S Options History — March 2015

In March 2015, S traded between $4.72 and $5.38. ATM implied volatility averaged 47.0%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 1.8% (HV 20d: 48.8%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-03-05: Highest Volume — 25,124 contracts
  • 2015-03-27: Largest IV spike — 7.6% change
  • 2015-03-03: Highest IV Rank — 33.1%
  • 2015-03-03: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.04$4.72$5.38$5.11$4.73
Max Pain$4.93$4.50$5.00$4.50$5.00
ATM IV47.0%43.5%51.8%50.8%44.7%
Expected Move13.4%11.8%15.6%15.2%13.8%
HV 20d48.8%35.0%54.5%54.5%35.0%
HV 60d43.5%41.1%46.7%46.4%41.2%
IV Rank26.5%21.7%33.1%31.7%23.3%
IV Percentile25.7%10.7%54.8%47.6%14.7%
Term Structure3.5%-3.1%27.6%-1.1%27.6%
VWIV46.7%41.5%53.5%53.5%43.3%
Skew 25d3.7%-7.2%18.1%1.4%-1.6%
Skew 10d8.8%-14.6%50.0%4.5%28.6%
Call IV 25d47.0%34.2%55.1%54.1%55.1%
Put IV 25d50.8%43.2%60.0%55.5%53.4%
Bid-Ask Spread %7.525.4810.807.267.52
Gamma HHI0.380.310.580.370.37
Net GEX1.2M631.1K1.7M1.4M688.2K
Net DEX-25.6M-50.6M-3.5M-36.2M-5.3M
Net VEX-330.9K-360.3K-296.1K-350.3K-323.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.062.940.480.67
Total Volume8,911.2732,62025,12415,0149,280
Total OI354,199.364325,151370,251352,861339,678

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$5.11$4.5050.8%15.2%54.5%31.7%53.5%1.4%-1.1%1.4M-36.2M-350.3K0.487.26N/AN/A10,1614,853248,674104,187
2015-03-03$5.24$4.5051.8%15.6%54.4%33.1%53.0%5.4%-3.1%1.4M-41.2M-358.1K0.377.25N/AN/A13,1674,905251,956104,518
2015-03-04$5.21$4.5051.8%15.2%51.2%33.0%53.2%2.8%-1.3%1.5M-41.0M-357.6K0.675.48N/AN/A5,5053,703252,993104,378
2015-03-05$5.38$5.0049.6%13.7%52.0%30.0%47.2%5.1%-1.6%1.5M-50.6M-357.4K0.607.71N/AN/A15,7449,380253,176104,321
2015-03-06$5.23$5.0049.2%14.3%48.8%29.5%48.7%-1.6%0.1%1.4M-40.7M-360.3K0.4310.80N/AN/A11,7805,116256,893109,551
2015-03-09$5.34$5.0049.0%13.9%49.1%29.1%50.9%3.6%0.1%1.5M-44.9M-358.8K1.048.88N/AN/A2,8852,989251,904107,750
2015-03-10$5.04$5.0050.0%14.4%53.4%30.6%50.1%-1.9%0.5%1.3M-29.3M-335.8K0.438.47N/AN/A4,3461,865251,567109,701
2015-03-11$5.05$5.0046.8%13.8%53.2%26.2%47.5%1.9%0.7%1.3M-27.3M-335.1K0.069.22N/AN/A5,015283252,605110,047
2015-03-12$5.10$5.0046.2%13.4%52.8%25.3%47.0%3.1%0.6%1.4M-29.8M-332.9K1.017.34N/AN/A1,7021,720254,281110,251
2015-03-13$5.12$5.0047.1%13.2%52.3%26.6%46.1%2.4%-1.5%1.5M-30.9M-337.4K0.567.29N/AN/A4,4832,489254,454111,240
2015-03-16$5.15$5.0046.8%13.4%52.1%26.2%45.6%5.0%-1.1%1.5M-30.9M-334.7K1.498.14N/AN/A1,7112,547253,981110,830
2015-03-17$5.09$5.0046.4%13.2%52.2%25.6%47.7%1.1%0.0%1.5M-27.9M-325.2K2.947.38N/AN/A1,1533,389253,962112,558
2015-03-18$5.08$5.0043.5%12.5%50.1%21.7%43.8%0.9%-0.2%1.6M-27.1M-332.4K0.139.02N/AN/A2,616335254,280114,820
2015-03-19$4.99$5.0043.9%12.6%50.1%22.2%44.2%4.3%-1.1%1.7M-21.0M-311.0K0.687.28N/AN/A1,5591,061254,493114,960
2015-03-20$4.95$5.0045.4%12.5%50.1%24.2%44.8%0.1%13.0%768.2K-15.1M-313.0K0.407.51N/AN/A6,5282,619254,587115,664
2015-03-23$5.08$5.0043.5%12.2%49.0%21.7%43.0%18.1%2.3%886.8K-21.2M-319.4K0.386.01N/AN/A2,8741,080218,296106,855
2015-03-24$4.97$5.0046.0%11.8%49.6%25.0%42.8%15.9%0.6%872.9K-18.0M-310.3K1.696.46N/AN/A2,6184,422219,751107,578
2015-03-25$4.76$5.0044.4%12.9%46.3%22.8%44.4%-0.6%6.4%712.4K-8.2M-296.1K2.616.97N/AN/A2,4086,275220,251111,345
2015-03-26$4.79$5.0044.3%11.9%44.6%22.7%41.5%11.4%13.2%732.8K-6.6M-303.9K2.725.92N/AN/A4,31611,735221,439117,207
2015-03-27$4.72$5.0047.6%12.9%36.2%27.3%43.7%12.4%21.1%631.1K-3.5M-311.1K0.866.88N/AN/A2,6362,263222,499124,482
2015-03-30$4.77$5.0045.4%13.0%36.6%24.3%45.2%-7.2%2.3%676.0K-7.1M-316.5K0.846.66N/AN/A5,7244,808216,115122,308
2015-03-31$4.73$5.0044.7%13.8%35.0%23.3%43.3%-1.6%27.6%688.2K-5.3M-323.4K0.677.52N/AN/A5,5633,717217,401122,277