S Options History — December 2015

In December 2015, S traded between $3.51 and $3.94. ATM implied volatility averaged 58.9%, placing in the 48.1% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 5.0% (HV 20d: 53.9%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.49.

Notable Days

2015-12-03: Highest Volume — 33,086 contracts
2015-12-11: Largest IV spike — 9.4% change
2015-12-14: Highest IV Rank — 62.7%
2015-12-14: Largest Expected Move — 19.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.68	$3.51	$3.94	$3.63	$3.58
Max Pain	$4.91	$4.00	$5.00	$4.00	$5.00
ATM IV	58.9%	54.4%	65.9%	58.9%	57.2%
Expected Move	17.2%	15.2%	19.0%	17.5%	16.7%
HV 20d	53.9%	47.8%	60.7%	58.6%	55.3%
HV 60d	54.7%	52.0%	57.1%	53.7%	52.7%
IV Rank	48.1%	38.7%	62.7%	48.0%	44.6%
IV Percentile	65.3%	51.6%	84.5%	66.7%	56.3%
Term Structure	0.8%	-5.2%	7.1%	2.2%	3.3%
VWIV	60.0%	54.5%	66.7%	62.0%	65.7%
Skew 25d	4.3%	0.1%	9.7%	0.4%	6.8%
Skew 10d	3.5%	-16.7%	21.3%	-0.9%	2.3%
Call IV 25d	60.0%	52.9%	67.1%	59.5%	57.3%
Put IV 25d	64.2%	58.3%	72.9%	59.9%	64.1%
Bid-Ask Spread %	9.35	5.77	18.71	6.65	17.06
Gamma HHI	0.25	0.20	0.36	0.25	0.36
Net GEX	-326.4K	-431.4K	-175.3K	-377.7K	-288.0K
Net DEX	49.4M	38.9M	56.9M	49.8M	56.9M
Net VEX	-215.2K	-246.1K	-189.2K	-197.7K	-206.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	0.18	5.43	3.56	2.78
Total Volume	24,122.136	10,557	33,086	10,557	26,880
Total OI	532,194.864	493,850	566,299	493,850	554,506

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
2015-12-01	$3.63	$4.00	58.9%	17.5%	58.6%	48.0%	62.0%	0.4%	2.2%	-377.7K	49.8M	-197.7K	3.56	6.65	N/A	N/A	2,314	8,243	236,085	257,765
2015-12-02	$3.55	$4.00	58.9%	16.9%	54.9%	48.0%	59.1%	4.9%	-0.2%	-383.8K	51.2M	-192.1K	0.68	6.12	N/A	N/A	15,372	10,452	237,138	262,751
2015-12-03	$3.53	$5.00	58.0%	17.0%	54.9%	46.2%	58.3%	3.7%	4.2%	-431.4K	50.3M	-195.1K	0.44	7.47	N/A	N/A	22,919	10,167	238,120	264,193
2015-12-04	$3.54	$5.00	55.8%	16.7%	50.9%	41.6%	58.2%	4.2%	1.6%	-401.1K	49.3M	-199.8K	0.56	6.73	N/A	N/A	15,978	8,922	245,769	264,476
2015-12-07	$3.63	$5.00	58.1%	16.8%	52.2%	46.3%	58.5%	9.7%	-0.1%	-417.9K	49.9M	-196.3K	0.18	7.76	N/A	N/A	9,762	1,806	244,581	264,218
2015-12-08	$3.78	$5.00	56.6%	16.8%	52.3%	43.4%	54.9%	3.4%	3.7%	-274.6K	41.0M	-203.8K	0.45	8.10	N/A	N/A	16,352	7,340	253,056	249,200
2015-12-09	$3.73	$5.00	59.9%	18.8%	49.5%	50.2%	57.8%	4.8%	7.1%	-287.7K	46.4M	-197.0K	1.17	7.62	N/A	N/A	7,038	8,252	253,376	264,056
2015-12-10	$3.94	$5.00	57.6%	16.8%	53.7%	45.5%	59.4%	5.9%	0.7%	-262.6K	38.9M	-229.4K	1.35	7.48	N/A	N/A	5,502	7,414	256,001	265,416
2015-12-11	$3.65	$5.00	63.1%	18.3%	59.5%	56.8%	61.2%	3.3%	0.2%	-308.2K	45.1M	-210.5K	3.35	7.11	N/A	N/A	5,112	17,144	257,209	266,609
2015-12-14	$3.51	$5.00	65.9%	19.0%	60.3%	62.7%	66.7%	5.8%	-2.3%	-337.4K	51.4M	-203.1K	2.48	5.77	N/A	N/A	7,165	17,772	256,043	276,555
2015-12-15	$3.53	$5.00	63.9%	18.4%	60.1%	58.5%	63.9%	5.1%	-2.3%	-259.4K	54.7M	-189.2K	3.16	6.99	N/A	N/A	6,516	20,620	259,509	277,883
2015-12-16	$3.70	$5.00	61.9%	17.8%	60.7%	54.4%	63.2%	4.9%	-3.2%	-377.1K	51.6M	-229.6K	1.66	18.71	N/A	N/A	11,607	19,278	261,772	292,363
2015-12-17	$3.62	$5.00	62.6%	18.2%	51.7%	55.8%	62.8%	4.0%	-5.2%	-307.4K	48.5M	-240.8K	3.21	7.88	N/A	N/A	6,677	21,414	269,293	292,335
2015-12-18	$3.64	$5.00	63.1%	18.4%	51.3%	56.8%	64.9%	3.9%	-1.8%	-354.4K	49.7M	-238.1K	4.57	9.06	N/A	N/A	4,498	20,566	272,010	294,289
2015-12-21	$3.61	$5.00	59.2%	17.5%	47.8%	48.6%	60.7%	6.3%	0.2%	-365.8K	49.0M	-236.3K	5.43	8.69	N/A	N/A	4,043	21,971	247,062	291,593
2015-12-22	$3.74	$5.00	56.4%	17.2%	49.5%	42.9%	57.2%	0.1%	2.3%	-304.3K	53.5M	-225.0K	5.12	9.76	N/A	N/A	4,112	21,049	247,500	294,732
2015-12-23	$3.90	$5.00	56.0%	15.2%	51.7%	41.9%	56.8%	1.0%	-0.8%	-351.4K	47.6M	-241.2K	3.36	16.04	N/A	N/A	6,362	21,387	248,305	295,334
2015-12-24	$3.81	$5.00	55.5%	15.8%	51.8%	41.0%	54.5%	3.5%	2.2%	-359.4K	45.1M	-246.1K	3.02	9.30	N/A	N/A	6,888	20,775	252,032	295,813
2015-12-28	$3.80	$5.00	55.0%	16.0%	51.8%	39.9%	61.0%	4.7%	4.5%	-241.8K	51.5M	-223.4K	2.11	8.35	N/A	N/A	9,434	19,868	251,583	295,479
2015-12-29	$3.85	$5.00	54.4%	16.0%	51.2%	38.7%	56.0%	5.0%	3.8%	-175.3K	50.1M	-222.8K	3.31	10.98	N/A	N/A	5,716	18,895	254,902	296,026
2015-12-30	$3.63	$5.00	58.0%	16.6%	55.7%	46.2%	57.9%	2.4%	-1.3%	-313.6K	54.2M	-211.1K	2.75	12.01	N/A	N/A	7,221	19,884	255,276	296,073
2015-12-31	$3.58	$5.00	57.2%	16.7%	55.3%	44.6%	65.7%	6.8%	3.3%	-288.0K	56.9M	-206.4K	2.78	17.06	N/A	N/A	7,120	19,760	258,152	296,354