Step 1: $\alpha$-Sulphur (Rhombic) and $\beta$-Sulphur (Monoclinic) consist of $S_8$ puckered rings. All electrons are paired (Diamagnetic).
Step 2: $S_2$ form exists in the vapor phase at high temperatures ($> 1000 \text{ K}$).
Step 3: Like $O_2$, the $S_2$ molecule has two unpaired electrons in antibonding $\pi^*$ orbitals according to Molecular Orbital Theory.
Step 4: Therefore, only $S_2$ is paramagnetic.