S Options History — October 2015 In October 2015, S traded between $3.99 and $5.01. ATM implied volatility averaged 65.0%, placing in the 60.9% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 11.0% (HV 20d: 54.0%). Max pain ranged from $4.50 to $5.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.04.
Notable Days 2015-10-02 : Highest Volume — 55,196 contracts2015-10-13 : Largest IV drop — 11.1% change2015-10-01 : Highest IV Rank — 86.3%2015-10-02 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $4.49 $3.99 $5.01 $3.99 $4.74 Max Pain $4.55 $4.50 $5.00 $5.00 $4.50 ATM IV 65.0% 59.1% 77.2% 77.2% 65.1% Expected Move 18.8% 17.0% 22.3% 22.3% 20.5% HV 20d 54.0% 40.4% 59.9% 50.3% 40.4% HV 60d 65.6% 57.6% 70.5% 69.3% 57.6% IV Rank 60.9% 48.4% 86.3% 86.3% 61.0% IV Percentile 86.1% 76.6% 98.8% 98.8% 85.3% Term Structure -0.5% -3.9% 2.5% 2.4% -2.3% VWIV 72.1% 59.0% 85.8% 83.9% 67.0% Skew 25d 7.6% 0.9% 13.2% 7.2% 12.4% Skew 10d 18.2% 3.1% 31.4% 27.2% 14.2% Call IV 25d 64.6% 58.0% 74.9% 74.8% 58.2% Put IV 25d 72.2% 66.9% 82.1% 82.1% 70.6% Bid-Ask Spread % 13.09 8.02 21.55 13.21 11.74 Gamma HHI 0.18 0.15 0.25 0.18 0.17 Net GEX -564.6K -939.3K -323.6K -570.8K -439.4K Net DEX 21.3M -7.9M 42.9M 42.9M 2.7M Net VEX -387.2K -426.9K -344.3K -344.3K -413.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.04 0.47 5.42 0.94 0.96 Total Volume 21,767.636 8,700 55,196 14,375 29,965 Total OI 534,981.182 513,235 578,891 513,947 578,891
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 2015-10-01 $3.99 $5.00 77.2% 22.3% 50.3% 86.3% 83.9% 7.2% 2.4% -570.8K 42.9M -344.3K 0.94 13.21 N/A N/A 7,429 6,946 208,310 305,637 2015-10-02 $4.26 $5.00 73.3% 22.3% 56.9% 78.2% 73.3% 9.2% -0.1% -643.4K 28.9M -378.2K 1.15 21.39 N/A N/A 25,661 29,535 211,834 308,326 2015-10-05 $4.42 $4.50 71.7% 20.5% 59.1% 74.9% 75.2% 6.0% 0.1% -662.6K 24.5M -397.9K 2.38 12.36 N/A N/A 4,827 11,480 213,886 306,614 2015-10-06 $4.43 $4.50 70.1% 20.2% 59.0% 71.6% 77.0% 1.5% 0.8% -686.5K 26.6M -411.4K 3.83 10.16 N/A N/A 5,271 20,206 215,409 319,370 2015-10-07 $4.55 $4.50 71.4% 19.8% 59.9% 74.2% 77.0% 3.1% -2.5% -694.5K 21.9M -410.8K 3.25 10.10 N/A N/A 3,525 11,468 215,656 318,506 2015-10-08 $4.55 $4.50 69.8% 19.5% 59.7% 71.0% 77.2% 0.9% -1.6% -675.7K 21.5M -412.1K 3.19 9.44 N/A N/A 3,436 10,964 216,658 321,536 2015-10-09 $4.51 $4.50 69.3% 19.7% 59.4% 69.9% 71.3% 4.0% -0.3% -811.7K 24.4M -407.3K 4.77 9.69 N/A N/A 3,516 16,783 217,097 320,281 2015-10-12 $4.50 $4.50 69.4% 19.7% 59.0% 70.0% 85.8% 2.4% -1.2% -939.3K 28.7M -393.2K 2.19 11.48 N/A N/A 4,280 9,370 210,069 325,689 2015-10-13 $4.39 $4.50 61.7% 17.8% 57.7% 53.9% 64.5% 9.4% 0.3% -905.5K 33.5M -378.8K 1.89 21.55 N/A N/A 8,001 15,137 211,411 326,960 2015-10-14 $4.24 $4.50 64.9% 18.9% 56.2% 60.7% 77.2% 6.1% 1.8% -828.4K 41.5M -364.0K 1.06 15.06 N/A N/A 8,236 8,690 215,576 330,117 2015-10-15 $4.27 $4.50 61.6% 17.5% 56.3% 53.8% 72.1% 10.8% -1.7% -641.0K 42.4M -371.0K 1.59 13.73 N/A N/A 3,365 5,335 221,251 332,145 2015-10-16 $4.26 $4.50 59.1% 17.1% 53.7% 48.4% 59.0% 12.4% 0.7% -497.9K 41.9M -365.7K 0.47 11.85 N/A N/A 13,085 6,110 222,103 332,322 2015-10-19 $4.41 $4.50 60.7% 17.5% 54.9% 51.8% 61.4% 8.3% -1.6% -403.0K 19.5M -375.7K 1.13 11.12 N/A N/A 6,673 7,536 224,752 288,793 2015-10-20 $4.33 $4.50 59.3% 17.0% 55.2% 48.8% 70.3% 13.2% -0.2% -440.8K 22.6M -366.7K 2.28 9.89 N/A N/A 3,198 7,299 224,150 290,705 2015-10-21 $4.33 $4.50 59.8% 17.1% 55.2% 49.8% 71.6% 9.2% -0.6% -431.8K 22.5M -366.6K 2.18 10.17 N/A N/A 3,189 6,963 224,774 290,680 2015-10-22 $4.46 $4.50 61.1% 17.6% 56.2% 52.6% 79.1% 7.3% -2.4% -360.4K 18.5M -369.0K 2.31 9.75 N/A N/A 2,903 6,712 225,447 291,460 2015-10-23 $4.72 $4.50 60.8% 17.8% 59.0% 52.1% 62.4% 8.7% -3.9% -348.5K 6.7M -379.8K 1.24 16.29 N/A N/A 6,342 7,850 225,928 291,560 2015-10-26 $4.77 $4.50 59.8% 17.4% 51.6% 50.0% 75.4% 6.8% -1.2% -323.6K 4.2M -376.1K 5.42 8.02 N/A N/A 4,149 22,467 224,645 288,590 2015-10-27 $4.89 $4.50 62.5% 18.4% 42.0% 55.5% 71.6% 9.1% 1.2% -363.5K -1.4M -386.8K 1.18 15.53 N/A N/A 23,744 28,112 225,596 301,829 2015-10-28 $5.01 $4.50 62.5% 18.0% 41.6% 55.5% 64.5% 9.0% -1.4% -335.0K -7.9M -426.9K 0.70 21.08 N/A N/A 20,928 14,677 245,171 323,739 2015-10-29 $4.81 $4.50 59.8% 18.0% 44.9% 50.0% 69.5% 9.6% 2.5% -416.8K 2.7M -422.4K 0.72 14.42 N/A N/A 19,476 14,049 251,199 324,914 2015-10-30 $4.74 $4.50 65.1% 20.5% 40.4% 61.0% 67.0% 12.4% -2.3% -439.4K 2.7M -413.9K 0.96 11.74 N/A N/A 15,285 14,680 253,711 325,180
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