S Options History — June 2014 In June 2014, S traded between $8.24 and $9.71. ATM implied volatility averaged 41.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 9.7% (HV 20d: 32.1%). Max pain ranged from $7.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.27.
Notable Days 2014-06-05 : Highest Volume — 170,733 contracts2014-06-27 : Largest IV drop — 13.6% change2014-06-02 : Highest IV Rank — 32.1%2014-06-19 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $8.73 $8.24 $9.71 $9.71 $8.53 Max Pain $9.47 $7.00 $13.00 $7.00 $10.00 ATM IV 41.8% 35.6% 47.4% 47.4% 37.1% Expected Move 12.8% 12.2% 13.4% 13.3% 12.3% HV 20d 32.1% 25.5% 39.8% 33.6% 26.6% HV 60d 43.2% 42.5% 44.0% 42.9% 42.5% IV Rank 27.0% 21.3% 32.1% 32.1% 22.7% IV Percentile 39.7% 23.8% 54.8% 54.8% 27.8% Term Structure 2.3% -3.8% 5.2% -3.8% 5.0% VWIV 44.3% 41.7% 46.9% 46.9% 42.9% Skew 25d 1.5% -1.0% 3.8% -1.0% 1.1% Skew 10d 4.6% -1.2% 12.2% 9.2% 7.2% Call IV 25d 43.1% 39.9% 50.4% 50.4% 41.0% Put IV 25d 44.6% 41.2% 49.8% 49.3% 42.1% Bid-Ask Spread % 17.90 6.59 29.37 12.77 6.59 Gamma HHI 0.27 0.20 0.32 0.30 0.29 Net GEX 4.5M 511.5K 9.0M 9.0M 3.3M Net DEX -131.0M -318.5M -47.7M -318.5M -109.4M Net VEX -1.3M -1.3M -1.2M -1.3M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.04 13.87 0.20 0.69 Total Volume 36,382.667 3,190 170,733 70,304 22,041 Total OI 1,034,446.19 911,570 1,146,768 947,370 943,919
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-06-02 $9.71 $7.00 47.4% 13.3% 33.6% 32.1% 46.9% -1.0% -3.8% 9.0M -318.5M -1.3M 0.20 12.77 N/A N/A 58,724 11,580 662,671 284,699 2014-06-03 $9.50 $7.00 42.1% 13.4% 35.0% 27.2% 46.3% 1.5% -1.4% 8.3M -273.9M -1.3M 0.14 16.16 N/A N/A 53,097 7,604 660,212 293,689 2014-06-04 $9.40 $7.00 44.8% 13.3% 35.1% 29.7% 46.5% 0.2% 0.4% 8.6M -261.7M -1.3M 0.85 13.96 N/A N/A 3,038 2,572 690,200 297,273 2014-06-05 $9.02 $7.00 41.3% 13.2% 38.6% 26.5% 45.7% -0.1% 3.5% 7.5M -192.8M -1.3M 0.66 12.00 N/A N/A 102,975 67,758 691,125 298,257 2014-06-06 $8.78 $0.00 40.7% 13.0% 39.8% 26.0% 45.1% 1.1% 1.2% 6.0M -142.1M -1.3M 1.46 24.11 N/A N/A 14,078 20,522 729,219 358,158 2014-06-09 $8.77 $10.00 44.9% 12.7% 39.8% 29.7% 42.3% 2.0% 1.2% 5.7M -132.1M -1.3M 0.68 21.84 N/A N/A 6,030 4,087 730,485 362,654 2014-06-10 $8.84 $10.00 42.9% 12.8% 39.4% 28.0% 0.0% 1.2% 2.4% 6.6M -150.4M -1.3M 0.04 29.37 N/A N/A 50,252 2,093 733,436 364,724 2014-06-11 $8.75 $10.00 42.9% 12.7% 39.4% 28.0% 44.4% 1.6% 2.4% 5.4M -130.9M -1.3M 1.13 21.87 N/A N/A 1,766 1,990 731,531 365,746 2014-06-12 $8.59 $10.00 42.1% 12.8% 39.8% 27.2% 0.0% 1.2% 2.4% 4.1M -100.9M -1.3M 0.63 20.77 N/A N/A 13,593 8,605 731,889 366,998 2014-06-13 $8.73 $10.00 42.8% 12.4% 33.7% 27.8% 41.7% 3.8% 2.0% 4.7M -118.4M -1.3M 0.53 25.80 N/A N/A 19,189 10,136 727,300 373,985 2014-06-16 $8.61 $10.00 42.6% 12.8% 27.9% 27.7% 44.7% 2.8% 3.2% 4.0M -94.9M -1.2M 13.87 21.31 N/A N/A 2,734 37,914 725,948 378,339 2014-06-17 $8.64 $10.00 42.3% 12.6% 27.5% 27.4% 0.0% 2.3% 2.4% 3.1M -88.0M -1.2M 1.51 23.48 N/A N/A 5,035 7,603 722,982 411,618 2014-06-18 $8.52 $10.00 41.9% 12.7% 27.5% 27.0% 0.0% 2.4% 2.4% 2.0M -64.5M -1.2M 1.24 25.78 N/A N/A 1,422 1,768 723,437 418,476 2014-06-19 $8.46 $10.00 42.2% 13.4% 26.9% 27.3% 43.6% 2.1% 1.9% 511.5K -48.3M -1.2M 0.97 19.74 N/A N/A 8,959 8,705 720,331 417,960 2014-06-20 $8.41 $10.00 43.0% 13.3% 26.9% 28.1% 43.8% 1.6% 1.6% 945.7K -47.7M -1.2M 0.18 19.97 N/A N/A 100,371 17,949 725,325 421,443 2014-06-23 $8.36 $0.00 40.2% 12.8% 25.5% 25.5% 43.4% 1.6% 3.7% 2.9M -86.0M -1.2M 0.45 12.03 N/A N/A 11,284 5,034 568,327 343,243 2014-06-24 $8.24 $9.00 39.7% 12.6% 25.7% 25.0% 44.3% 2.7% 3.8% 2.3M -65.4M -1.2M 0.16 7.80 N/A N/A 39,326 6,111 570,256 346,455 2014-06-25 $8.54 $13.00 40.1% 12.2% 29.6% 25.4% 43.2% 2.7% 4.4% 3.5M -115.1M -1.3M 0.45 7.18 N/A N/A 10,096 4,533 587,244 351,657 2014-06-26 $8.41 $10.00 41.2% 12.6% 27.7% 26.4% 0.0% 1.7% 3.7% 3.1M -98.7M -1.3M 0.34 19.32 N/A N/A 2,486 847 591,918 352,934 2014-06-27 $8.51 $10.00 35.6% 12.3% 27.7% 21.3% 42.9% 0.1% 5.2% 3.3M -110.9M -1.3M 0.58 13.99 N/A N/A 6,413 3,716 593,896 353,411 2014-06-30 $8.53 $10.00 37.1% 12.3% 26.6% 22.7% 0.0% 1.1% 5.0% 3.3M -109.4M -1.2M 0.69 6.59 N/A N/A 13,006 9,035 591,413 352,506
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