S Options History — July 2014 In July 2014, S traded between $7.35 and $8.60. ATM implied volatility averaged 47.6%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 19.8% (HV 20d: 27.9%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.59.
Notable Days 2014-07-31 : Highest Volume — 127,966 contracts2014-07-30 : Largest IV drop — 34.2% change2014-07-29 : Highest IV Rank — 58.5%2014-07-02 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $8.07 $7.35 $8.60 $8.53 $7.35 Max Pain $9.05 $9.00 $10.00 $10.00 $9.00 ATM IV 47.6% 27.7% 81.1% 31.0% 67.8% Expected Move 12.3% 11.8% 12.9% 12.2% 12.6% HV 20d 27.9% 21.5% 38.1% 26.1% 38.1% HV 60d 38.0% 30.0% 42.4% 42.4% 33.8% IV Rank 27.7% 14.2% 58.5% 17.1% 45.0% IV Percentile 51.6% 3.6% 98.0% 7.5% 95.6% Term Structure -2.9% -6.8% 6.1% 6.0% -5.7% VWIV 42.9% 39.9% 48.4% 45.6% 45.4% Skew 25d 0.1% -3.4% 3.6% -0.6% 2.5% Skew 10d -3.9% -20.9% 17.3% 2.5% 1.6% Call IV 25d 46.5% 33.6% 60.6% 39.6% 60.6% Put IV 25d 46.6% 32.8% 63.1% 39.0% 63.1% Bid-Ask Spread % 26.35 5.83 48.16 6.76 38.46 Gamma HHI 0.28 0.22 0.33 0.28 0.24 Net GEX 1.1M -2.7M 3.5M 3.4M 596.3K Net DEX -41.8M -123.4M 29.1M -115.6M 29.1M Net VEX -1.1M -1.2M -844.8K -1.2M -844.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 0.04 5.04 2.85 1.04 Total Volume 27,018.864 4,972 127,966 10,862 127,966 Total OI 943,318.909 841,776 1,010,036 959,368 869,259
Daily Data (22 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 2014-07-01 $8.53 $10.00 31.0% 12.2% 26.1% 17.1% 45.6% -0.6% 6.0% 3.4M -115.6M -1.2M 2.85 6.76 N/A N/A 2,825 8,037 598,643 360,725 2014-07-02 $8.48 $9.00 27.7% 12.9% 26.0% 14.2% 41.4% 3.1% 4.5% 3.0M -103.6M -1.2M 1.88 13.89 N/A N/A 1,724 3,248 599,718 365,916 2014-07-03 $8.60 $9.00 33.8% 12.2% 23.0% 19.7% 0.0% -0.2% 6.1% 3.5M -123.4M -1.2M 0.88 5.83 N/A N/A 3,796 3,351 600,350 367,630 2014-07-07 $8.50 $9.00 40.7% 12.8% 21.5% 25.9% 44.7% 3.6% -3.5% 3.0M -108.6M -1.2M 4.26 15.85 N/A N/A 1,822 7,760 599,412 366,165 2014-07-08 $8.32 $9.00 39.6% 12.6% 22.6% 24.4% 42.6% 2.6% -3.6% 2.0M -78.2M -1.1M 0.05 14.60 N/A N/A 105,706 4,851 600,352 368,933 2014-07-09 $8.41 $9.00 37.3% 12.4% 22.8% 22.2% 42.3% -0.0% -3.8% 1.6M -80.6M -1.2M 2.84 8.53 N/A N/A 4,782 13,593 620,148 369,201 2014-07-10 $8.25 $9.00 46.2% 12.7% 23.4% 30.4% 43.9% 0.9% -3.5% 854.4K -60.0M -1.2M 0.31 14.77 N/A N/A 16,511 5,065 625,692 380,872 2014-07-11 $8.55 $9.00 46.7% 11.9% 26.4% 30.9% 41.5% 1.1% -5.6% 3.2M -111.7M -1.2M 0.43 25.93 N/A N/A 16,946 7,216 625,140 382,880 2014-07-14 $8.44 $9.00 48.1% 12.5% 26.0% 25.3% 43.2% 0.1% -4.8% 2.4M -96.9M -1.2M 1.43 37.22 N/A N/A 6,168 8,799 625,572 384,010 2014-07-15 $8.11 $9.00 47.3% 12.2% 29.1% 24.5% 41.1% 0.4% -4.9% -926.9K -38.0M -1.1M 1.86 29.03 N/A N/A 7,653 14,242 626,619 383,417 2014-07-16 $8.14 $9.00 47.9% 12.3% 29.1% 25.0% 48.4% 0.9% -6.5% -919.2K -42.8M -1.1M 1.49 37.73 N/A N/A 3,189 4,758 627,418 380,168 2014-07-17 $8.00 $9.00 50.0% 12.5% 29.3% 27.2% 39.9% -1.9% -6.7% -2.5M -21.7M -1.1M 0.94 44.42 N/A N/A 3,719 3,502 624,430 379,571 2014-07-18 $7.90 $9.00 45.4% 12.3% 29.4% 22.5% 41.5% -3.4% -2.8% -2.7M 6.2M -1.0M 3.72 43.28 N/A N/A 7,673 28,516 622,177 379,142 2014-07-21 $7.67 $9.00 43.8% 12.1% 30.8% 20.9% 41.3% -0.8% -3.4% 727.1K 7.2M -932.4K 0.38 29.87 N/A N/A 24,213 9,157 513,660 328,116 2014-07-22 $7.64 $9.00 48.1% 12.4% 30.8% 25.2% 43.1% 0.6% -6.8% 813.9K 9.5M -954.7K 4.69 28.13 N/A N/A 4,543 21,329 525,762 332,359 2014-07-23 $7.68 $9.00 47.1% 12.5% 30.8% 24.2% 43.4% -0.4% -4.8% 511.8K 12.4M -954.5K 0.33 26.55 N/A N/A 6,415 2,091 528,651 348,876 2014-07-24 $7.77 $9.00 47.2% 12.1% 27.7% 24.3% 42.0% -0.3% -4.6% 1.1M 2.6M -962.8K 0.35 28.44 N/A N/A 5,124 1,802 533,605 349,759 2014-07-25 $7.72 $9.00 52.5% 12.3% 27.5% 29.7% 0.0% -0.6% -3.9% 520.3K 10.3M -938.2K 0.04 31.03 N/A N/A 6,801 297 535,000 350,869 2014-07-28 $7.64 $9.00 65.4% 12.4% 26.9% 42.7% 43.4% -2.3% -3.5% 399.7K 16.8M -910.5K 0.06 28.40 N/A N/A 9,456 571 533,287 350,626 2014-07-29 $8.00 $9.00 81.1% 12.1% 32.4% 58.5% 42.9% -1.4% -4.8% 2.0M -37.6M -972.1K 0.13 48.16 N/A N/A 15,743 2,013 538,493 350,806 2014-07-30 $7.76 $9.00 53.3% 11.8% 33.8% 30.5% 41.2% -0.8% 3.3% 1.5M 4.5M -878.9K 5.04 22.81 N/A N/A 10,169 51,273 548,281 351,306 2014-07-31 $7.35 $9.00 67.8% 12.6% 38.1% 45.0% 45.4% 2.5% -5.7% 596.3K 29.1M -844.8K 1.04 38.46 N/A N/A 62,804 65,162 549,969 319,290
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