SECT Options History — March 2021

In March 2021, SECT traded between $36.35 and $38.74. ATM implied volatility averaged 39.0%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 17.7% (HV 20d: 21.3%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-03-08: Highest Volume — 24 contracts
  • 2021-03-26: Largest IV spike — 121.4% change
  • 2021-03-03: Largest Expected Move — 47.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.89$36.35$38.74$38.00$38.34
Max Pain$30.15$30.00$31.00$31.00$30.00
ATM IV39.0%14.2%164.6%74.7%15.0%
Expected Move10.5%4.1%47.2%21.4%4.3%
HV 20d21.3%18.8%23.3%23.3%18.8%
Term Structure-10.0%-114.9%20.0%-28.0%1.2%
VWIV15.4%12.0%17.3%17.0%12.0%
Skew 25d3.3%-9.2%17.8%-4.3%1.5%
Skew 10d6.1%-29.2%57.7%-29.2%11.1%
Call IV 25d29.7%15.0%92.0%92.0%16.3%
Put IV 25d33.0%15.8%89.6%87.7%17.8%
Bid-Ask Spread %138.04124.68189.27168.80126.23
Gamma HHI0.360.180.800.680.23
Net GEX-1.7K-6.1K928-5.0K-1.1K
Net DEX3.2K-48.9K89.1K56.0K-48.9K
Net VEX-627-808-406-477-441
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.91302460
Total OI154.217129172129163

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$38.00$31.0074.7%21.4%0.0%0.0%0.0%-4.3%-28.0%-5.0K56.0K-4770.00168.80N/AN/A600129
2021-03-02$37.72$31.00156.4%44.8%0.0%0.0%0.0%1.0%-110.0%-4.2K64.3K-5410.00185.68N/AN/A006129
2021-03-03$37.24$31.00164.6%47.2%0.0%0.0%0.0%16.6%-114.9%-6.1K89.1K-8080.00189.27N/AN/A006129
2021-03-04$36.35$0.0042.7%9.0%0.0%0.0%0.0%7.6%-6.7%-5.1K73.6K-7320.00132.78N/AN/A006129
2021-03-05$37.19$0.0036.7%6.6%0.0%0.0%0.0%8.3%5.7%-5.4K36.3K-4060.00129.09N/AN/A006129
2021-03-08$37.24$0.0037.4%6.4%0.0%0.0%17.0%9.1%-5.5%-3.8K40.2K-4600.00125.98N/AN/A2406129
2021-03-09$37.68$30.0032.5%5.8%0.0%0.0%0.0%17.8%0.3%-2.1K-20.3K-5290.00129.71N/AN/A0030129
2021-03-10$37.98$30.0027.6%7.9%23.3%0.0%0.0%10.2%2.1%-568-14.8K-6170.00136.30N/AN/A0030130
2021-03-11$38.44$30.0026.9%7.7%23.1%0.0%0.0%5.3%1.2%-1.6K-20.2K-6060.00131.03N/AN/A0030130
2021-03-12$38.44$30.0021.1%6.0%22.4%0.0%0.0%5.3%20.0%-482-16.8K-6420.00130.53N/AN/A0030130
2021-03-15$38.61$30.0031.0%8.9%21.7%0.0%17.3%2.3%-1.9%3-12.3K-7310.00134.74N/AN/A8030130
2021-03-16$38.55$30.0031.3%9.0%21.1%0.0%0.0%-3.2%-4.5%-879-6.5K-7670.00128.32N/AN/A1031130
2021-03-17$38.74$30.0031.4%9.0%20.6%0.0%0.0%-1.9%-8.8%496-35.6K-5400.00136.01N/AN/A0032130
2021-03-18$37.94$30.0014.2%4.1%21.9%0.0%0.0%-3.0%19.7%453-21.3K-6160.00134.40N/AN/A01032130
2021-03-19$38.21$30.0014.7%4.2%22.0%0.0%0.0%4.5%7.0%-1.2K-12.8K-6500.00126.94N/AN/A0532140
2021-03-22$38.28$30.0015.0%4.3%21.6%0.0%12.0%1.1%13.6%-524-14.6K-6290.00139.44N/AN/A1032122
2021-03-23$37.50$30.0023.1%6.6%22.9%0.0%0.0%-0.2%-10.9%-807-732-6580.00133.91N/AN/A11033122
2021-03-24$37.39$30.0018.6%5.3%22.3%0.0%0.0%2.1%-4.4%2264.2K-7760.00124.68N/AN/A0041122
2021-03-25$37.59$30.0016.1%4.6%19.9%0.0%0.0%7.3%7.5%-2.2K3.1K-7410.00137.85N/AN/A0041122
2021-03-26$38.07$30.0035.7%10.2%20.3%0.0%0.0%3.9%-18.1%-348-23.9K-6870.00139.46N/AN/A0041122
2021-03-29$37.96$30.0015.0%4.3%19.4%0.0%0.0%-5.3%3.5%754-22.8K-7060.00128.23N/AN/A1041122
2021-03-30$38.01$30.0015.4%4.4%19.2%0.0%0.0%-9.2%1.2%928-21.1K-6640.00125.46N/AN/A0041122
2021-03-31$38.34$30.0015.0%4.3%18.8%0.0%0.0%1.5%1.2%-1.1K-48.9K-4410.00126.23N/AN/A0041122