S Options History — April 2015

In April 2015, S traded between $4.72 and $5.30. ATM implied volatility averaged 45.9%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 18.0% (HV 20d: 27.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2015-04-30: Highest Volume — 54,493 contracts
  • 2015-04-22: Largest IV spike — 4.9% change
  • 2015-04-30: Highest IV Rank — 37.6%
  • 2015-04-29: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.06$4.72$5.30$4.72$5.11
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV45.9%43.6%48.0%47.0%47.8%
Expected Move13.3%12.6%14.6%13.0%14.6%
HV 20d27.8%21.7%35.1%35.0%26.3%
HV 60d41.0%39.1%41.8%41.2%39.1%
IV Rank25.8%21.8%37.6%26.5%37.6%
IV Percentile23.1%11.9%40.9%27.0%40.9%
Term Structure-0.4%-2.9%5.1%5.1%0.2%
VWIV46.4%42.6%51.7%42.6%51.7%
Skew 25d2.9%-2.0%18.9%18.9%-2.0%
Skew 10d9.5%-7.6%41.8%41.8%-0.7%
Call IV 25d46.2%43.3%54.2%54.2%49.4%
Put IV 25d49.1%45.6%73.2%73.2%47.4%
Bid-Ask Spread %6.374.299.714.744.79
Gamma HHI0.380.150.770.370.19
Net GEX976.3K175.5K3.3M664.1K243.9K
Net DEX-12.2M-26.5M-2.8M-3.3M-4.5M
Net VEX-314.7K-342.8K-293.1K-318.5K-342.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.034.360.613.09
Total Volume19,392.4768,09954,49311,28954,493
Total OI338,338.905301,119368,385341,341368,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$4.72$5.0047.0%13.0%35.0%26.5%42.6%18.9%5.1%664.1K-3.3M-318.5K0.614.74N/AN/A7,0194,270218,547122,794
2015-04-02$4.87$5.0045.5%13.7%34.9%24.3%47.4%-0.7%-1.8%904.6K-7.8M-313.4K0.506.39N/AN/A8,3824,165219,654123,404
2015-04-06$4.98$5.0046.6%13.2%35.1%25.8%46.2%1.2%-0.3%1.2M-13.0M-308.6K0.489.03N/AN/A9,1124,406221,401121,789
2015-04-07$5.00$5.0048.0%13.0%34.1%27.8%46.5%4.9%-2.4%1.2M-15.3M-308.5K1.188.42N/AN/A3,7074,392219,603121,786
2015-04-08$4.91$5.0047.7%12.9%28.0%27.4%45.8%1.4%-2.6%1.2M-11.6M-307.3K0.038.79N/AN/A31,395974220,228120,842
2015-04-09$4.93$5.0046.8%13.5%28.1%26.2%47.0%1.7%1.3%1.3M-11.5M-304.5K1.277.31N/AN/A4,1955,313220,581121,589
2015-04-10$4.97$5.0045.3%13.0%28.0%24.2%46.3%1.0%0.6%1.4M-13.2M-303.3K0.989.71N/AN/A4,6324,517221,896122,088
2015-04-13$5.00$5.0045.4%12.9%28.0%24.3%45.6%1.4%0.1%1.7M-14.8M-305.8K0.908.41N/AN/A4,4944,066220,612121,520
2015-04-14$4.99$5.0044.5%12.7%27.9%23.0%45.8%2.7%0.2%2.2M-13.4M-304.5K0.826.18N/AN/A5,3824,398221,240122,544
2015-04-15$5.04$5.0044.3%12.7%27.9%22.8%45.1%2.5%0.3%2.7M-17.8M-298.4K0.676.45N/AN/A5,7443,851222,615123,859
2015-04-16$5.11$5.0044.8%12.8%28.4%23.4%44.4%3.4%1.0%3.3M-26.2M-293.1K1.796.12N/AN/A7,52913,457223,272123,865
2015-04-17$5.10$5.0045.1%12.8%27.6%23.8%44.9%1.8%0.7%217.8K-26.5M-311.8K1.566.66N/AN/A7,37511,498223,658130,087
2015-04-20$5.00$5.0043.7%12.6%28.4%22.0%44.6%1.7%-0.4%213.8K-5.2M-298.1K4.364.29N/AN/A4,02417,552180,085121,034
2015-04-21$4.98$5.0043.6%12.8%26.8%21.8%45.0%2.9%0.1%175.5K-2.8M-320.8K1.995.05N/AN/A3,7897,531180,934133,144
2015-04-22$5.08$5.0045.7%13.0%26.6%24.7%45.2%4.7%-1.9%178.4K-5.0M-313.3K1.834.58N/AN/A4,5858,395181,105133,881
2015-04-23$5.25$5.0046.0%12.8%23.3%25.1%44.2%3.8%-1.4%266.8K-10.8M-318.9K0.694.60N/AN/A9,1016,261181,841134,674
2015-04-24$5.27$5.0044.5%13.2%23.3%23.0%45.4%0.7%-2.4%305.6K-11.8M-318.1K1.575.73N/AN/A10,44416,411184,804134,859
2015-04-27$5.26$5.0046.0%14.5%22.3%25.1%50.0%3.0%-0.8%360.1K-13.1M-338.3K1.766.32N/AN/A15,81127,760188,991143,945
2015-04-28$5.30$5.0046.9%14.3%22.2%26.3%49.8%5.1%-1.4%410.2K-13.9M-342.8K3.385.22N/AN/A5,08717,171199,526153,807
2015-04-29$5.30$5.0047.7%14.6%21.7%37.4%50.6%0.4%-2.9%412.3K-13.8M-337.9K3.755.10N/AN/A7,27627,278200,511154,117
2015-04-30$5.11$5.0047.8%14.6%26.3%37.6%51.7%-2.0%0.2%243.9K-4.5M-342.5K3.094.79N/AN/A13,33241,161204,018164,367