S Options History — September 2015

In September 2015, S traded between $3.73 and $5.03. ATM implied volatility averaged 69.5%, placing in the 86.2% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 20.3% (HV 20d: 49.2%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2015-09-16: Highest Volume — 51,427 contracts
  • 2015-09-28: Largest IV spike — 15.3% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-29: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.60$3.73$5.03$5.01$3.85
Max Pain$4.90$4.00$5.00$4.00$5.00
ATM IV69.5%65.6%83.7%73.6%77.5%
Expected Move20.3%19.0%25.8%22.5%23.1%
HV 20d49.2%33.5%79.2%79.2%47.3%
HV 60d67.1%65.6%70.9%65.8%70.9%
IV Rank86.2%78.8%100.0%100.0%87.0%
IV Percentile97.2%91.7%100.0%100.0%99.2%
Term Structure0.5%-6.7%5.0%5.0%-0.4%
VWIV70.4%60.4%80.0%79.5%80.0%
Skew 25d4.0%0.5%10.9%4.1%4.2%
Skew 10d6.5%-15.7%24.9%15.2%-4.6%
Call IV 25d70.9%65.6%84.2%74.1%80.5%
Put IV 25d74.9%68.0%85.7%78.1%84.7%
Bid-Ask Spread %11.947.2818.8015.2013.33
Gamma HHI0.200.170.260.170.18
Net GEX-383.7K-809.4K-64.9K-64.9K-501.8K
Net DEX11.4M-12.3M43.5M-12.3M43.5M
Net VEX-364.7K-393.6K-315.4K-388.0K-333.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.314.712.023.62
Total Volume21,639.2385,54451,42720,72723,331
Total OI455,190.19418,500504,215418,500502,533

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$5.01$4.0073.6%22.5%79.2%100.0%79.5%4.1%5.0%-64.9K-12.3M-388.0K2.0215.20N/AN/A6,85813,869204,005214,495
2015-09-02$4.99$4.0067.5%21.0%65.9%83.8%73.6%0.7%1.1%-110.3K-9.3M-387.3K0.9813.19N/AN/A5,8785,769205,745220,988
2015-09-03$5.03$5.0066.4%19.1%65.5%81.1%69.1%2.5%-1.0%-95.9K-11.2M-393.6K1.2013.08N/AN/A7,4148,913207,599221,660
2015-09-04$4.97$5.0066.0%19.8%66.6%79.8%68.3%0.5%-1.0%-146.2K-8.5M-386.5K0.6411.88N/AN/A7,4464,737207,850224,559
2015-09-08$5.00$5.0065.7%19.9%52.9%79.2%68.2%1.9%3.1%-108.0K-7.9M-375.2K0.319.43N/AN/A4,2261,318204,646221,302
2015-09-09$4.91$5.0065.7%19.1%54.0%79.0%65.7%1.1%2.6%-84.7K-7.6M-373.9K0.7410.99N/AN/A9,1666,799206,620222,230
2015-09-10$4.82$5.0066.5%19.2%55.1%81.2%72.0%0.8%4.4%-123.6K-1.3M-368.1K1.0713.35N/AN/A5,2575,638210,567224,157
2015-09-11$4.89$5.0066.1%19.0%55.0%80.3%67.4%10.9%0.8%-231.9K-635.7K-360.3K1.6416.96N/AN/A3,5295,770211,205224,270
2015-09-14$4.78$5.0068.3%19.5%51.8%86.0%68.9%4.2%-0.8%-249.3K-661.3K-356.2K0.9112.67N/AN/A6,1205,568202,489223,101
2015-09-15$4.95$5.0066.8%19.2%40.0%82.2%71.7%8.6%-0.2%-170.4K-6.0M-362.3K2.3512.50N/AN/A8,09819,065204,163223,309
2015-09-16$4.70$5.0068.4%19.6%40.5%86.3%70.1%4.4%-1.5%-329.1K4.4M-343.4K4.009.28N/AN/A10,29441,133208,427227,134
2015-09-17$4.70$5.0068.3%19.8%40.2%86.1%70.7%4.3%-6.7%-590.7K11.8M-378.1K1.9514.36N/AN/A6,87713,419211,536262,339
2015-09-18$4.47$5.0068.4%19.8%40.8%86.3%71.0%3.2%-0.6%-585.3K24.0M-355.9K2.7710.66N/AN/A10,52029,116213,019265,582
2015-09-21$4.39$5.0065.6%19.3%41.2%78.8%67.2%4.5%-0.3%-679.0K24.3M-354.2K3.008.79N/AN/A6,03618,138189,464266,617
2015-09-22$4.36$5.0067.3%20.3%40.9%83.5%69.6%6.1%1.1%-688.6K27.2M-357.6K4.718.71N/AN/A5,90927,827191,944271,851
2015-09-23$4.35$5.0068.4%20.2%40.3%86.2%71.5%5.5%-0.3%-806.5K29.9M-369.1K1.277.65N/AN/A11,98515,238193,119289,229
2015-09-24$4.39$5.0072.7%19.2%39.2%97.7%69.4%5.5%0.6%-809.4K28.6M-384.4K2.447.84N/AN/A9,42322,985201,286292,603
2015-09-25$4.31$5.0068.1%19.4%33.5%85.4%68.3%6.7%-0.3%-639.2K30.6M-370.0K3.397.28N/AN/A3,71912,611204,227299,988
2015-09-28$4.01$5.0078.5%21.4%38.9%100.0%60.4%2.2%2.9%-576.1K37.5M-345.2K1.3718.80N/AN/A9,21812,642199,671289,339
2015-09-29$3.73$5.0083.7%25.8%44.2%100.0%76.4%1.5%2.3%-467.8K43.2M-315.4K1.8914.83N/AN/A7,81614,749203,819290,307
2015-09-30$3.85$5.0077.5%23.1%47.3%87.0%80.0%4.2%-0.4%-501.8K43.5M-333.9K3.6213.33N/AN/A5,05018,281207,685294,848