S Options History — May 2014

In May 2014, S traded between $8.68 and $9.55. ATM implied volatility averaged 48.3%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 4.8% (HV 20d: 53.0%). 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 6 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-05-05: Highest Volume — 149,103 contracts
  • 2014-05-15: Largest IV spike — 54.0% change
  • 2014-05-05: Highest IV Rank — 42.2%
  • 2014-05-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.03$8.68$9.55$8.73$9.55
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV48.3%35.3%58.6%48.9%44.4%
Expected Move13.8%13.4%14.4%14.4%13.4%
HV 20d53.0%33.5%59.7%59.7%33.5%
HV 60d43.3%40.8%48.9%48.9%43.2%
IV Rank32.8%21.0%42.2%33.4%29.4%
IV Percentile59.8%31.3%86.1%62.3%48.8%
Term Structure0.2%-1.8%3.6%3.4%-1.8%
VWIV47.7%45.4%52.4%51.5%47.1%
Skew 25d-0.9%-4.2%1.2%-4.2%-0.4%
Skew 10d0.3%-5.1%11.9%-4.1%11.9%
Call IV 25d51.0%46.2%57.8%56.5%49.2%
Put IV 25d50.1%45.2%55.0%52.3%48.7%
Bid-Ask Spread %14.009.5226.4212.9714.48
Gamma HHI0.340.270.580.330.29
Net GEX8.2M5.1M14.4M9.0M8.8M
Net DEX-229.2M-350.8M-182.1M-230.4M-293.2M
Net VEX-1.2M-1.4M-1.0M-1.1M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.031.720.240.19
Total Volume57,024.6196,689149,103148,13636,216
Total OI1,042,223.095760,8421,274,8231,104,703946,736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$8.73$7.0048.9%14.4%59.7%33.4%51.5%-4.2%3.4%9.0M-230.4M-1.1M0.2412.97N/AN/A119,91428,222804,546300,157
2014-05-02$8.70$7.0053.9%14.3%59.7%37.9%52.1%-2.9%2.9%7.7M-212.1M-1.1M0.2013.55N/AN/A48,2409,447783,054315,090
2014-05-05$8.76$7.0058.6%14.1%59.6%42.2%52.4%0.8%-0.7%8.8M-221.1M-1.0M0.4211.63N/AN/A104,91944,184806,325309,516
2014-05-06$8.68$7.0048.2%14.2%57.4%32.8%46.7%-0.1%-0.5%8.6M-193.7M-1.1M0.7910.40N/AN/A5,5794,412819,596350,565
2014-05-07$8.73$7.0053.2%14.0%57.3%37.3%47.2%0.0%-0.8%9.3M-206.0M-1.1M0.2310.69N/AN/A30,8096,992819,568353,433
2014-05-08$8.77$7.0049.9%14.2%57.2%34.3%49.1%1.1%-0.4%9.0M-205.0M-1.1M0.1910.84N/AN/A60,29311,468812,329355,652
2014-05-09$8.81$7.0048.1%14.0%57.2%32.7%48.4%-0.4%1.1%7.3M-208.9M-1.1M0.4510.13N/AN/A13,8746,290826,091363,095
2014-05-12$8.97$7.0044.5%13.9%52.2%29.4%47.8%1.2%0.3%8.6M-235.2M-1.1M0.389.52N/AN/A107,07040,574811,274364,254
2014-05-13$9.03$7.0042.3%13.8%52.0%27.4%46.3%-0.2%2.9%9.2M-234.9M-1.2M0.4912.03N/AN/A25,75612,707824,258400,732
2014-05-14$8.99$7.0035.3%13.8%51.7%21.0%49.1%-0.2%3.6%10.1M-229.2M-1.2M0.3111.23N/AN/A12,5263,892840,030410,658
2014-05-15$9.53$7.0054.3%13.6%54.1%38.3%46.5%-0.7%-0.8%11.2M-350.8M-1.2M0.1915.79N/AN/A66,64812,852837,098409,491
2014-05-16$9.01$7.0051.0%13.7%58.3%35.3%46.0%-3.5%-0.7%14.4M-245.6M-1.3M0.1812.77N/AN/A71,76712,872865,210409,613
2014-05-19$9.12$7.0047.2%13.5%58.4%31.8%49.8%-2.0%-0.6%5.4M-199.8M-1.2M1.1016.69N/AN/A7,5628,293524,905235,937
2014-05-20$8.99$7.0045.9%13.5%58.7%30.7%46.2%-2.3%-0.3%5.1M-182.1M-1.2M1.0126.42N/AN/A11,76711,850527,272243,227
2014-05-21$9.10$7.0046.2%13.4%57.8%30.9%46.7%0.6%-0.5%5.2M-194.0M-1.2M0.2417.74N/AN/A5,3831,306537,956254,038
2014-05-22$9.06$7.0046.6%13.5%55.8%31.3%46.0%-1.3%-0.0%5.1M-191.6M-1.2M0.2414.13N/AN/A66,01815,571541,402254,598
2014-05-23$9.24$7.0046.7%13.5%54.3%31.4%46.9%0.4%-0.2%6.7M-224.8M-1.3M1.3515.19N/AN/A5,6487,628605,340266,521
2014-05-27$9.23$7.0050.0%13.6%49.7%34.4%45.7%-1.7%-1.1%6.7M-228.2M-1.3M0.0315.32N/AN/A98,7933,093601,802266,931
2014-05-28$9.20$7.0048.8%13.5%34.5%33.3%45.4%-1.9%-0.2%8.6M-251.1M-1.4M0.5116.47N/AN/A12,0256,110685,623269,259
2014-05-29$9.44$7.0049.3%13.4%34.4%33.8%45.4%-1.9%-0.5%8.3M-274.9M-1.3M1.7215.97N/AN/A14,29324,654659,818273,685
2014-05-30$9.55$7.0044.4%13.4%33.5%29.4%47.1%-0.4%-1.8%8.8M-293.2M-1.3M0.1914.48N/AN/A30,3995,817663,250283,486