SECT Options History — June 2021 In June 2021, SECT traded between $39.90 and $41.15. ATM implied volatility averaged 24.1%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 12.9% (HV 20d: 11.2%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.23.
Notable Days 2021-06-23 : Highest Volume — 26 contracts2021-06-11 : Largest IV spike — 86.9% change2021-06-28 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $40.69 $39.90 $41.15 $40.50 $41.15 Max Pain $38.90 $38.00 $39.00 $38.00 $39.00 ATM IV 24.1% 14.2% 34.6% 18.1% 23.6% Expected Move 6.6% 4.1% 9.2% 5.2% 6.8% HV 20d 11.2% 8.0% 16.8% 16.8% 8.5% HV 60d 13.4% 12.5% 14.4% 14.4% 12.5% Term Structure -5.9% -17.1% 7.4% 7.4% -4.4% VWIV 21.6% 21.6% 21.6% 21.6% 21.6% Skew 25d 0.6% -14.4% 8.6% -3.1% -1.4% Skew 10d 3.1% -17.0% 17.1% 1.4% -3.8% Call IV 25d 19.5% 11.5% 35.2% 25.4% 15.3% Put IV 25d 20.1% 13.9% 26.9% 22.3% 13.9% Bid-Ask Spread % 136.81 126.14 146.80 146.05 126.14 Gamma HHI 0.35 0.21 0.95 0.31 0.35 Net GEX 6.7K 1.3K 32.1K 9.2K 1.5K Net DEX -54.6K -78.3K -23.0K -66.8K -24.9K Net VEX -91 -133 -45 -119 -54 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.23 0.00 0.50 0.50 0.44 Total Volume 2.727 0 26 0 0 Total OI 123.273 69 155 152 69
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 2021-06-01 $40.50 $38.00 18.1% 5.2% 16.8% 0.0% 0.0% -3.1% 7.4% 9.2K -66.8K -119 0.00 146.05 N/A N/A 0 0 30 122 2021-06-02 $40.49 $38.00 24.4% 7.0% 16.5% 0.0% 0.0% 6.6% 4.5% 11.4K -67.6K -103 0.00 146.80 N/A N/A 0 0 30 122 2021-06-03 $40.37 $0.00 24.9% 7.5% 16.2% 0.0% 21.6% 0.4% -6.9% 8.2K -62.2K -114 0.50 133.02 N/A N/A 2 1 30 122 2021-06-04 $40.70 $39.00 29.5% 7.5% 16.4% 0.0% 0.0% 2.3% -3.1% 9.0K -74.4K -133 0.00 140.16 N/A N/A 1 0 32 123 2021-06-07 $40.76 $39.00 29.4% 7.0% 15.6% 0.0% 0.0% 6.4% -10.0% 9.6K -74.7K -110 0.00 136.81 N/A N/A 0 0 31 123 2021-06-08 $40.85 $39.00 34.6% 5.4% 15.1% 0.0% 0.0% 3.3% -3.2% 7.3K -78.3K -117 0.00 134.85 N/A N/A 0 0 31 123 2021-06-09 $40.68 $39.00 22.6% 6.5% 14.4% 0.0% 0.0% -3.1% -8.0% 8.4K -71.4K -126 0.00 133.56 N/A N/A 0 0 31 123 2021-06-10 $40.73 $39.00 14.2% 4.1% 11.6% 0.0% 0.0% 1.5% -0.7% 6.9K -74.6K -122 0.00 134.18 N/A N/A 3 0 31 123 2021-06-11 $40.82 $39.00 26.5% 7.6% 10.6% 0.0% 0.0% 5.4% -11.5% 4.5K -73.2K -130 0.00 140.82 N/A N/A 0 0 31 123 2021-06-14 $40.75 $39.00 22.5% 6.4% 9.6% 0.0% 0.0% 2.0% -11.6% 5.9K -73.5K -103 0.00 141.07 N/A N/A 1 0 31 123 2021-06-15 $40.75 $39.00 22.9% 6.6% 9.5% 0.0% 0.0% 8.6% -13.3% 6.2K -74.3K -99 0.00 141.85 N/A N/A 0 0 31 123 2021-06-16 $40.67 $39.00 23.0% 6.6% 9.4% 0.0% 0.0% 2.4% -3.7% 6.4K -72.5K -90 0.00 140.00 N/A N/A 0 0 31 123 2021-06-17 $40.50 $39.00 18.6% 5.3% 8.0% 0.0% 0.0% -5.2% 4.1% 7.9K -71.8K -92 0.00 132.88 N/A N/A 0 0 31 123 2021-06-18 $39.90 $39.00 29.3% 8.4% 8.3% 0.0% 0.0% -13.1% -13.7% 32.1K -44.4K -82 0.00 128.94 N/A N/A 0 0 31 123 2021-06-21 $40.30 $39.00 22.3% 6.4% 9.0% 0.0% 0.0% 2.7% -1.5% 2.4K -31.5K -63 0.00 138.50 N/A N/A 0 0 14 58 2021-06-22 $40.57 $39.00 21.1% 6.0% 8.6% 0.0% 0.0% 7.6% -8.1% 2.1K -33.9K -55 0.00 136.87 N/A N/A 0 0 14 58 2021-06-23 $40.63 $39.00 25.6% 7.3% 8.4% 0.0% 0.0% 6.0% -6.2% 2.4K -37.1K -45 0.44 140.92 N/A N/A 18 8 14 58 2021-06-24 $40.86 $39.00 18.1% 5.2% 8.5% 0.0% 0.0% 5.1% 0.8% 1.4K -23.4K -61 0.00 127.32 N/A N/A 0 0 11 58 2021-06-25 $41.05 $39.00 24.5% 7.0% 8.5% 0.0% 0.0% -3.5% -11.9% 1.3K -23.0K -64 0.00 131.43 N/A N/A 0 0 11 58 2021-06-28 $41.06 $39.00 32.0% 9.2% 8.5% 0.0% 0.0% -14.4% -17.1% 1.7K -23.5K -53 0.00 144.41 N/A N/A 0 0 11 58 2021-06-29 $41.11 $39.00 21.9% 6.3% 8.5% 0.0% 0.0% -2.2% -11.8% 1.4K -24.6K -57 0.44 133.17 N/A N/A 18 8 11 58 2021-06-30 $41.15 $39.00 23.6% 6.8% 8.5% 0.0% 0.0% -1.4% -4.4% 1.5K -24.9K -54 0.00 126.14 N/A N/A 0 0 11 58
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