S Options History — October 2014 In October 2014, S traded between $5.80 and $6.25. ATM implied volatility averaged 49.9%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 15.7% (HV 20d: 34.2%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.58.
Notable Days 2014-10-31 : Highest Volume — 104,705 contracts2014-10-15 : Largest IV spike — 14.9% change2014-10-07 : Highest IV Rank — 31.6%2014-10-14 : Largest Expected Move — 14.8%Monthly Statistics Metric Avg Min Max Open Close Price $6.06 $5.80 $6.25 $6.25 $5.93 Max Pain $7.00 $7.00 $7.00 $7.00 $7.00 ATM IV 49.9% 45.1% 54.4% 50.6% 52.3% Expected Move 14.1% 13.4% 14.8% 14.5% 13.8% HV 20d 34.2% 25.3% 48.6% 47.5% 29.5% HV 60d 55.7% 36.3% 58.4% 58.0% 36.4% IV Rank 27.1% 22.2% 31.6% 27.8% 29.5% IV Percentile 48.7% 24.6% 72.6% 55.6% 61.5% Term Structure -0.1% -6.3% 7.2% 2.2% 0.6% VWIV 49.4% 44.7% 54.7% 49.3% 47.6% Skew 25d 5.7% -1.1% 24.2% 1.9% 0.2% Skew 10d 8.3% -17.8% 21.3% 4.6% 10.9% Call IV 25d 46.5% 34.2% 52.8% 52.8% 52.7% Put IV 25d 52.2% 45.2% 60.8% 54.7% 52.9% Bid-Ask Spread % 17.66 10.66 26.10 26.10 12.08 Gamma HHI 0.43 0.20 0.90 0.43 0.28 Net GEX -1.0M -11.4M 1.1M -728.4K 1.0M Net DEX 24.8M 11.2M 54.5M 11.2M 22.5M Net VEX -619.0K -692.2K -572.9K -678.3K -572.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.58 0.19 4.80 2.08 0.35 Total Volume 34,660.043 4,705 104,705 9,168 104,705 Total OI 734,761.348 653,039 806,931 758,759 727,482
Daily Data (23 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 2014-10-01 $6.25 $7.00 50.6% 14.5% 47.5% 27.8% 49.3% 1.9% 2.2% -728.4K 11.2M -678.3K 2.08 26.10 N/A N/A 2,973 6,195 424,861 333,898 2014-10-02 $6.25 $7.00 51.6% 14.2% 47.0% 28.8% 48.6% 2.3% 0.3% -850.9K 15.4M -668.4K 0.48 20.23 N/A N/A 57,282 27,764 425,762 334,303 2014-10-03 $6.25 $7.00 51.9% 13.7% 46.6% 29.1% 0.0% 7.2% -3.0% -1.0M 14.0M -692.2K 0.70 22.34 N/A N/A 15,826 11,037 459,036 347,895 2014-10-06 $6.00 $7.00 50.1% 14.4% 48.6% 27.2% 53.0% -1.1% 2.8% -1.4M 39.6M -666.7K 0.46 22.99 N/A N/A 39,981 18,410 421,463 337,049 2014-10-07 $6.04 $7.00 54.4% 14.3% 48.6% 31.6% 48.4% 9.7% -3.3% -1.3M 34.8M -665.7K 0.60 16.90 N/A N/A 2,943 1,762 443,221 336,424 2014-10-08 $6.06 $7.00 52.6% 14.0% 42.9% 29.8% 48.5% 3.4% 1.4% -1.6M 33.7M -670.8K 1.32 13.13 N/A N/A 16,330 21,622 435,035 336,159 2014-10-09 $5.98 $7.00 52.5% 14.0% 35.0% 29.6% 48.8% 9.0% -6.3% -1.6M 36.5M -669.1K 0.46 11.45 N/A N/A 3,559 1,627 435,756 335,409 2014-10-10 $5.80 $7.00 51.6% 14.5% 25.3% 28.8% 54.3% 14.2% 0.9% -1.4M 54.5M -615.3K 3.68 17.77 N/A N/A 8,569 31,516 435,159 333,715 2014-10-13 $5.90 $7.00 53.7% 14.5% 27.0% 30.9% 49.6% 24.2% -3.7% -1.9M 50.0M -594.4K 0.67 18.48 N/A N/A 9,483 6,371 434,502 334,668 2014-10-14 $6.08 $7.00 46.3% 14.8% 29.4% 23.4% 52.8% 10.9% 3.8% -1.7M 27.3M -637.5K 3.32 19.60 N/A N/A 6,329 20,993 438,589 322,699 2014-10-15 $6.12 $7.00 53.2% 14.5% 29.6% 30.4% 54.7% 6.3% 0.1% -2.6M 20.4M -635.3K 2.30 20.93 N/A N/A 8,774 20,193 441,638 322,047 2014-10-16 $5.94 $7.00 53.0% 14.7% 28.9% 30.2% 51.8% 11.9% -2.5% -3.0M 34.0M -595.4K 2.41 23.34 N/A N/A 4,040 9,756 438,383 320,410 2014-10-17 $6.03 $7.00 47.5% 14.0% 29.7% 24.6% 51.2% 4.5% -2.1% -11.4M 24.7M -607.0K 1.92 19.58 N/A N/A 11,283 21,620 439,429 317,744 2014-10-20 $6.09 $7.00 46.9% 14.1% 30.2% 24.0% 50.7% 1.5% 4.7% 358.5K 21.2M -577.2K 2.65 16.47 N/A N/A 8,601 22,793 398,456 254,583 2014-10-21 $6.22 $7.00 45.1% 14.3% 31.2% 22.2% 45.6% 2.0% 7.2% 393.8K 12.7M -597.8K 1.25 16.17 N/A N/A 19,010 23,855 402,359 259,299 2014-10-22 $6.06 $7.00 45.7% 13.5% 32.2% 22.8% 44.7% 2.0% -6.2% 457.1K 17.9M -589.1K 0.78 18.14 N/A N/A 24,419 19,165 413,055 263,188 2014-10-23 $6.09 $7.00 47.1% 13.5% 29.7% 24.3% 47.2% 3.6% -2.9% 254.6K 22.4M -581.7K 0.77 15.15 N/A N/A 24,559 18,983 403,580 259,883 2014-10-24 $6.10 $7.00 45.1% 14.5% 29.7% 22.3% 49.8% 0.3% 0.4% 672.0K 18.5M -577.9K 0.90 16.13 N/A N/A 22,395 20,227 421,951 260,058 2014-10-27 $6.04 $7.00 46.2% 14.1% 29.6% 23.4% 49.2% 8.0% 1.9% 882.5K 15.0M -585.0K 0.33 19.63 N/A N/A 11,044 3,615 435,631 257,851 2014-10-28 $6.04 $7.00 50.3% 13.7% 29.6% 27.5% 47.8% 1.8% -0.2% 979.0K 13.9M -584.3K 0.19 16.00 N/A N/A 23,947 4,642 446,099 261,378 2014-10-29 $6.00 $7.00 50.6% 13.7% 29.4% 27.8% 47.2% 3.0% 0.4% 1.1M 13.6M -599.8K 3.92 12.95 N/A N/A 6,029 23,624 460,265 263,887 2014-10-30 $6.00 $7.00 49.4% 13.4% 29.4% 26.6% 46.9% 4.2% 0.4% 1.0M 17.3M -575.0K 4.80 10.66 N/A N/A 5,057 24,273 460,397 264,855 2014-10-31 $5.93 $7.00 52.3% 13.8% 29.5% 29.5% 47.6% 0.2% 0.6% 1.0M 22.5M -572.9K 0.35 12.08 N/A N/A 77,636 27,069 460,967 266,515
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