S Options History — April 2014

In April 2014, S traded between $7.43 and $9.57. ATM implied volatility averaged 64.6%, placing in the 47.6% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 25.5% (HV 20d: 39.1%). 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 2 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2014-04-07: Highest Volume — 78,112 contracts
  • 2014-04-29: Largest IV drop — 34.0% change
  • 2014-04-28: Highest IV Rank — 80.3%
  • 2014-04-14: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.56$7.43$9.57$9.57$8.50
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV64.6%49.5%100.6%63.9%61.7%
Expected Move15.0%14.5%15.7%14.7%15.2%
HV 20d39.1%28.6%60.0%31.2%58.8%
HV 60d44.7%42.7%49.6%44.2%48.7%
IV Rank47.6%33.9%80.3%47.0%45.0%
IV Percentile92.2%69.0%99.6%95.2%89.3%
Term Structure-5.9%-11.8%0.5%-4.5%-6.6%
VWIV52.1%49.5%56.5%49.5%49.9%
Skew 25d-3.8%-10.1%1.4%-1.4%0.3%
Skew 10d-5.2%-18.3%3.8%2.3%3.8%
Call IV 25d66.6%59.2%78.4%67.5%65.8%
Put IV 25d62.8%59.2%68.3%66.1%66.1%
Bid-Ask Spread %13.5110.3315.4714.9314.79
Gamma HHI0.270.220.320.250.32
Net GEX6.7M4.0M8.8M8.4M7.4M
Net DEX-201.3M-348.8M-71.3M-348.8M-191.1M
Net VEX-1.1M-1.3M-915.6K-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.061.010.150.37
Total Volume34,366.7624,21378,11251,86831,544
Total OI1,031,029.524978,7851,103,142978,7851,103,142

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$9.57$7.0063.9%14.7%31.2%47.0%49.5%-1.4%-4.5%8.4M-348.8M-1.3M0.1514.93N/AN/A44,9696,899736,293242,492
2014-04-02$9.39$7.0057.1%14.7%31.9%40.8%53.3%-3.1%0.5%8.7M-333.2M-1.3M0.0812.69N/AN/A39,4413,101766,062247,118
2014-04-03$9.40$7.0062.3%14.8%30.1%45.6%52.4%-2.1%0.3%8.8M-327.3M-1.3M0.6814.32N/AN/A3,2812,216752,917249,316
2014-04-04$9.26$7.0060.1%14.6%28.6%43.5%53.4%1.4%-4.2%8.7M-301.1M-1.3M0.5314.31N/AN/A9,6315,149752,848251,112
2014-04-07$8.84$7.0068.0%14.7%33.5%50.8%52.5%0.2%-8.5%7.5M-235.2M-1.2M0.1115.21N/AN/A70,2667,846752,771249,919
2014-04-08$8.72$7.0055.5%14.5%33.8%39.3%50.8%-3.7%-7.1%7.3M-219.6M-1.2M0.8213.78N/AN/A16,72713,680759,941252,637
2014-04-09$8.80$7.0049.5%14.8%33.9%33.9%53.7%-2.5%-6.8%7.3M-225.2M-1.2M0.2514.37N/AN/A3,374839755,371262,630
2014-04-10$8.80$7.0061.6%14.6%33.2%44.9%54.0%-2.7%-7.1%7.5M-224.9M-1.2M0.8115.15N/AN/A3,6702,988755,172263,070
2014-04-11$8.25$7.0064.4%15.5%39.9%47.4%50.7%-4.9%-6.1%5.1M-145.0M-1.1M0.2311.10N/AN/A56,89313,331755,789264,808
2014-04-14$8.21$7.0065.3%15.7%39.9%48.2%51.3%-5.4%-7.8%5.0M-148.3M-1.1M0.0913.16N/AN/A32,8742,947781,884269,003
2014-04-15$8.09$7.0065.5%15.4%40.0%48.4%53.1%-3.6%-8.0%4.6M-123.1M-1.1M0.4412.66N/AN/A14,8716,579804,885269,404
2014-04-16$8.37$7.0063.7%15.5%42.1%46.9%51.8%-5.2%-6.5%5.8M-165.2M-1.1M0.1015.47N/AN/A7,472739811,019271,625
2014-04-17$8.52$7.0067.6%14.7%39.4%50.4%52.2%-6.9%-11.8%6.4M-190.9M-1.2M0.2612.93N/AN/A23,5636,203815,102271,664
2014-04-21$8.55$7.0063.5%14.6%39.5%46.6%51.0%-2.3%-6.3%7.0M-198.0M-1.1M0.5015.46N/AN/A16,9368,482741,401243,638
2014-04-22$8.59$7.0062.0%14.7%39.4%45.3%51.6%-4.7%-4.6%7.3M-203.4M-1.1M0.0612.96N/AN/A60,0553,490746,965251,138
2014-04-23$8.37$7.0060.3%15.3%40.3%43.7%51.6%-5.5%-3.9%7.0M-178.0M-1.1M0.1112.77N/AN/A31,9933,420776,373253,680
2014-04-24$8.06$7.0060.2%15.4%42.0%43.7%52.6%-5.5%-4.7%5.7M-131.4M-1.0M0.1313.02N/AN/A15,8121,997759,178256,413
2014-04-25$7.82$7.0077.0%15.7%40.3%58.8%56.5%-7.0%-4.9%5.1M-102.7M-987.3K0.4810.33N/AN/A17,7298,579770,980257,761
2014-04-28$7.43$7.00100.6%15.3%42.8%80.3%51.4%-10.1%-11.3%4.0M-71.3M-915.6K1.0011.51N/AN/A36,37436,482775,757261,275
2014-04-29$8.27$7.0066.4%15.0%60.0%49.3%51.1%-6.0%-3.7%7.0M-163.4M-1.1M1.0112.75N/AN/A24,51824,742798,685290,382
2014-04-30$8.50$7.0061.7%15.2%58.8%45.0%49.9%0.3%-6.6%7.4M-191.1M-1.1M0.3714.79N/AN/A22,9778,567799,147303,995