S Options History — August 2015

In August 2015, S traded between $3.15 and $5.17. ATM implied volatility averaged 62.1%, placing in the 78.9% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 23.0% (HV 20d: 85.0%). Max pain ranged from $3.00 to $4.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2015-08-17: Highest Volume — 48,096 contracts
  • 2015-08-04: Largest IV drop — 12.4% change
  • 2015-08-21: Highest IV Rank — 100.0%
  • 2015-08-24: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.26$3.15$5.17$3.34$5.07
Max Pain$3.74$3.00$4.50$4.50$4.00
ATM IV62.1%53.5%73.2%62.0%68.7%
Expected Move18.1%15.2%22.2%20.3%19.8%
HV 20d85.0%71.5%96.8%71.5%78.9%
HV 60d60.9%46.8%67.3%46.8%65.9%
IV Rank78.9%56.6%100.0%83.8%87.7%
IV Percentile93.8%79.4%100.0%96.4%99.2%
Term Structure-1.4%-4.2%2.9%-2.4%-0.7%
VWIV64.5%54.2%78.0%73.9%69.9%
Skew 25d-0.8%-11.1%16.9%-3.2%1.1%
Skew 10d-1.6%-30.6%30.5%-26.7%11.8%
Call IV 25d65.2%56.9%71.8%68.1%67.4%
Put IV 25d64.4%53.6%88.7%64.9%68.5%
Bid-Ask Spread %14.127.4827.9515.6613.46
Gamma HHI0.200.140.280.170.18
Net GEX144.9K-107.9K433.2K61.1K-107.9K
Net DEX-2.5M-34.0M27.4M22.4M-15.1M
Net VEX-301.4K-388.6K-184.9K-216.9K-388.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.173.570.600.58
Total Volume22,999.9529,18748,09613,16219,979
Total OI417,517.429380,050460,033405,552407,772

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$3.34$4.5062.0%20.3%71.5%83.8%73.9%-3.2%-2.4%61.1K22.4M-216.9K0.6015.66N/AN/A8,2284,934236,790168,762
2015-08-04$3.49$4.5054.3%16.6%74.3%59.0%58.2%-8.0%-1.2%146.9K20.6M-228.7K0.5711.86N/AN/A12,0296,798242,714170,305
2015-08-05$3.15$4.5058.4%17.3%77.2%72.2%62.3%-5.1%-4.2%7.8K27.4M-184.9K0.417.56N/AN/A13,1265,445244,303170,706
2015-08-06$3.30$3.0061.9%16.3%79.8%83.5%58.9%-11.1%-2.0%64.4K23.9M-213.7K0.3615.04N/AN/A11,8184,247250,737171,103
2015-08-07$3.37$3.0057.4%15.7%79.9%68.9%58.1%-1.0%-2.9%114.2K22.7M-220.7K1.0912.81N/AN/A4,4044,783255,176171,205
2015-08-10$3.83$3.0053.5%15.2%92.8%56.6%54.2%1.2%-0.7%238.7K12.5M-262.2K0.2215.17N/AN/A25,4055,480250,204169,492
2015-08-11$3.85$3.5057.1%16.5%88.9%68.0%57.8%-2.9%0.9%217.7K10.6M-273.9K0.1714.01N/AN/A12,5512,195246,569169,632
2015-08-12$3.88$3.5059.3%17.1%87.8%75.0%65.1%2.7%-0.2%241.6K12.4M-268.3K0.7015.13N/AN/A7,2515,063248,187170,684
2015-08-13$3.90$3.5058.8%16.5%86.9%73.5%60.2%-7.3%-2.7%289.1K9.7M-272.4K0.7510.95N/AN/A7,0685,280250,337170,891
2015-08-14$4.18$3.5057.5%16.2%89.6%69.2%57.2%2.0%-2.8%336.8K835.2K-292.0K0.3812.65N/AN/A13,1975,062252,007171,308
2015-08-17$4.62$3.5057.6%16.4%95.7%69.6%61.9%-5.8%-1.6%433.2K-20.1M-319.3K0.347.87N/AN/A35,78912,307249,519170,952
2015-08-18$4.86$3.5060.7%17.4%96.3%79.5%61.3%-2.3%-1.8%233.7K-32.0M-333.6K0.817.48N/AN/A16,64613,491251,183183,559
2015-08-19$4.92$3.5060.6%17.4%96.3%79.4%61.3%-6.3%-1.3%257.7K-34.0M-343.0K1.4110.35N/AN/A11,88716,758255,778189,628
2015-08-20$4.70$3.5062.2%17.9%96.8%84.3%63.0%-5.0%-4.2%129.3K-22.3M-347.8K1.2318.03N/AN/A11,43414,061253,289201,381
2015-08-21$4.71$4.0067.7%19.6%92.6%100.0%68.1%2.5%-2.1%91.9K-22.7M-357.4K2.2614.40N/AN/A9,85722,273252,859207,174
2015-08-24$4.63$4.0073.2%22.2%82.4%100.0%78.0%16.9%2.9%7.5K-6.9M-352.1K1.4327.95N/AN/A13,62319,519197,310182,740
2015-08-25$4.70$4.0071.9%21.8%80.6%96.5%75.6%5.8%2.3%28.8K-9.9M-355.0K2.7118.80N/AN/A5,57715,114200,949191,021
2015-08-26$4.82$4.0068.2%20.3%79.8%86.6%73.1%2.3%-0.5%22.5K-9.5M-354.4K1.2522.30N/AN/A7,7259,621197,806194,773
2015-08-27$5.07$4.0066.7%19.2%79.5%82.6%68.0%7.6%-2.4%173.3K-19.7M-367.1K1.3513.28N/AN/A8,65311,675199,685196,618
2015-08-28$5.17$4.0065.9%19.9%78.3%80.5%69.2%-0.0%-2.1%54.8K-24.1M-376.8K3.5711.70N/AN/A9,33033,316201,837200,921
2015-08-31$5.07$4.0068.7%19.8%78.9%87.7%69.9%1.1%-0.7%-107.9K-15.1M-388.6K0.5813.46N/AN/A12,6537,326195,871211,901