S Options History — January 2015

In January 2015, S traded between $4.08 and $4.39. ATM implied volatility averaged 54.7%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 17.5% (HV 20d: 37.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-01-05: Highest Volume — 43,759 contracts
  • 2015-01-15: Largest IV spike — 32.3% change
  • 2015-01-13: Highest IV Rank — 37.3%
  • 2015-01-21: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.23$4.08$4.39$4.25$4.31
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV54.7%43.6%63.0%59.2%55.6%
Expected Move15.7%14.7%17.1%16.6%15.2%
HV 20d37.2%26.0%51.8%51.8%28.8%
HV 60d57.3%56.2%58.1%57.8%57.0%
IV Rank28.5%16.8%37.3%33.3%29.5%
IV Percentile65.4%11.1%91.3%83.3%71.8%
Term Structure1.1%-10.2%16.2%0.3%-1.4%
VWIV56.1%53.2%59.7%56.5%54.1%
Skew 25d4.5%-8.4%21.7%12.7%0.4%
Skew 10d3.3%-32.0%25.7%25.7%18.4%
Call IV 25d58.1%49.2%70.3%56.8%57.3%
Put IV 25d62.6%49.9%76.6%69.5%57.7%
Bid-Ask Spread %7.174.5414.055.677.42
Gamma HHI0.220.150.330.150.20
Net GEX111.4K-48.4K247.8K135.4K179.8K
Net DEX29.2M-836.4K53.4M53.3M1.5M
Net VEX-240.4K-257.7K-222.4K-228.1K-246.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.162.401.421.15
Total Volume15,568.151,67943,75914,93810,531
Total OI438,433.15265,703581,938556,796281,377

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$4.25$5.0059.2%16.6%51.8%33.3%56.5%12.7%0.3%135.4K53.3M-228.1K1.425.67N/AN/A6,1648,774339,241217,555
2015-01-05$4.21$5.0059.0%16.6%49.0%33.1%59.7%14.9%2.0%90.7K53.4M-223.9K0.336.13N/AN/A32,82210,937337,245219,242
2015-01-06$4.19$5.0057.0%16.5%49.0%31.0%57.5%16.5%2.9%106.9K51.8M-238.1K1.346.28N/AN/A1,7112,289342,979221,576
2015-01-07$4.22$5.0046.2%15.6%49.0%19.5%54.7%10.1%3.7%92.0K52.3M-239.5K0.925.63N/AN/A927857343,454223,503
2015-01-08$4.17$5.0052.5%16.5%47.9%26.2%57.1%21.7%12.0%73.7K52.8M-222.4K1.106.10N/AN/A12,40313,619343,904223,714
2015-01-09$4.13$5.0053.9%15.5%45.6%27.7%55.6%8.2%-10.2%95.8K52.0M-238.4K1.254.54N/AN/A14,17317,782348,647226,505
2015-01-12$4.13$5.0057.3%16.3%45.5%31.3%57.9%11.2%-1.0%-1.2K52.1M-248.0K2.366.12N/AN/A7,19916,956351,080230,858
2015-01-13$4.15$5.0063.0%15.6%37.9%37.3%55.5%13.0%-2.0%-10.1K52.9M-235.6K1.715.51N/AN/A7,59213,006351,794229,280
2015-01-14$4.14$5.0043.6%15.6%37.5%16.8%57.1%-5.9%16.2%-16.8K51.3M-241.5K2.406.36N/AN/A4,66911,216351,919227,174
2015-01-15$4.09$5.0057.7%15.3%30.7%31.7%54.4%6.6%4.6%-48.4K50.7M-241.0K1.165.47N/AN/A7,1348,251351,902226,627
2015-01-16$4.08$5.0053.9%14.7%26.8%27.6%53.8%-1.4%-2.2%21.0K50.0M-234.4K1.075.20N/AN/A3,2013,428354,245227,544
2015-01-20$4.16$5.0055.0%15.7%26.0%28.8%55.5%3.7%1.7%85.7K4.4M-237.6K0.427.28N/AN/A2,8081,176163,735101,968
2015-01-21$4.39$5.0059.5%17.1%31.7%33.6%59.1%-1.2%-3.3%147.7K-836.4K-257.7K0.2114.05N/AN/A14,1292,973165,652102,808
2015-01-22$4.28$5.0053.4%15.3%33.0%27.2%54.8%-5.3%-0.5%240.9K1.0M-242.0K0.588.17N/AN/A14,9208,656174,807104,965
2015-01-23$4.27$5.0051.9%14.8%32.9%25.6%53.2%-8.4%-1.6%189.5K1.8M-246.2K0.789.06N/AN/A11,5869,079176,723106,194
2015-01-26$4.37$5.0053.3%15.2%33.5%27.1%53.6%2.6%-1.3%211.6K224.4K-251.3K0.1611.63N/AN/A2,401373173,86198,594
2015-01-27$4.38$5.0053.0%15.2%30.8%26.7%55.2%-4.9%1.4%233.2K-116.0K-255.1K0.537.22N/AN/A1,094585175,01998,853
2015-01-28$4.36$5.0054.0%15.4%28.7%27.8%56.6%-2.2%0.8%247.8K387.2K-245.4K1.306.65N/AN/A5,9377,710175,57199,252
2015-01-29$4.26$5.0055.0%16.2%28.6%28.8%59.1%-2.5%-1.2%153.7K2.4M-235.5K0.878.93N/AN/A6,5815,714178,026101,270
2015-01-30$4.31$5.0055.6%15.2%28.8%29.5%54.1%0.4%-1.4%179.8K1.5M-246.0K1.157.42N/AN/A4,9005,631179,675101,702