S Options History — May 2015

In May 2015, S traded between $4.65 and $5.22. ATM implied volatility averaged 39.7%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 10.8% (HV 20d: 28.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.04.

Notable Days

  • 2015-05-26: Highest Volume — 107,253 contracts
  • 2015-05-05: Largest IV drop — 11.2% change
  • 2015-05-01: Highest IV Rank — 35.2%
  • 2015-05-01: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.78$4.65$5.22$5.22$4.65
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV39.7%35.9%46.5%46.5%41.8%
Expected Move11.4%10.3%14.5%14.5%12.4%
HV 20d28.8%24.8%31.4%25.1%24.9%
HV 60d35.6%29.4%39.2%39.2%29.4%
IV Rank22.4%15.4%35.2%35.2%26.3%
IV Percentile7.3%1.6%28.2%28.2%11.9%
Term Structure0.3%-3.9%4.6%-1.1%-0.6%
VWIV39.9%35.3%49.8%49.8%44.4%
Skew 25d-0.8%-4.5%3.7%0.3%-2.9%
Skew 10d-2.9%-15.8%15.6%4.7%-4.1%
Call IV 25d40.5%34.3%47.9%47.7%46.1%
Put IV 25d39.7%33.3%48.0%48.0%43.2%
Bid-Ask Spread %6.093.938.585.614.63
Gamma HHI0.270.210.500.210.50
Net GEX-7.2K-470.7K1.6M307.3K1.6M
Net DEX10.8M-8.2M24.9M-8.2M-5.5M
Net VEX-347.4K-389.8K-321.4K-377.2K-389.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.206.146.142.95
Total Volume33,865.152,120107,25327,09240,549
Total OI432,677.9381,109548,419383,152548,419

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$5.22$5.0046.5%14.5%25.1%35.2%49.8%0.3%-1.1%307.3K-8.2M-377.2K6.145.61N/AN/A3,79223,300208,353174,799
2015-05-04$5.15$5.0046.4%12.2%24.8%34.9%43.6%-1.1%-0.4%214.0K-4.8M-350.5K1.285.58N/AN/A31,79240,748207,660179,662
2015-05-05$4.98$5.0041.1%11.0%27.7%25.2%40.5%-0.8%-2.1%-339.3K7.4M-362.7K5.718.18N/AN/A9,63154,985232,855208,606
2015-05-06$4.81$5.0039.4%11.8%29.7%22.0%40.1%-0.8%0.3%-335.9K13.0M-362.1K2.117.04N/AN/A8,70218,331236,032207,058
2015-05-07$4.71$5.0040.0%11.3%30.5%23.0%36.8%-3.5%0.7%-382.6K18.2M-351.5K2.236.27N/AN/A5,98813,361237,804208,003
2015-05-08$4.77$5.0038.0%11.4%30.7%19.4%39.6%1.2%-0.2%-454.8K18.4M-345.0K0.338.58N/AN/A3,6051,172238,941208,436
2015-05-11$4.70$5.0039.8%11.3%30.9%22.7%38.9%-0.3%-3.0%-463.4K23.8M-332.2K0.417.12N/AN/A2,8101,154234,556207,103
2015-05-12$4.66$5.0038.7%11.1%30.9%20.6%38.0%-0.5%0.0%-426.6K24.9M-324.0K3.395.76N/AN/A4,06113,760235,791206,906
2015-05-13$4.67$5.0039.4%10.4%30.6%21.9%36.8%3.7%-3.9%-470.7K24.5M-321.4K2.776.73N/AN/A5,38914,901236,747208,531
2015-05-14$4.74$5.0036.4%10.6%30.7%16.3%37.0%-2.1%0.9%-358.7K22.1M-333.4K2.126.60N/AN/A6,26013,255238,665209,287
2015-05-15$4.81$5.0037.7%10.6%31.4%18.7%36.9%1.3%-0.2%-162.8K18.1M-341.5K2.185.91N/AN/A6,98015,221240,967208,450
2015-05-18$4.81$5.0035.9%10.3%30.8%15.4%35.3%-1.7%2.3%-193.9K9.5M-335.2K0.205.89N/AN/A1,770350201,937180,529
2015-05-19$4.73$5.0037.2%10.6%31.2%17.8%37.9%-4.5%3.6%-244.4K11.8M-331.0K0.876.56N/AN/A5,4624,744200,517180,592
2015-05-20$4.71$5.0036.7%10.5%30.0%16.9%37.2%-3.6%2.0%-270.3K13.0M-334.7K2.345.87N/AN/A7,23816,933205,318182,726
2015-05-21$4.74$5.0036.9%10.4%27.1%17.1%36.2%0.8%3.7%-272.6K12.7M-328.1K1.395.62N/AN/A12,34617,196206,517182,108
2015-05-22$4.68$5.0037.0%10.3%27.0%17.3%36.3%0.5%4.6%-230.9K10.4M-343.7K2.995.80N/AN/A5,92317,722212,915182,225
2015-05-26$4.74$5.0040.6%12.1%27.8%24.1%40.7%1.1%-0.8%-196.6K11.0M-334.8K0.215.04N/AN/A88,56418,689210,861181,405
2015-05-27$4.71$5.0041.5%11.6%27.4%25.8%44.4%-1.0%0.2%999.8K159.6K-368.7K0.345.08N/AN/A70,31624,174289,016182,222
2015-05-28$4.66$5.0042.2%12.6%27.3%27.1%46.9%-1.7%0.2%1.5M-4.5M-381.4K0.913.93N/AN/A24,21421,915344,566186,473
2015-05-29$4.65$5.0041.8%12.4%24.9%26.3%44.4%-2.9%-0.6%1.6M-5.5M-389.8K2.954.63N/AN/A10,25330,296358,603189,816