S Options History — February 2014

In February 2014, S traded between $7.69 and $8.74. ATM implied volatility averaged 63.3%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 6.4% (HV 20d: 56.9%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2014-02-11: Highest Volume — 107,836 contracts
  • 2014-02-05: Largest IV spike — 102.6% change
  • 2014-02-05: Highest IV Rank — 100.0%
  • 2014-02-03: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.21$7.69$8.74$7.85$8.74
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV63.3%43.5%122.3%66.5%55.8%
Expected Move15.0%14.1%15.6%15.6%14.1%
HV 20d56.9%43.5%61.9%43.5%54.7%
HV 60d51.5%47.4%53.7%47.6%50.3%
IV Rank49.2%28.5%100.0%76.9%39.7%
IV Percentile92.3%74.6%100.0%98.8%94.0%
Term Structure-2.2%-14.1%2.8%-1.1%-3.2%
VWIV51.3%49.3%54.5%51.2%49.3%
Skew 25d0.3%-6.2%4.1%2.6%-1.3%
Skew 10d-2.8%-28.1%5.8%-13.3%3.4%
Call IV 25d59.3%50.8%84.2%58.1%57.7%
Put IV 25d59.6%52.4%78.0%60.8%56.4%
Bid-Ask Spread %21.2716.0135.2328.0419.25
Gamma HHI0.190.150.290.190.27
Net GEX1.6M680.8K2.7M1.7M2.7M
Net DEX-103.9M-152.1M-63.0M-79.1M-152.1M
Net VEX-841.8K-930.7K-755.0K-755.0K-930.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.112.210.480.62
Total Volume37,018.5795,378107,83622,3638,328
Total OI645,260.579554,474734,009554,474638,540

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$7.85$7.0066.5%15.6%43.5%76.9%51.2%2.6%-1.1%1.7M-79.1M-755.0K0.4828.04N/AN/A15,1287,235342,321212,153
2014-02-04$7.84$7.0060.4%15.3%43.6%68.3%52.5%4.1%1.2%1.7M-79.0M-780.0K0.1120.81N/AN/A14,3581,523355,473217,035
2014-02-05$8.50$7.00122.3%15.3%54.1%100.0%53.2%-6.2%-14.1%2.0M-126.9M-832.7K0.2135.23N/AN/A41,2968,772356,424217,220
2014-02-06$7.88$7.0097.1%15.3%58.8%77.1%54.5%-0.7%-5.7%2.0M-88.8M-826.7K2.0125.26N/AN/A28,65657,496379,385221,002
2014-02-07$8.02$7.0067.1%15.3%57.0%49.9%50.9%1.5%-6.9%1.7M-92.5M-861.9K0.7219.14N/AN/A23,72017,099392,292261,957
2014-02-10$7.69$7.0099.2%15.5%58.0%79.0%51.5%1.8%-8.3%1.5M-63.0M-840.9K0.8920.30N/AN/A20,05317,858400,869274,506
2014-02-11$7.90$7.0053.8%15.4%58.4%37.8%49.9%2.5%-0.3%1.5M-72.8M-812.7K0.2422.29N/AN/A87,07320,763410,920283,781
2014-02-12$8.07$7.0043.5%15.1%59.0%28.5%50.7%1.7%1.3%2.2M-92.4M-832.0K1.2118.83N/AN/A15,02318,110402,182289,361
2014-02-13$8.41$7.0053.2%15.4%61.3%37.3%51.2%2.9%1.8%2.2M-130.6M-871.5K0.1120.56N/AN/A27,8643,118411,742304,561
2014-02-14$8.40$7.0052.3%15.6%61.3%36.5%50.3%1.3%2.8%1.3M-125.2M-863.2K0.1823.03N/AN/A8,0141,405422,145305,839
2014-02-18$8.20$7.0053.4%15.0%61.8%37.5%52.2%1.7%0.4%1.1M-103.0M-832.8K2.2119.69N/AN/A2,9666,555406,123295,844
2014-02-19$8.16$7.0053.3%15.0%61.6%37.4%50.6%-3.2%0.7%680.8K-99.3M-824.6K0.9019.68N/AN/A6,7246,039406,479299,318
2014-02-20$8.27$7.0052.2%14.5%61.9%36.4%51.5%-1.1%0.5%757.6K-107.9M-811.9K0.4917.50N/AN/A70,81234,702404,118300,435
2014-02-21$8.29$7.0052.7%14.9%61.8%36.8%53.4%0.4%-0.1%952.3K-109.4M-849.1K0.6419.40N/AN/A16,72210,641405,744328,265
2014-02-24$8.40$7.0053.0%14.7%58.3%37.1%49.6%-1.0%-2.3%1.2M-106.9M-834.7K0.2820.06N/AN/A12,5263,569311,249246,470
2014-02-25$8.27$7.0054.1%14.9%54.8%38.1%49.7%-1.0%-2.2%1.1M-98.7M-853.8K0.2319.58N/AN/A22,3185,106321,282248,702
2014-02-26$8.39$7.0054.0%14.9%55.1%38.0%51.7%0.4%-2.4%1.6M-113.2M-889.4K0.6619.38N/AN/A3,2342,144339,912251,973
2014-02-27$8.65$7.0058.5%14.4%55.7%42.1%50.3%-1.1%-4.2%2.0M-132.7M-890.3K0.2316.01N/AN/A45,71410,689340,729253,600
2014-02-28$8.74$7.0055.8%14.1%54.7%39.7%49.3%-1.3%-3.2%2.7M-152.1M-930.7K0.6219.25N/AN/A5,1393,189380,438258,102