S Options History — August 2014

In August 2014, S traded between $5.39 and $7.45. ATM implied volatility averaged 52.8%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 21.6% (HV 20d: 74.4%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2014-08-06: Highest Volume — 188,039 contracts
  • 2014-08-13: Largest IV drop — 16.6% change
  • 2014-08-11: Highest IV Rank — 40.3%
  • 2014-08-08: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.92$5.39$7.45$7.45$5.61
Max Pain$8.38$8.00$9.00$9.00$8.00
ATM IV52.8%44.5%63.0%60.8%44.5%
Expected Move14.2%13.1%15.4%13.1%14.0%
HV 20d74.4%37.8%81.8%38.1%78.7%
HV 60d49.8%33.9%54.3%33.9%51.9%
IV Rank30.0%21.6%40.3%38.1%21.6%
IV Percentile64.5%36.1%89.7%87.3%36.1%
Term Structure-0.9%-5.5%2.4%-4.2%0.9%
VWIV50.5%44.5%55.8%44.5%49.8%
Skew 25d1.7%-1.1%3.0%2.3%2.1%
Skew 10d-3.0%-22.0%7.0%5.3%-0.8%
Call IV 25d51.8%45.7%63.3%58.1%45.7%
Put IV 25d53.5%47.8%62.3%60.3%47.8%
Bid-Ask Spread %14.758.4021.1616.7818.82
Gamma HHI0.330.260.470.260.30
Net GEX-813.4K-1.8M531.9K531.9K-621.7K
Net DEX87.8M18.7M149.7M18.7M60.0M
Net VEX-640.4K-920.8K-520.9K-920.8K-637.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.102.780.390.35
Total Volume33,466.0484,769188,03921,0498,904
Total OI877,087.952622,8731,103,049956,436744,573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$7.45$9.0060.8%13.1%38.1%38.1%44.5%2.3%-4.2%531.9K18.7M-920.8K0.3916.78N/AN/A15,1435,906596,672359,764
2014-08-04$7.37$9.0054.9%13.2%38.1%32.1%0.0%2.6%-0.1%177.3K33.0M-852.6K0.4914.33N/AN/A10,2665,037587,157346,418
2014-08-05$7.28$9.0057.0%13.2%37.8%34.2%45.3%2.8%-3.4%-742.3K48.7M-834.8K0.1518.52N/AN/A17,1812,581590,648359,073
2014-08-06$5.90$9.0062.8%14.1%81.0%40.1%49.5%0.6%-5.5%-1.2M138.3M-520.9K1.5913.56N/AN/A72,615115,424602,189361,590
2014-08-07$5.88$9.0057.0%14.2%81.1%34.2%49.8%1.1%0.3%-1.7M144.7M-606.7K0.5012.65N/AN/A22,95811,575633,576420,769
2014-08-08$5.67$9.0061.2%15.4%78.9%38.4%54.3%-1.1%-4.4%-1.2M138.2M-573.5K0.8913.06N/AN/A37,90433,920640,832400,055
2014-08-11$5.74$9.0063.0%14.8%79.7%40.3%52.0%-0.3%-4.3%-1.5M149.7M-590.3K0.3416.43N/AN/A16,9585,844640,945432,709
2014-08-12$5.86$9.0056.4%14.6%80.6%33.6%51.1%1.2%-3.0%-1.6M144.4M-598.6K0.1917.14N/AN/A29,8785,729643,963432,270
2014-08-13$5.82$8.0047.1%14.1%80.3%24.2%53.2%2.4%-0.2%-1.8M147.7M-600.7K0.8817.11N/AN/A33,54729,520644,063432,570
2014-08-14$5.71$8.0050.6%14.3%80.3%27.8%52.1%0.8%-1.3%-819.6K139.1M-566.0K1.9112.93N/AN/A7,64814,594666,084429,309
2014-08-15$5.69$8.0050.0%14.3%80.4%27.2%51.0%0.2%0.3%-620.3K135.0M-589.5K0.5518.61N/AN/A9,2495,118670,451432,598
2014-08-18$5.62$8.0051.1%14.3%80.3%28.3%50.0%2.5%-2.8%-543.9K55.3M-570.4K0.1410.13N/AN/A27,2703,786339,947282,926
2014-08-19$5.39$8.0051.7%14.7%80.7%28.8%51.3%0.9%-0.3%-355.4K62.6M-538.0K2.789.40N/AN/A15,84744,002363,938286,095
2014-08-20$5.50$8.0050.1%14.5%81.4%27.2%53.6%1.8%1.2%-1.1M81.6M-625.7K0.198.40N/AN/A16,4953,167373,944360,117
2014-08-21$5.56$8.0048.1%14.2%81.4%25.3%49.4%2.3%0.6%-543.7K63.3M-630.4K0.4212.76N/AN/A6,8392,886393,693330,088
2014-08-22$5.54$8.0047.0%13.9%81.4%24.2%48.9%2.3%1.3%-709.9K66.0M-607.8K0.1013.13N/AN/A9,7541,017381,924329,289
2014-08-25$5.58$8.0048.4%14.0%81.8%25.6%49.8%3.0%0.4%-685.8K62.4M-612.9K0.4615.72N/AN/A6,9663,179383,358328,654
2014-08-26$5.77$8.0048.5%14.2%80.7%25.7%55.8%2.6%1.6%-708.3K51.2M-654.4K0.1514.17N/AN/A18,8752,886388,672331,304
2014-08-27$5.69$8.0050.2%14.3%80.5%27.4%48.9%2.1%1.9%-604.3K50.9M-668.9K0.8315.03N/AN/A9,6107,940401,538333,384
2014-08-28$5.66$8.0048.3%14.3%79.3%25.5%50.5%2.6%2.4%-646.1K53.6M-649.4K0.3321.16N/AN/A3,5991,170405,282336,416
2014-08-29$5.61$8.0044.5%14.0%78.7%21.6%49.8%2.1%0.9%-621.7K60.0M-637.0K0.3518.82N/AN/A6,6032,301407,601336,972