S Options History — January 2016

In January 2016, S traded between $2.44 and $3.61. ATM implied volatility averaged 72.4%, placing in the 71.7% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 5.6% (HV 20d: 77.9%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.85.

Notable Days

  • 2016-01-14: Highest Volume — 108,768 contracts
  • 2016-01-20: Largest IV spike — 15.1% change
  • 2016-01-22: Highest IV Rank — 100.0%
  • 2016-01-25: Largest Expected Move — 28.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.07$2.44$3.61$3.51$3.02
Max Pain$3.89$3.50$4.00$4.00$3.50
ATM IV72.4%61.0%93.6%63.5%71.7%
Expected Move20.6%17.2%28.1%17.7%20.8%
HV 20d77.9%49.3%125.9%55.7%124.7%
HV 60d64.4%52.4%85.2%52.4%84.9%
IV Rank71.7%52.4%100.0%57.7%62.1%
IV Percentile90.2%70.6%100.0%81.0%93.3%
Term Structure0.2%-4.5%4.9%2.2%-0.4%
VWIV72.5%59.4%95.9%59.5%77.6%
Skew 25d6.8%-3.7%30.1%2.1%7.8%
Skew 10d5.4%-19.7%44.9%-6.0%-0.5%
Call IV 25d75.2%62.4%93.2%70.6%77.2%
Put IV 25d82.0%67.1%123.3%72.6%85.1%
Bid-Ask Spread %9.057.4712.319.428.59
Gamma HHI0.330.160.430.350.23
Net GEX-106.9K-344.9K265.7K-317.2K104.0K
Net DEX37.1M3.2M62.6M60.3M7.9M
Net VEX-214.4K-297.6K-160.7K-190.4K-297.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.348.281.640.34
Total Volume39,212.3684,597108,76818,2834,597
Total OI462,374.632270,177600,312552,611414,302

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$3.51$4.0063.5%17.7%55.7%57.7%59.5%2.1%2.2%-317.2K60.3M-190.4K1.649.42N/AN/A6,91411,369256,376296,235
2016-01-05$3.57$4.0061.0%17.2%56.1%52.4%63.3%6.5%1.6%-305.0K61.1M-197.1K1.628.89N/AN/A5,3358,618258,480299,513
2016-01-06$3.61$4.0064.5%17.9%55.5%59.7%62.3%-3.7%1.8%-290.2K59.8M-200.6K0.959.27N/AN/A14,61313,877259,447300,347
2016-01-07$3.35$4.0065.2%17.9%59.2%61.3%64.9%-2.5%-2.3%-328.0K61.9M-197.3K1.2712.31N/AN/A16,44920,956269,873302,343
2016-01-08$3.41$4.0062.4%17.7%59.7%55.3%59.4%3.1%4.7%-344.9K60.6M-206.9K2.728.07N/AN/A5,54715,110271,608306,565
2016-01-11$3.36$4.0065.0%17.5%55.5%60.7%61.1%3.6%-2.2%-274.6K61.4M-188.7K0.579.39N/AN/A22,08512,576271,077291,877
2016-01-12$3.36$4.0064.1%17.8%49.3%58.9%62.7%-2.6%-1.0%-264.0K60.1M-213.4K1.199.35N/AN/A12,42214,799286,213296,455
2016-01-13$3.07$4.0069.3%19.9%56.9%69.8%65.3%8.9%3.9%-196.2K60.8M-189.6K4.2311.52N/AN/A12,97954,964286,902295,967
2016-01-14$3.18$4.0069.5%19.0%58.7%70.3%67.1%3.3%-2.6%-210.9K61.2M-219.9K8.287.87N/AN/A11,72697,042293,601305,781
2016-01-15$2.87$4.0068.0%18.4%64.7%67.2%66.9%12.3%3.7%-76.9K62.6M-193.5K1.968.99N/AN/A12,02923,633294,163306,149
2016-01-19$2.64$4.0071.1%20.3%69.4%73.6%67.0%8.5%0.0%-82.9K17.8M-178.8K1.768.75N/AN/A11,87220,881123,759146,418
2016-01-20$2.44$4.0081.9%23.5%72.3%96.1%81.9%5.7%-1.9%-66.0K18.6M-160.7K0.459.73N/AN/A13,4566,027128,776153,119
2016-01-21$2.51$4.0078.1%22.7%74.3%88.3%87.6%5.0%-4.5%-59.8K18.2M-174.3K1.157.98N/AN/A12,06113,911135,477152,760
2016-01-22$2.88$4.0086.1%24.6%91.0%100.0%87.2%4.1%-0.9%-16.5K10.5M-231.1K0.379.00N/AN/A47,99717,785140,639161,231
2016-01-25$2.48$4.0093.6%28.1%100.5%100.0%95.9%30.1%-3.0%50.6K11.1M-212.2K1.247.47N/AN/A21,93627,204176,665161,900
2016-01-26$3.00$3.5082.4%24.6%125.8%80.7%86.4%17.2%-0.9%196.0K3.2M-260.8K0.718.77N/AN/A39,51528,020185,683171,609
2016-01-27$2.97$3.5079.9%23.7%125.7%76.4%83.3%3.7%4.9%185.9K5.1M-276.4K2.577.62N/AN/A9,70324,965200,674190,378
2016-01-28$3.03$3.5077.9%22.0%125.9%72.8%78.8%15.5%-0.0%265.7K3.3M-284.9K2.069.00N/AN/A16,99735,065201,309191,447
2016-01-29$3.02$3.5071.7%20.8%124.7%62.1%77.6%7.8%-0.4%104.0K7.9M-297.6K0.348.59N/AN/A3,4361,161212,519201,783