S Options History — November 2015

In November 2015, S traded between $3.65 and $4.85. ATM implied volatility averaged 62.2%, placing in the 54.9% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 5.9% (HV 20d: 56.3%). Max pain ranged from $4.00 to $4.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-11-03: Highest Volume — 64,644 contracts
  • 2015-11-30: Largest IV drop — 8.4% change
  • 2015-11-18: Highest IV Rank — 68.1%
  • 2015-11-25: Largest Expected Move — 19.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.15$3.65$4.85$4.85$3.65
Max Pain$4.40$4.00$4.50$4.50$4.00
ATM IV62.2%57.7%68.5%62.0%61.8%
Expected Move18.2%16.5%19.9%19.4%18.1%
HV 20d56.3%39.2%66.2%39.2%60.0%
HV 60d53.2%49.9%57.6%57.6%53.7%
IV Rank54.9%45.6%68.1%54.6%54.1%
IV Percentile79.2%68.7%93.7%81.0%76.6%
Term Structure0.5%-3.3%4.0%0.4%-1.4%
VWIV63.6%55.0%72.7%72.7%63.6%
Skew 25d3.9%-3.3%10.5%7.1%1.4%
Skew 10d5.9%-16.5%29.8%9.1%1.6%
Call IV 25d64.0%55.3%73.2%61.0%63.1%
Put IV 25d67.9%60.4%73.8%68.1%64.5%
Bid-Ask Spread %11.756.5543.607.517.91
Gamma HHI0.200.170.230.170.22
Net GEX-676.3K-1.0M-378.0K-402.4K-389.4K
Net DEX36.5M37.0K57.6M37.0K47.9M
Net VEX-310.9K-411.8K-204.7K-411.8K-204.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.095.111.080.19
Total Volume25,770.23,47864,64438,9566,613
Total OI564,069.35487,178597,135575,654490,191

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$4.85$4.5062.0%19.4%39.2%54.6%72.7%7.1%0.4%-402.4K37.0K-411.8K1.087.51N/AN/A18,68820,268251,771323,883
2015-11-03$4.52$4.5061.1%19.1%47.4%52.7%67.6%6.3%-1.5%-669.8K22.5M-384.4K2.8710.10N/AN/A16,70447,940256,975329,906
2015-11-04$4.47$4.5057.9%18.5%46.6%46.1%67.5%7.7%-0.2%-746.3K25.3M-371.5K1.2611.06N/AN/A15,77619,834258,775330,506
2015-11-05$4.68$4.5057.7%16.5%49.5%45.6%57.7%5.5%-0.8%-679.3K11.9M-391.1K0.5211.03N/AN/A17,1968,925260,493332,961
2015-11-06$4.53$4.5057.9%16.5%50.8%45.9%55.2%5.2%-0.6%-812.2K21.8M-378.3K1.6811.14N/AN/A2,7074,540261,176332,881
2015-11-09$4.28$4.5057.9%17.0%54.7%46.0%60.1%8.6%3.1%-951.8K37.5M-339.4K3.3312.44N/AN/A2,4168,055254,540330,827
2015-11-10$4.06$4.5061.0%17.7%57.1%52.5%65.0%-0.9%1.1%-900.4K46.5M-320.0K0.6012.46N/AN/A15,2069,176255,854335,194
2015-11-11$4.07$4.5060.0%18.0%55.9%50.4%59.8%0.6%3.4%-919.1K47.4M-317.5K0.5613.37N/AN/A15,2918,634257,856335,032
2015-11-12$4.13$4.5058.2%17.3%56.1%46.5%59.7%4.6%2.6%-1.0M45.9M-318.6K1.1911.50N/AN/A13,65516,184258,180331,443
2015-11-13$4.17$4.5061.3%17.5%56.3%53.0%63.9%2.4%-3.3%-942.2K40.7M-322.6K0.9512.86N/AN/A16,57315,792258,575328,356
2015-11-16$4.21$4.5061.8%17.7%54.9%54.1%61.5%1.5%1.3%-948.1K38.7M-316.0K5.1111.92N/AN/A2,03610,406256,933322,587
2015-11-17$4.39$4.5066.6%18.9%56.7%64.1%69.2%-3.3%4.0%-701.9K21.9M-356.9K0.4943.60N/AN/A30,92215,189257,166322,817
2015-11-18$3.99$4.5068.5%19.6%66.2%68.1%70.5%-0.1%0.4%-700.0K44.4M-294.3K0.209.46N/AN/A30,2446,164268,869324,437
2015-11-19$4.05$4.5067.3%19.1%65.4%65.6%67.2%-2.8%2.7%-763.9K47.1M-294.1K0.3610.26N/AN/A14,2135,063268,813325,837
2015-11-20$3.83$4.5064.1%18.6%63.5%59.0%66.3%3.5%-1.7%-389.6K57.6M-260.7K0.789.01N/AN/A18,30614,361270,828326,307
2015-11-23$3.79$4.5062.8%18.3%63.0%56.2%65.1%8.2%-0.2%-399.9K41.8M-245.0K0.587.61N/AN/A4,2592,479230,601259,143
2015-11-24$3.83$4.0061.7%17.3%62.1%54.0%62.9%5.3%-2.7%-402.9K42.0M-241.1K0.096.55N/AN/A3,177301230,121257,057
2015-11-25$3.75$4.0066.8%19.9%60.7%64.5%60.7%6.8%0.0%-400.6K41.9M-236.7K0.567.74N/AN/A19,12810,796231,727257,349
2015-11-27$3.73$4.0067.5%19.1%59.9%66.0%55.0%10.5%2.5%-378.0K47.3M-214.2K0.497.41N/AN/A18,9049,283235,642259,778
2015-11-30$3.65$4.0061.8%18.1%60.0%54.1%63.6%1.4%-1.4%-389.4K47.9M-204.7K0.197.91N/AN/A5,5621,051233,014257,177