S Options History — November 2014

In November 2014, S traded between $4.68 and $6.24. ATM implied volatility averaged 52.1%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 24.3% (HV 20d: 76.3%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-11-04: Highest Volume — 106,027 contracts
  • 2014-11-21: Largest IV drop — 7.1% change
  • 2014-11-03: Highest IV Rank — 38.5%
  • 2014-11-06: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.99$4.68$6.24$6.24$5.12
Max Pain$6.11$6.00$7.00$7.00$6.00
ATM IV52.1%45.4%61.3%61.3%46.5%
Expected Move14.7%14.0%15.5%14.0%14.0%
HV 20d76.3%31.7%81.4%31.7%81.4%
HV 60d54.9%37.0%56.7%37.0%56.4%
IV Rank27.3%18.7%38.5%38.5%19.8%
IV Percentile54.3%17.5%87.7%87.7%21.4%
Term Structure-0.8%-3.2%1.2%-0.7%1.0%
VWIV51.4%49.0%55.5%49.0%49.1%
Skew 25d1.8%-6.2%8.4%3.6%8.4%
Skew 10d1.2%-14.8%21.8%21.8%16.3%
Call IV 25d52.7%41.4%59.0%58.5%41.6%
Put IV 25d54.6%49.5%62.2%62.2%50.0%
Bid-Ask Spread %8.075.1811.7110.099.39
Gamma HHI0.320.200.440.320.35
Net GEX134.0K-255.7K1.5M1.5M265.4K
Net DEX61.5M-6.7M82.2M-6.7M34.7M
Net VEX-396.4K-615.6K-349.9K-615.6K-353.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.092.681.280.09
Total Volume34,855.2634,863106,02762,5375,133
Total OI750,187.474552,970830,315739,811561,687

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$6.24$7.0061.3%14.0%31.7%38.5%49.0%3.6%-0.7%1.5M-6.7M-615.6K1.2810.09N/AN/A27,37735,160475,019264,792
2014-11-04$5.14$7.0057.5%14.9%76.3%34.7%50.6%5.7%-2.0%124.5K73.4M-410.9K0.937.34N/AN/A54,97651,051487,281276,636
2014-11-05$4.92$6.0056.7%14.7%77.2%33.9%50.5%-2.0%-0.9%-35.1K78.0M-396.3K0.7711.71N/AN/A33,12325,508514,047287,474
2014-11-06$4.68$6.0057.1%15.5%78.5%34.3%52.7%-0.9%-2.5%-56.2K81.6M-364.1K1.746.66N/AN/A18,97132,950526,822288,886
2014-11-07$4.72$6.0057.2%15.1%78.5%34.4%52.3%2.9%-0.3%-106.5K82.2M-382.7K2.505.88N/AN/A12,26230,605532,775297,540
2014-11-10$4.87$6.0053.4%14.6%79.3%30.5%51.6%1.3%-1.9%-46.7K77.0M-390.4K1.355.71N/AN/A16,87922,796509,716295,326
2014-11-11$4.88$6.0052.4%14.7%78.1%29.5%51.0%4.4%-1.0%-116.1K74.3M-409.0K2.428.58N/AN/A9,30322,532505,315307,287
2014-11-12$5.01$6.0050.5%14.2%79.0%27.7%51.2%-1.8%-0.6%39.1K67.7M-421.0K1.548.79N/AN/A13,97621,549517,401288,839
2014-11-13$5.02$6.0052.3%14.6%78.7%29.4%52.2%2.1%-3.2%232.5K67.1M-417.1K2.6811.52N/AN/A7,82020,992519,547288,720
2014-11-14$5.05$6.0050.9%14.3%78.4%24.5%51.1%4.4%-1.0%-224.8K65.3M-412.6K0.1310.21N/AN/A7,001932519,869288,701
2014-11-17$4.90$6.0051.0%15.1%78.4%24.6%52.2%-2.8%0.8%-255.7K71.5M-389.1K1.397.73N/AN/A14,06519,520510,119288,335
2014-11-18$4.76$6.0051.2%14.7%77.7%24.9%51.3%-6.2%-1.1%-158.7K75.4M-368.3K1.776.93N/AN/A12,33121,863515,405287,664
2014-11-19$4.71$6.0051.6%14.7%77.6%25.3%51.6%-1.5%1.2%77.4K77.0M-357.8K0.118.70N/AN/A17,1981,871521,104286,673
2014-11-20$4.82$6.0051.6%15.0%78.4%25.3%55.5%-0.9%-2.3%44.5K67.9M-385.8K2.036.07N/AN/A9,52119,328527,892280,568
2014-11-21$4.95$6.0048.0%15.1%79.5%21.4%53.1%3.6%1.1%-104.1K68.0M-384.5K0.657.44N/AN/A29,74019,394530,761280,734
2014-11-24$4.89$6.0047.7%14.6%79.5%21.1%51.9%1.5%-0.6%255.1K41.2M-349.9K0.245.18N/AN/A5,0561,230338,292214,678
2014-11-25$5.07$6.0047.4%15.0%81.1%20.8%51.1%5.3%-1.0%480.5K38.1M-357.1K0.727.86N/AN/A8,9456,429341,555215,706
2014-11-26$5.07$6.0045.4%14.2%81.2%18.7%49.4%8.1%-1.0%596.3K35.6M-365.0K0.257.55N/AN/A3,899964344,280216,116
2014-11-28$5.12$6.0046.5%14.0%81.4%19.8%49.1%8.4%1.0%265.4K34.7M-353.8K0.099.39N/AN/A4,724409345,421216,266