S Options History — February 2015

In February 2015, S traded between $4.27 and $5.21. ATM implied volatility averaged 51.7%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 10.2% (HV 20d: 41.5%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.05.

Notable Days

  • 2015-02-04: Highest Volume — 50,391 contracts
  • 2015-02-05: Largest IV drop — 17.0% change
  • 2015-02-04: Highest IV Rank — 37.7%
  • 2015-02-04: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.86$4.27$5.21$4.27$5.12
Max Pain$4.50$4.00$5.00$5.00$4.50
ATM IV51.7%47.8%63.4%58.4%48.6%
Expected Move15.2%13.6%20.9%18.9%14.2%
HV 20d41.5%27.8%54.4%27.8%54.4%
HV 60d43.5%41.5%46.7%41.5%46.7%
IV Rank30.9%26.3%37.7%32.4%28.7%
IV Percentile47.6%27.4%91.7%80.2%32.9%
Term Structure-0.7%-3.9%1.8%-3.4%-0.9%
VWIV54.1%47.7%75.4%65.7%49.9%
Skew 25d0.8%-2.4%5.2%-1.6%2.7%
Skew 10d1.1%-11.4%19.8%19.8%15.8%
Call IV 25d54.0%45.3%64.8%62.2%49.0%
Put IV 25d54.8%49.3%65.9%60.6%51.6%
Bid-Ask Spread %7.595.2213.688.356.36
Gamma HHI0.270.190.350.190.35
Net GEX607.8K183.7K1.0M183.7K1.0M
Net DEX-16.6M-31.0M1.6M1.6M-31.0M
Net VEX-303.3K-340.4K-238.4K-238.4K-340.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.214.514.510.21
Total Volume25,754.7896,04950,39117,16642,279
Total OI323,543.368277,545359,261277,545333,547

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$4.27$5.0058.4%18.9%27.8%32.4%65.7%-1.6%-3.4%183.7K1.6M-238.4K4.518.35N/AN/A3,11314,053177,62499,921
2015-02-03$4.54$5.0057.6%18.7%35.0%31.6%71.5%2.3%0.1%189.4K-4.0M-269.9K0.385.76N/AN/A26,96010,217178,751111,021
2015-02-04$4.58$5.0063.4%20.9%34.8%37.7%75.4%1.1%-3.9%370.4K-9.4M-292.0K0.497.67N/AN/A33,81716,574202,258115,753
2015-02-05$4.89$4.0052.6%15.4%41.0%26.3%55.2%4.6%0.7%853.9K-25.7M-305.3K0.2511.04N/AN/A31,7907,795224,687124,922
2015-02-06$4.94$4.0048.9%15.3%40.4%29.0%53.3%2.0%0.4%627.3K-25.4M-305.0K0.6813.68N/AN/A13,3609,149235,222124,039
2015-02-09$4.86$4.0053.1%15.6%40.9%34.8%54.9%-0.1%1.8%590.1K-16.8M-312.2K0.688.02N/AN/A9,9416,799211,696113,217
2015-02-10$4.93$4.5052.1%14.7%40.8%33.4%53.7%-2.1%-0.5%708.9K-19.6M-309.1K0.636.80N/AN/A9,5085,996215,380114,281
2015-02-11$5.03$4.5050.1%14.7%41.0%30.7%51.1%2.3%1.0%784.1K-22.3M-316.5K1.288.57N/AN/A8,15110,436217,302114,870
2015-02-12$5.14$4.5050.6%14.2%40.9%31.3%48.5%1.4%-0.9%819.1K-27.3M-325.9K0.929.24N/AN/A8,7528,088217,916114,170
2015-02-13$5.21$4.5049.9%14.2%40.0%30.4%50.0%-0.6%-1.0%730.2K-30.3M-319.6K1.005.43N/AN/A13,70713,747218,886115,070
2015-02-17$5.17$4.5050.8%14.5%40.3%31.7%51.5%0.5%-0.7%736.7K-26.9M-322.9K1.756.99N/AN/A8,39314,718218,907117,136
2015-02-18$4.97$4.5051.7%14.8%44.1%32.9%52.9%-1.2%-3.0%726.2K-18.3M-311.3K1.249.05N/AN/A14,08317,413221,309120,816
2015-02-19$4.88$4.5050.1%14.4%41.7%30.6%50.5%-1.7%-1.6%648.6K-13.8M-313.6K0.576.22N/AN/A3,8512,198224,566123,951
2015-02-20$4.83$4.5049.1%14.1%40.6%29.4%50.7%-1.4%-0.2%469.1K-9.6M-301.2K1.267.80N/AN/A6,4208,070224,415125,040
2015-02-23$4.67$4.5048.8%13.6%42.9%28.9%47.7%1.7%0.3%381.6K-4.8M-278.7K1.966.18N/AN/A6,57712,874186,807100,192
2015-02-24$4.62$4.5049.8%13.7%42.6%30.3%49.3%3.1%-1.7%353.6K-4.2M-282.2K1.365.46N/AN/A7,2979,914189,151102,718
2015-02-25$4.94$4.5047.8%13.6%48.3%27.6%48.7%5.2%0.2%620.2K-14.2M-308.5K0.305.22N/AN/A32,0409,519190,682103,151
2015-02-26$4.77$4.5049.0%14.0%50.4%29.2%47.8%-2.4%-0.6%733.2K-14.1M-309.2K0.566.34N/AN/A20,38511,357214,700103,250
2015-02-27$5.12$4.5048.6%14.2%54.4%28.7%49.9%2.7%-0.9%1.0M-31.0M-340.4K0.216.36N/AN/A35,0727,207228,051105,496