SECT Options History — May 2021

In May 2021, SECT traded between $38.91 and $40.68. ATM implied volatility averaged 27.8%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 12.2% (HV 20d: 15.6%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-05-13: Highest Volume — 3 contracts
  • 2021-05-10: Largest IV spike — 56.2% change
  • 2021-05-04: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.95$38.91$40.68$39.97$40.46
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV27.8%15.5%46.9%37.1%15.5%
Expected Move7.0%3.4%11.1%10.6%4.4%
HV 20d15.6%11.3%17.8%11.3%17.0%
HV 60d16.7%15.1%17.6%16.7%15.1%
Term Structure-3.6%-19.5%7.3%-17.4%4.9%
VWIV17.3%13.5%21.1%21.1%13.5%
Skew 25d3.8%-1.1%13.7%-0.4%-0.5%
Skew 10d2.6%-3.6%10.9%-2.5%10.9%
Call IV 25d19.6%14.0%29.7%27.1%20.0%
Put IV 25d23.5%16.6%34.8%26.7%19.5%
Bid-Ask Spread %140.37130.67147.41141.62130.67
Gamma HHI0.260.230.310.290.26
Net GEX3.2K-1.7K8.8K6058.0K
Net DEX-38.3K-66.1K2.2K-32.2K-66.1K
Net VEX-274-486-129-275-133
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.20300
Total OI150.35148152148152

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$39.97$0.0037.1%10.6%11.3%0.0%0.0%-0.4%-17.4%605-32.2K-2750.00141.62N/AN/A0026122
2021-05-04$39.62$0.0038.6%11.1%11.8%0.0%0.0%13.5%-19.5%264-35.4K-2080.00138.03N/AN/A0026122
2021-05-05$40.01$0.0038.2%10.9%12.1%0.0%0.0%5.1%-19.4%2.6K-32.8K-3320.00141.93N/AN/A0026122
2021-05-06$40.08$38.0038.6%6.9%12.0%0.0%0.0%0.6%-7.3%2.0K-39.7K-2400.00142.21N/AN/A0026122
2021-05-07$40.68$38.0026.2%3.4%12.9%0.0%0.0%-0.6%-0.9%3.4K-42.1K-3140.00133.10N/AN/A0026122
2021-05-10$40.27$38.0040.8%6.1%13.6%0.0%21.1%-1.1%0.5%2.2K-28.1K-3600.00143.63N/AN/A1026122
2021-05-11$39.77$38.0046.9%6.9%14.5%0.0%0.0%2.7%5.0%224-23.0K-3820.00143.93N/AN/A0027122
2021-05-12$38.91$38.0029.8%8.6%16.5%0.0%0.0%13.7%-11.1%-1.7K2.2K-4860.00144.59N/AN/A0027122
2021-05-13$39.49$38.0017.6%5.0%17.1%0.0%13.5%8.5%7.3%-1.3K-25.1K-3530.00143.34N/AN/A3027122
2021-05-14$40.05$38.0023.5%6.7%17.8%0.0%0.0%0.7%0.8%2.5K-40.3K-2990.00135.37N/AN/A0030122
2021-05-17$39.95$38.0021.2%6.1%17.4%0.0%0.0%5.7%-6.2%1.6K-34.0K-3230.00144.82N/AN/A0030122
2021-05-18$39.81$38.0021.1%6.1%17.0%0.0%0.0%2.7%-0.0%3.2K-29.0K-3900.00143.83N/AN/A0030122
2021-05-19$39.28$38.0029.5%8.5%17.0%0.0%0.0%2.0%-15.4%1.3K-18.4K-3730.00135.42N/AN/A0030122
2021-05-20$39.89$38.0024.0%6.9%17.7%0.0%0.0%-0.9%2.3%6.2K-51.4K-1480.00141.52N/AN/A0030122
2021-05-21$39.83$38.0021.0%6.0%17.1%0.0%0.0%7.1%5.5%2.1K-39.0K-2730.00136.91N/AN/A0030122
2021-05-24$40.21$38.0017.8%5.1%17.4%0.0%0.0%5.5%1.7%6.8K-60.0K-1450.00134.78N/AN/A0030122
2021-05-25$40.02$38.0024.5%7.0%17.5%0.0%0.0%1.7%-0.0%7.9K-53.3K-1370.00145.10N/AN/A0030122
2021-05-26$40.21$38.0024.8%7.1%17.5%0.0%0.0%7.5%2.1%8.8K-59.2K-1290.00147.41N/AN/A0030122
2021-05-27$40.39$38.0019.5%5.6%17.6%0.0%0.0%3.1%-4.2%6.7K-58.8K-1870.00139.26N/AN/A0030122
2021-05-28$40.46$38.0015.5%4.4%17.0%0.0%0.0%-0.5%4.9%8.0K-66.1K-1330.00130.67N/AN/A0030122