S Options History — June 2015 In June 2015, S traded between $4.41 and $4.75. ATM implied volatility averaged 42.0%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 11.4% (HV 20d: 30.6%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.98.
Notable Days 2015-06-11 : Highest Volume — 34,126 contracts2015-06-04 : Largest IV spike — 5.9% change2015-06-04 : Highest IV Rank — 32.3%2015-06-01 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $4.61 $4.41 $4.75 $4.64 $4.56 Max Pain $4.64 $4.50 $5.00 $5.00 $4.50 ATM IV 42.0% 38.7% 45.0% 42.1% 43.0% Expected Move 11.9% 10.9% 12.9% 12.9% 11.5% HV 20d 30.6% 21.6% 33.3% 23.0% 33.3% HV 60d 28.8% 27.4% 30.1% 28.5% 27.4% IV Rank 26.8% 20.7% 32.3% 26.9% 28.6% IV Percentile 14.0% 6.0% 24.6% 13.9% 16.3% Term Structure 0.6% -2.0% 5.3% 0.1% 1.6% VWIV 41.3% 36.5% 46.7% 46.7% 39.4% Skew 25d -0.9% -3.2% 3.3% -2.3% -0.4% Skew 10d -3.8% -13.2% 11.4% -3.1% 11.4% Call IV 25d 44.1% 39.4% 48.1% 45.3% 44.3% Put IV 25d 43.2% 39.2% 48.9% 43.0% 43.9% Bid-Ask Spread % 7.34 4.40 11.40 4.79 6.78 Gamma HHI 0.42 0.31 0.52 0.48 0.44 Net GEX 140.3K -894.8K 2.1M 1.5M -623.3K Net DEX 12.6M -12.0M 20.9M -1.3M 17.6M Net VEX -339.9K -395.0K -313.7K -388.6K -326.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.98 0.54 4.35 3.35 1.80 Total Volume 16,746.409 5,842 34,126 20,536 10,017 Total OI 502,763.545 355,221 581,621 553,236 370,466
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-06-01 $4.64 $5.00 42.1% 12.9% 23.0% 26.9% 46.7% -2.3% 0.1% 1.5M -1.3M -388.6K 3.35 4.79 N/A N/A 4,726 15,810 353,469 199,767 2015-06-02 $4.69 $5.00 43.5% 12.9% 23.5% 29.6% 46.5% -0.1% -0.9% 1.6M -4.2M -388.3K 0.54 5.38 N/A N/A 3,800 2,042 353,616 201,541 2015-06-03 $4.75 $5.00 42.5% 12.0% 21.6% 27.6% 44.0% -1.5% -1.7% 2.1M -12.0M -395.0K 2.47 4.40 N/A N/A 5,402 13,368 355,680 202,180 2015-06-04 $4.43 $4.50 45.0% 12.4% 30.4% 32.3% 43.5% -3.2% -1.0% 808.0K 12.4M -349.1K 1.81 7.50 N/A N/A 10,469 18,903 356,526 202,451 2015-06-05 $4.41 $4.50 42.4% 11.8% 29.7% 27.5% 43.3% -0.7% 0.1% 431.9K 19.4M -346.2K 1.88 6.09 N/A N/A 8,390 15,801 359,484 208,880 2015-06-08 $4.51 $4.50 44.0% 12.2% 30.6% 30.4% 43.6% 1.6% -1.4% 626.5K 17.2M -344.4K 2.34 6.17 N/A N/A 5,842 13,688 350,968 210,757 2015-06-09 $4.54 $5.00 42.9% 12.0% 30.4% 28.4% 44.5% -1.7% -0.5% 96.4K 20.9M -339.5K 2.13 7.85 N/A N/A 6,594 14,042 352,635 210,952 2015-06-10 $4.53 $5.00 41.5% 12.1% 30.3% 25.9% 42.5% -1.2% 0.9% 569.8K 16.6M -350.0K 2.13 8.04 N/A N/A 6,680 14,242 354,523 211,427 2015-06-11 $4.68 $5.00 42.0% 12.1% 32.7% 26.7% 43.0% 0.0% 0.6% 1.7M 4.0M -360.9K 4.35 8.68 N/A N/A 6,383 27,743 355,180 212,189 2015-06-12 $4.64 $4.50 40.7% 11.4% 32.3% 24.4% 41.2% 0.7% -1.7% -60.3K 15.3M -343.7K 1.29 10.00 N/A N/A 10,300 13,304 357,133 217,076 2015-06-15 $4.62 $4.50 42.7% 12.2% 31.8% 28.1% 41.1% -2.5% 0.7% -423.5K 18.6M -328.8K 1.86 8.85 N/A N/A 4,602 8,582 360,007 216,519 2015-06-16 $4.64 $4.50 43.3% 12.4% 31.8% 29.3% 40.7% -1.3% -0.2% -894.8K 19.0M -324.2K 2.12 8.19 N/A N/A 3,548 7,521 360,800 218,661 2015-06-17 $4.71 $4.50 43.6% 12.5% 31.9% 29.8% 40.8% -0.9% -2.0% -480.9K 15.1M -330.3K 2.06 11.40 N/A N/A 3,816 7,860 361,042 219,424 2015-06-18 $4.74 $4.50 41.1% 11.7% 31.9% 25.2% 39.0% -1.9% 2.5% -399.2K 13.6M -331.5K 1.18 9.53 N/A N/A 6,188 7,311 360,621 219,585 2015-06-19 $4.71 $4.50 41.8% 12.1% 31.9% 26.4% 38.9% 0.8% -1.2% -293.8K 12.9M -329.8K 1.21 9.03 N/A N/A 6,564 7,948 361,510 220,111 2015-06-22 $4.71 $4.50 40.0% 11.1% 31.6% 23.0% 39.1% -1.2% 2.1% -343.6K 11.3M -323.3K 1.46 6.32 N/A N/A 4,597 6,707 171,755 183,466 2015-06-23 $4.58 $4.50 38.7% 10.9% 32.7% 20.7% 38.1% -2.2% 5.3% -484.9K 15.0M -313.7K 1.95 6.27 N/A N/A 4,002 7,807 173,917 183,886 2015-06-24 $4.62 $4.50 39.3% 10.9% 32.9% 21.7% 36.5% 1.1% 3.8% -510.4K 14.9M -318.5K 1.82 6.66 N/A N/A 3,470 6,300 174,860 185,879 2015-06-25 $4.63 $4.50 39.4% 10.9% 32.7% 21.8% 37.9% -2.8% 3.1% -541.3K 15.5M -315.6K 2.94 6.89 N/A N/A 3,660 10,759 175,318 187,029 2015-06-26 $4.56 $4.50 41.6% 11.0% 33.1% 25.9% 37.6% -2.4% 3.1% -642.5K 16.4M -314.4K 0.71 5.97 N/A N/A 8,496 5,994 176,420 188,503 2015-06-29 $4.51 $4.50 43.7% 11.8% 33.3% 29.9% 41.5% 3.3% -0.4% -627.5K 18.6M -315.4K 2.24 6.65 N/A N/A 4,672 10,471 175,234 189,351 2015-06-30 $4.56 $4.50 43.0% 11.5% 33.3% 28.6% 39.4% -0.4% 1.6% -623.3K 17.6M -326.0K 1.80 6.78 N/A N/A 3,575 6,442 177,646 192,820
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