S Options History — July 2015 In July 2015, S traded between $3.12 and $4.53. ATM implied volatility averaged 52.8%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 6.3% (HV 20d: 46.5%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.05.
Notable Days 2015-07-14 : Highest Volume — 27,790 contracts2015-07-24 : Largest IV spike — 16.1% change2015-07-30 : Highest IV Rank — 84.1%2015-07-28 : Largest Expected Move — 20.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.82 $3.12 $4.53 $4.53 $3.37 Max Pain $4.66 $4.50 $5.00 $4.50 $4.50 ATM IV 52.8% 44.0% 67.0% 44.4% 59.5% Expected Move 15.2% 11.2% 20.6% 11.5% 19.1% HV 20d 46.5% 21.5% 71.7% 32.9% 71.6% HV 60d 36.8% 27.2% 47.5% 27.4% 46.9% IV Rank 40.7% 22.6% 84.1% 31.2% 74.1% IV Percentile 63.7% 20.6% 99.2% 22.2% 93.7% Term Structure -0.3% -4.1% 7.0% -0.0% -3.9% VWIV 53.8% 38.8% 73.8% 38.9% 64.9% Skew 25d -3.8% -22.9% 4.0% -2.0% -12.4% Skew 10d -13.4% -40.8% 16.2% 8.9% -26.0% Call IV 25d 57.0% 42.9% 75.9% 46.0% 70.5% Put IV 25d 53.3% 44.0% 66.3% 44.0% 58.1% Bid-Ask Spread % 13.44 5.75 87.11 6.93 10.22 Gamma HHI 0.26 0.16 0.49 0.47 0.17 Net GEX -230.5K -710.3K 52.4K -627.9K 38.6K Net DEX 28.3M 18.8M 38.3M 18.8M 23.2M Net VEX -240.1K -308.1K -187.0K -308.1K -213.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.33 2.57 2.57 0.51 Total Volume 16,829.045 8,861 27,790 10,313 20,052 Total OI 374,129.636 360,437 400,007 367,581 400,007
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 2015-07-01 $4.53 $4.50 44.4% 11.5% 32.9% 31.2% 38.9% -2.0% -0.0% -627.9K 18.8M -308.1K 2.57 6.93 N/A N/A 2,887 7,426 177,925 189,656 2015-07-02 $4.49 $4.50 44.0% 11.2% 21.5% 30.5% 38.8% 2.4% -0.5% -710.3K 20.6M -305.2K 2.37 6.57 N/A N/A 3,375 7,985 178,255 190,365 2015-07-06 $4.37 $5.00 45.3% 12.8% 23.7% 24.2% 47.7% 0.8% -1.2% -708.4K 25.7M -287.4K 0.66 8.51 N/A N/A 9,552 6,294 171,819 189,833 2015-07-07 $4.29 $5.00 46.1% 12.7% 22.9% 22.6% 43.2% -1.3% -0.8% -647.4K 26.3M -286.2K 1.35 9.08 N/A N/A 4,648 6,277 171,009 189,428 2015-07-08 $3.95 $5.00 48.8% 13.1% 36.2% 28.6% 42.0% -1.2% -1.5% -384.2K 34.8M -243.5K 1.90 10.39 N/A N/A 7,560 14,391 170,957 189,515 2015-07-09 $3.91 $5.00 48.1% 13.2% 36.1% 27.0% 47.1% -0.9% -0.9% -368.0K 36.3M -237.8K 1.69 6.11 N/A N/A 8,051 13,591 172,030 189,506 2015-07-10 $3.78 $5.00 47.2% 13.1% 34.0% 24.9% 41.1% -0.7% -0.7% -295.7K 38.3M -224.5K 1.31 7.87 N/A N/A 6,308 8,279 173,512 189,754 2015-07-13 $3.72 $5.00 46.1% 13.2% 34.1% 22.6% 45.5% -0.7% 7.0% -280.0K 38.1M -213.5K 1.49 7.68 N/A N/A 6,347 9,479 174,504 187,402 2015-07-14 $4.00 $5.00 50.9% 14.5% 45.2% 33.1% 54.8% 4.0% -0.8% -324.3K 34.8M -237.7K 0.40 5.75 N/A N/A 19,874 7,916 178,026 187,225 2015-07-15 $3.84 $4.50 49.7% 14.7% 46.5% 30.6% 57.1% -5.5% 2.6% -179.4K 32.8M -244.2K 0.66 9.96 N/A N/A 11,992 7,952 190,764 187,879 2015-07-16 $3.97 $4.50 51.9% 15.1% 48.2% 35.5% 54.5% 3.4% 1.3% -101.6K 31.3M -257.0K 0.53 16.43 N/A N/A 10,587 5,645 198,057 188,075 2015-07-17 $3.85 $4.50 53.0% 15.0% 48.5% 37.9% 58.0% -4.3% -0.9% -102.1K 31.7M -249.0K 0.91 16.19 N/A N/A 8,517 7,708 203,705 187,220 2015-07-20 $3.82 $4.50 49.9% 14.1% 48.5% 31.0% 50.2% -9.2% 3.5% -98.1K 25.4M -242.2K 0.89 87.11 N/A N/A 6,478 5,741 196,456 167,768 2015-07-21 $3.77 $4.50 51.5% 14.8% 48.3% 34.5% 52.6% 0.3% -0.3% -98.9K 26.5M -229.4K 1.19 13.77 N/A N/A 4,076 4,868 197,976 167,863 2015-07-22 $3.84 $4.50 52.5% 15.1% 49.0% 36.8% 52.5% 2.5% -2.2% -116.5K 27.8M -231.5K 0.83 8.38 N/A N/A 4,851 4,010 198,446 167,808 2015-07-23 $3.69 $4.50 53.8% 15.5% 49.7% 39.6% 55.7% -8.8% -2.6% -104.0K 27.5M -223.2K 0.44 7.23 N/A N/A 13,862 6,147 199,157 167,524 2015-07-24 $3.46 $4.50 62.5% 17.7% 52.8% 58.8% 66.1% -9.6% 3.8% -35.5K 25.7M -217.0K 0.33 11.87 N/A N/A 20,860 6,851 208,165 163,878 2015-07-27 $3.12 $4.50 64.1% 19.5% 61.5% 62.5% 69.3% -22.9% -4.1% 283 25.0M -187.0K 0.87 10.43 N/A N/A 9,429 8,208 219,005 164,162 2015-07-28 $3.33 $4.50 67.0% 20.6% 68.4% 68.9% 73.8% -5.4% -2.9% -1.8K 25.6M -207.6K 0.33 11.38 N/A N/A 18,815 6,209 222,294 168,132 2015-07-29 $3.50 $4.50 61.3% 18.8% 71.7% 56.1% 65.8% -7.0% 0.2% 52.4K 21.8M -228.8K 0.69 12.99 N/A N/A 9,548 6,580 227,387 169,366 2015-07-30 $3.43 $4.50 62.7% 18.7% 71.7% 84.1% 65.2% -4.7% -2.2% 22.1K 24.6M -207.2K 1.19 10.92 N/A N/A 5,040 5,973 229,709 169,328 2015-07-31 $3.37 $4.50 59.5% 19.1% 71.6% 74.1% 64.9% -12.4% -3.9% 38.6K 23.2M -213.9K 0.51 10.22 N/A N/A 13,276 6,776 230,440 169,567
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