52.6%1.9%0.0%2.3M-151.5M-789.1K0.7928.45N/AN/A1,6811,326366,507242,970
2014-01-16$9.03$7.0052.0%14.9%55.0%56.4%51.6%1.5%0.5%2.4M-145.1M-788.7K0.7725.17N/AN/A1,8301,410367,439243,594
2014-01-17$8.97$7.0050.2%14.7%54.5%53.9%50.2%1.4%0.5%3.6M-141.7M-776.3K0.8922.55N/AN/A3,4623,068368,316243,039
2014-01-21$9.04$7.0049.7%14.9%53.3%53.2%51.7%2.3%0.8%2.0M-139.7M-763.4K0.7725.73N/AN/A2,2051,691305,844190,583
2014-01-22$9.07$7.0049.4%14.7%47.4%52.8%51.4%1.5%1.2%2.0M-143.0M-758.5K0.4128.56N/AN/A1,252508307,292191,504
2014-01-23$8.92$7.0050.7%14.7%47.3%54.6%50.2%2.6%0.7%2.0M-132.4M-759.6K0.3425.43N/AN/A2,056692307,900191,604
2014-01-24$8.40$7.0053.2%15.2%51.3%58.1%50.8%-0.6%0.2%1.7M-103.6M-740.2K0.4427.75N/AN/A13,4835,887308,795191,868
2014-01-27$8.87$7.0052.9%14.6%54.2%57.7%51.5%0.9%-1.1%2.0M-136.0M-763.5K0.2129.58N/AN/A5,3301,117318,285195,175
2014-01-28$8.86$7.0052.8%14.9%43.8%57.6%52.5%1.1%-0.0%2.2M-133.9M-762.7K0.1728.97N/AN/A2,428410318,841195,097
2014-01-29$8.65$7.0054.0%14.9%44.0%59.3%51.6%-0.0%0.7%2.0M-117.7M-752.3K0.9228.97N/AN/A20,50718,828320,344195,355
2014-01-30$8.39$7.0053.4%14.9%43.4%58.5%49.8%-4.3%1.0%1.9M-111.5M-779.9K0.6725.40N/AN/A3,5272,356338,967213,595
2014-01-31$8.27$7.0053.8%15.4%42.7%59.0%50.9%0.7%0.9%1.9M-102.7M-776.9K0.1023.14N/AN/A10,7421,023340,882213,905