S Options History — September 2014

In September 2014, S traded between $5.54 and $7.00. ATM implied volatility averaged 49.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 4.2% (HV 20d: 45.6%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2014-09-11: Highest Volume — 155,376 contracts
  • 2014-09-08: Largest IV spike — 29.7% change
  • 2014-09-03: Highest IV Rank — 36.5%
  • 2014-09-10: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.37$5.54$7.00$5.54$6.34
Max Pain$7.05$7.00$8.00$8.00$7.00
ATM IV49.8%42.0%59.3%54.4%49.9%
Expected Move14.0%13.4%14.7%14.2%14.3%
HV 20d45.6%29.5%79.5%78.7%47.1%
HV 60d56.1%51.7%58.3%51.7%58.0%
IV Rank27.0%19.1%36.5%31.6%27.0%
IV Percentile52.1%27.0%83.7%73.8%50.4%
Term Structure1.6%-3.8%8.2%-1.4%0.4%
VWIV49.0%41.8%52.0%49.9%52.0%
Skew 25d2.9%-23.5%7.9%3.4%6.3%
Skew 10d3.3%-7.2%19.8%0.0%2.5%
Call IV 25d49.8%44.9%56.6%50.1%52.3%
Put IV 25d52.7%33.1%59.2%53.5%58.5%
Bid-Ask Spread %21.8014.4032.4717.4024.94
Gamma HHI0.300.190.400.280.38
Net GEX282.9K-610.1K1.6M-610.1K-559.2K
Net DEX-16.2M-109.1M64.1M64.1M2.5M
Net VEX-747.2K-855.4K-614.5K-614.5K-696.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.054.150.401.18
Total Volume35,962.5717,590155,37678,9328,998
Total OI823,310.571719,700916,023746,679751,373

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$5.54$8.0054.4%14.2%78.7%31.6%49.9%3.4%-1.4%-610.1K64.1M-614.5K0.4017.40N/AN/A56,42822,504409,929336,750
2014-09-03$5.64$7.0059.3%14.4%79.5%36.5%50.1%3.4%-0.9%52.2K54.9M-663.5K0.1014.40N/AN/A27,5172,847464,645357,015
2014-09-04$5.77$7.0049.6%14.0%30.9%26.8%49.8%7.9%0.4%255.1K38.9M-706.0K0.8118.52N/AN/A8,2666,728479,389357,399
2014-09-05$5.89$7.0042.0%13.9%31.9%19.1%50.2%5.4%2.0%394.4K29.0M-714.3K0.3617.76N/AN/A11,9614,338483,373363,216
2014-09-08$5.78$7.0054.5%13.9%29.7%31.7%50.0%2.4%1.9%378.4K40.3M-683.5K0.1619.48N/AN/A6,7501,049486,344362,392
2014-09-09$5.77$7.0046.6%13.8%29.5%23.7%47.9%1.3%2.6%540.5K42.1M-688.1K0.0517.55N/AN/A13,804715490,806362,738
2014-09-10$6.15$7.0051.7%14.7%36.5%28.8%47.8%5.6%-0.4%766.0K-6.8M-754.0K0.3316.31N/AN/A29,4549,852493,958362,758
2014-09-11$6.57$7.0048.2%13.9%42.7%25.3%50.9%3.4%2.1%646.5K-60.0M-814.2K1.0517.53N/AN/A75,92879,448505,598369,012
2014-09-12$7.00$7.0049.9%13.9%46.2%27.1%48.4%3.6%1.7%1.6M-109.1M-855.4K0.1818.75N/AN/A111,75520,225516,611387,162
2014-09-15$6.94$7.0049.8%14.0%46.4%27.0%49.7%3.2%0.3%971.5K-89.5M-843.2K0.1126.83N/AN/A32,9993,751508,675388,389
2014-09-16$6.77$7.0050.6%14.0%47.4%27.7%48.4%2.9%0.3%728.6K-72.8M-824.7K4.1522.09N/AN/A7,99033,171511,253388,797
2014-09-17$6.69$7.0049.7%13.7%44.2%26.9%48.4%1.1%-0.2%434.5K-58.7M-793.9K0.4728.17N/AN/A10,8685,098512,361403,662
2014-09-18$6.85$7.0047.2%13.6%44.3%24.4%48.7%1.9%4.0%1.0M-75.6M-813.9K0.2215.34N/AN/A20,3434,502508,333395,090
2014-09-19$6.88$7.0046.7%14.0%44.4%23.9%47.7%5.2%4.2%1.3M-83.3M-793.3K0.7321.86N/AN/A15,10310,989517,637397,878
2014-09-22$6.80$7.0046.7%13.4%44.8%23.8%49.3%7.7%3.7%-203.8K-26.1M-775.5K1.4724.63N/AN/A11,58617,086394,985324,715
2014-09-23$6.67$7.0045.6%13.7%46.0%22.7%48.2%5.0%8.2%-174.9K-19.5M-766.4K1.3525.72N/AN/A4,1725,615402,645328,002
2014-09-24$6.64$7.0047.6%13.5%45.3%24.7%41.8%6.1%5.6%-194.3K-15.1M-760.7K2.0432.47N/AN/A2,4955,095405,256332,113
2014-09-25$6.39$7.0052.7%14.6%47.6%29.9%49.3%-23.5%2.2%-547.4K3.6M-718.4K1.4026.84N/AN/A14,61520,431406,599331,819
2014-09-26$6.42$7.0052.3%14.0%47.4%29.5%49.1%2.0%-3.8%-401.8K-3.2M-724.8K0.5226.53N/AN/A14,5547,614415,992327,738
2014-09-29$6.35$7.0051.8%14.4%47.5%28.9%51.4%6.0%0.2%-554.6K4.9M-685.8K1.0824.63N/AN/A4,1114,459420,319326,796
2014-09-30$6.34$7.0049.9%14.3%47.1%27.0%52.0%6.3%0.4%-559.2K2.5M-696.3K1.1824.94N/AN/A4,1214,877422,495328,878