S Options History — March 2014

In March 2014, S traded between $8.62 and $9.29. ATM implied volatility averaged 57.4%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 22.5% (HV 20d: 35.0%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2014-03-28: Highest Volume — 124,575 contracts
  • 2014-03-12: Largest IV drop — 22.9% change
  • 2014-03-03: Highest IV Rank — 53.1%
  • 2014-03-20: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.93$8.62$9.29$8.83$9.19
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV57.4%48.6%70.7%70.7%60.6%
Expected Move14.3%13.9%14.6%14.5%14.6%
HV 20d35.0%27.9%54.4%54.4%31.1%
HV 60d48.9%44.3%51.3%50.1%44.3%
IV Rank41.1%33.1%53.1%53.1%44.0%
IV Percentile89.8%75.4%98.4%98.4%94.0%
Term Structure0.9%-6.6%5.4%-6.6%-3.5%
VWIV50.0%37.4%53.5%50.4%48.3%
Skew 25d-0.1%-2.7%1.5%-0.6%-2.7%
Skew 10d-0.2%-13.0%4.3%4.2%-13.0%
Call IV 25d56.4%52.4%65.0%62.2%65.0%
Put IV 25d56.3%53.4%62.3%61.6%62.3%
Bid-Ask Spread %19.5810.2642.6422.4512.99
Gamma HHI0.360.250.700.270.25
Net GEX6.4M2.8M20.5M2.8M7.1M
Net DEX-217.9M-290.5M-157.5M-157.5M-275.4M
Net VEX-1.1M-1.3M-921.8K-921.8K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.041.490.260.29
Total Volume42,654.7628,209124,57550,71229,324
Total OI790,909635,092922,220635,092901,235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$8.83$7.0070.7%14.5%54.4%53.1%50.4%-0.6%-6.6%2.8M-157.5M-921.8K0.2622.45N/AN/A40,21710,495379,808255,284
2014-03-04$9.19$7.0068.2%14.5%51.7%50.9%50.2%0.7%-3.8%3.6M-200.4M-978.2K0.1619.53N/AN/A73,29312,011409,179263,619
2014-03-05$9.12$7.0064.5%14.4%51.9%47.6%49.0%-0.7%5.4%4.7M-206.0M-992.7K0.3742.64N/AN/A24,3599,038434,086254,788
2014-03-06$8.88$7.0051.3%14.0%45.4%35.6%49.1%-1.9%-1.3%4.3M-183.9M-1.0M0.2223.22N/AN/A11,1102,442442,885260,218
2014-03-07$8.63$7.0052.8%14.0%36.9%36.9%49.7%0.5%-1.9%3.5M-158.1M-971.8K0.2723.42N/AN/A12,5383,324438,025261,274
2014-03-10$8.71$7.0060.9%14.3%36.7%44.3%49.4%0.4%1.3%4.0M-166.4M-974.6K0.2321.22N/AN/A25,6586,005438,833258,980
2014-03-11$8.78$7.0063.0%13.9%32.4%46.2%50.6%1.0%1.8%4.7M-179.7M-1.0M0.1321.33N/AN/A23,9573,125456,926264,151
2014-03-12$8.78$7.0048.6%14.0%31.5%33.1%53.5%1.5%2.1%5.0M-177.5M-1.0M0.1923.27N/AN/A13,9612,592468,689266,847
2014-03-13$8.62$7.0052.3%14.0%32.0%36.5%37.4%1.4%0.3%4.2M-162.2M-997.8K0.3021.24N/AN/A6,2941,915477,866268,329
2014-03-14$8.78$7.0056.7%14.4%29.3%40.5%50.4%0.3%-2.3%4.7M-181.4M-1.0M0.0620.40N/AN/A105,7216,399480,961269,927
2014-03-17$8.77$7.0056.1%14.4%29.3%40.0%52.9%-0.3%3.3%6.3M-214.9M-1.1M0.0418.02N/AN/A70,2822,985571,703269,607
2014-03-18$8.68$7.0055.8%14.3%28.0%39.7%52.5%-1.7%3.7%7.2M-221.1M-1.2M0.1621.87N/AN/A9,5421,540641,380271,019
2014-03-19$8.72$7.0054.6%14.4%27.9%38.6%51.8%-0.6%3.5%7.7M-218.5M-1.2M0.1917.61N/AN/A16,4673,114641,239272,052
2014-03-20$9.10$7.0057.6%14.6%31.1%41.3%51.7%0.7%1.7%11.6M-285.6M-1.2M0.0716.67N/AN/A40,3172,968638,225272,661
2014-03-21$9.05$7.0057.6%14.6%31.3%41.3%51.4%0.9%2.2%20.5M-289.0M-1.2M0.2413.66N/AN/A18,1484,300647,711274,509
2014-03-24$9.11$7.0056.9%14.5%31.1%40.7%50.4%0.8%2.8%6.2M-253.4M-1.2M1.4916.89N/AN/A8,89313,285590,207202,136
2014-03-25$9.06$7.0055.1%14.5%30.5%39.0%48.4%0.0%4.1%6.1M-247.5M-1.2M0.5210.26N/AN/A19,93010,353594,469214,872
2014-03-26$8.97$7.0053.8%14.6%30.6%37.9%51.8%-0.8%0.1%6.4M-234.0M-1.1M0.8614.49N/AN/A11,72210,079596,483218,564
2014-03-27$9.27$7.0052.3%14.4%30.9%36.4%51.5%-0.8%2.6%6.6M-271.9M-1.2M0.0714.93N/AN/A96,8326,640598,581227,411
2014-03-28$9.29$7.0057.1%14.5%30.8%40.8%50.6%0.3%2.6%7.3M-290.5M-1.3M0.2015.00N/AN/A103,96320,612681,911232,439
2014-03-31$9.19$7.0060.6%14.6%31.1%44.0%48.3%-2.7%-3.5%7.1M-275.4M-1.2M0.2912.99N/AN/A22,7146,610675,083226,152