S Options History — December 2014

In December 2014, S traded between $3.81 and $4.86. ATM implied volatility averaged 53.6%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 2.8% (HV 20d: 50.8%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2014-12-16: Highest Volume — 58,347 contracts
2014-12-15: Largest IV spike — 13.0% change
2014-12-15: Highest IV Rank — 37.1%
2014-12-16: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.35	$3.81	$4.86	$4.86	$4.15
Max Pain	$5.45	$5.00	$6.00	$6.00	$5.00
ATM IV	53.6%	46.7%	62.8%	47.2%	53.0%
Expected Move	15.6%	14.5%	17.5%	14.6%	15.5%
HV 20d	50.8%	39.2%	82.9%	82.9%	50.7%
HV 60d	55.9%	52.6%	57.9%	57.1%	57.6%
IV Rank	27.4%	20.1%	37.1%	20.6%	26.7%
IV Percentile	60.8%	22.6%	89.7%	27.4%	60.7%
Term Structure	-0.0%	-14.8%	6.1%	1.3%	-5.9%
VWIV	54.4%	42.2%	63.5%	51.3%	54.9%
Skew 25d	-1.3%	-22.1%	21.6%	-1.7%	0.4%
Skew 10d	-3.9%	-35.1%	47.0%	-18.4%	14.6%
Call IV 25d	55.1%	41.7%	68.0%	50.3%	49.3%
Put IV 25d	53.8%	45.9%	83.0%	48.7%	49.7%
Bid-Ask Spread %	10.55	4.81	65.90	6.48	9.78
Gamma HHI	0.22	0.15	0.34	0.31	0.16
Net GEX	151.8K	-18.3K	371.9K	196.0K	97.3K
Net DEX	52.0M	39.3M	59.7M	42.2M	52.7M
Net VEX	-260.1K	-343.0K	-196.3K	-341.9K	-244.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.28	1.66	0.58	0.35
Total Volume	19,984.864	4,174	58,347	14,778	4,174
Total OI	572,808.864	552,748	607,698	552,748	554,939

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
2014-12-01	$4.86	$6.00	47.2%	14.6%	82.9%	20.6%	51.3%	-1.7%	1.3%	196.0K	42.2M	-341.9K	0.58	6.48	N/A	N/A	9,382	5,396	337,309	215,439
2014-12-02	$4.73	$6.00	50.5%	14.5%	79.9%	24.1%	48.6%	-5.1%	-0.4%	220.9K	44.7M	-314.8K	0.38	7.16	N/A	N/A	12,438	4,697	341,890	214,884
2014-12-03	$4.67	$6.00	50.9%	14.6%	43.1%	24.5%	51.0%	-1.1%	-0.9%	256.7K	49.6M	-291.1K	0.46	8.80	N/A	N/A	14,448	6,627	348,922	215,109
2014-12-04	$4.86	$6.00	48.4%	14.5%	43.3%	21.9%	52.0%	3.9%	2.2%	371.9K	46.2M	-317.4K	0.28	7.60	N/A	N/A	3,666	1,011	352,364	216,257
2014-12-05	$4.84	$6.00	46.7%	14.5%	39.2%	20.1%	53.0%	5.0%	3.1%	267.8K	39.3M	-343.0K	0.61	8.25	N/A	N/A	9,046	5,527	354,111	216,446
2014-12-08	$4.74	$6.00	51.5%	14.7%	39.9%	25.2%	51.9%	1.2%	-3.0%	348.1K	47.0M	-299.7K	0.92	9.74	N/A	N/A	6,440	5,939	354,499	216,017
2014-12-09	$4.58	$6.00	49.2%	15.1%	40.0%	22.8%	54.3%	-3.8%	5.2%	220.7K	53.5M	-272.6K	1.35	8.03	N/A	N/A	6,814	9,225	357,315	216,535
2014-12-10	$4.38	$6.00	50.7%	16.3%	42.5%	24.3%	62.0%	0.5%	5.1%	129.4K	53.2M	-275.9K	0.79	6.78	N/A	N/A	15,259	12,011	359,633	218,633
2014-12-11	$4.40	$6.00	50.0%	15.8%	41.0%	23.6%	53.9%	-2.0%	6.1%	247.1K	53.0M	-272.4K	1.66	7.54	N/A	N/A	6,828	11,328	368,283	222,523
2014-12-12	$4.10	$6.00	55.6%	16.3%	46.7%	29.5%	57.9%	-3.8%	5.3%	15.9K	56.9M	-251.2K	0.94	7.01	N/A	N/A	14,687	13,816	367,887	224,169
2014-12-15	$4.04	$5.00	62.8%	16.7%	46.4%	37.1%	63.5%	-13.4%	-6.3%	-5.6K	56.3M	-241.8K	0.75	5.90	N/A	N/A	16,600	12,371	366,260	227,117
2014-12-16	$3.81	$5.00	60.0%	17.5%	49.0%	34.1%	42.2%	-22.1%	0.9%	-18.3K	58.0M	-224.4K	0.67	7.02	N/A	N/A	34,996	23,351	376,402	228,520
2014-12-17	$3.98	$5.00	58.5%	16.7%	52.4%	32.6%	55.2%	-13.6%	2.1%	76.8K	59.7M	-196.3K	1.31	7.97	N/A	N/A	8,734	11,443	378,990	228,708
2014-12-18	$4.09	$5.00	55.4%	15.5%	53.9%	29.2%	58.6%	-8.1%	5.3%	181.0K	55.3M	-232.3K	0.71	21.30	N/A	N/A	23,717	16,803	369,805	224,124
2014-12-19	$4.16	$5.00	54.0%	14.9%	53.5%	27.8%	56.1%	21.6%	-1.7%	69.8K	53.9M	-235.8K	0.42	65.90	N/A	N/A	15,482	6,490	359,159	225,719
2014-12-22	$4.21	$5.00	55.4%	15.7%	52.5%	29.3%	53.7%	-4.7%	-14.8%	104.5K	56.2M	-224.3K	0.93	7.21	N/A	N/A	10,234	9,537	339,717	219,299
2014-12-23	$4.24	$5.00	55.9%	15.7%	52.8%	29.8%	53.9%	-2.0%	-0.6%	92.5K	52.6M	-241.6K	1.02	4.81	N/A	N/A	7,905	8,064	340,196	220,926
2014-12-24	$4.19	$5.00	52.4%	15.9%	50.3%	26.1%	55.6%	-7.6%	5.2%	128.9K	53.1M	-223.8K	1.06	6.46	N/A	N/A	7,663	8,108	341,660	216,889
2014-12-26	$4.35	$5.00	54.1%	15.9%	52.9%	27.9%	55.5%	15.5%	1.3%	143.3K	50.9M	-249.9K	0.92	6.06	N/A	N/A	7,895	7,249	342,326	217,080
2014-12-29	$4.22	$5.00	58.7%	16.4%	53.0%	32.8%	55.4%	-2.1%	-5.8%	91.9K	55.6M	-207.2K	1.14	6.73	N/A	N/A	7,598	8,659	336,405	216,422
2014-12-30	$4.12	$5.00	58.5%	15.8%	51.0%	32.5%	57.2%	14.2%	-4.5%	103.1K	54.5M	-219.8K	0.49	5.57	N/A	N/A	5,376	2,633	337,192	215,715
2014-12-31	$4.15	$5.00	53.0%	15.5%	50.7%	26.7%	54.9%	0.4%	-5.9%	97.3K	52.7M	-244.5K	0.35	9.78	N/A	N/A	3,087	1,087	337,988	216,951