S Options History — February 2016

In February 2016, S traded between $2.55 and $3.44. ATM implied volatility averaged 74.8%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 42.7% (HV 20d: 117.5%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.03.

Notable Days

  • 2016-02-10: Highest Volume — 49,345 contracts
  • 2016-02-08: Largest IV spike — 8.6% change
  • 2016-02-10: Highest IV Rank — 87.9%
  • 2016-02-08: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.91$2.55$3.44$3.07$3.44
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV74.8%63.2%86.6%72.2%63.2%
Expected Move21.6%18.8%24.4%21.2%18.9%
HV 20d117.5%77.7%134.0%125.1%82.2%
HV 60d88.1%84.0%91.1%84.0%91.1%
IV Rank67.4%47.3%87.9%63.0%47.3%
IV Percentile89.1%66.7%99.6%94.0%66.7%
Term Structure-0.9%-4.1%2.9%2.2%-0.4%
VWIV79.8%66.7%136.3%75.6%67.3%
Skew 25d7.1%-1.6%14.2%5.4%8.0%
Skew 10d10.6%-22.9%42.6%-18.0%20.8%
Call IV 25d75.5%62.5%89.1%78.0%62.6%
Put IV 25d82.6%70.6%92.6%83.4%70.6%
Bid-Ask Spread %9.536.4515.397.437.46
Gamma HHI0.190.150.440.220.16
Net GEX109.2K26.4K337.8K107.1K133.5K
Net DEX9.5M-4.6M17.0M8.0M-4.6M
Net VEX-253.3K-298.9K-212.9K-298.9K-273.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.312.411.710.52
Total Volume19,105.3511,24849,34512,70413,141
Total OI382,672.8324,029414,923407,703332,539

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$3.07$3.5072.2%21.2%125.1%63.0%75.6%5.4%2.2%107.1K8.0M-298.9K1.717.43N/AN/A4,6878,017206,325201,378
2016-02-02$2.77$3.5077.8%21.9%129.5%72.6%84.7%7.5%-1.4%72.3K14.4M-266.0K1.7215.39N/AN/A4,6377,996207,241201,908
2016-02-03$2.83$3.5077.5%21.9%129.7%72.2%136.3%11.4%0.7%87.3K13.6M-269.1K1.1213.62N/AN/A5,4426,071207,978202,499
2016-02-04$2.83$3.5074.0%20.8%129.5%66.0%77.2%6.3%-1.2%68.9K13.5M-273.3K0.6711.04N/AN/A7,1314,797208,828202,533
2016-02-05$2.84$3.5078.6%22.7%127.4%74.1%78.7%4.1%-0.7%72.4K13.4M-272.0K0.6511.28N/AN/A7,0344,606210,738202,566
2016-02-08$2.55$3.5085.4%24.4%131.7%85.8%87.0%0.2%2.9%26.4K15.8M-244.9K0.6610.52N/AN/A7,8015,136207,606201,392
2016-02-09$2.66$3.5084.6%24.2%133.3%84.5%86.0%9.5%-0.3%30.3K17.0M-248.7K0.4711.46N/AN/A10,3984,850208,937201,608
2016-02-10$2.74$3.5086.6%24.0%134.0%87.9%82.2%13.7%-3.0%78.5K14.5M-261.6K2.419.50N/AN/A14,48334,862213,313201,610
2016-02-11$2.56$3.5083.0%23.3%132.5%81.7%93.9%-1.6%-4.1%49.1K14.9M-212.9K2.189.80N/AN/A12,55827,363214,989182,201
2016-02-12$2.66$3.5083.3%23.8%132.6%82.3%83.6%12.0%-0.7%70.7K13.8M-226.4K1.9910.21N/AN/A13,90927,728215,886182,154
2016-02-16$2.79$3.5080.4%23.1%129.2%77.2%80.5%0.7%-1.8%108.6K12.9M-230.4K2.1510.13N/AN/A12,65927,233211,657181,680
2016-02-17$3.00$3.5074.4%21.3%127.9%66.8%70.5%9.3%-3.4%234.7K9.6M-246.4K0.9510.50N/AN/A7,3706,999212,122181,843
2016-02-18$3.07$3.5070.6%20.3%124.0%60.1%69.7%8.6%-0.9%337.8K7.3M-253.2K0.567.06N/AN/A13,0787,300213,853182,614
2016-02-19$2.92$3.5071.0%20.6%125.7%60.9%73.5%1.8%-2.3%76.3K12.1M-243.2K0.497.13N/AN/A9,2554,525220,035183,235
2016-02-22$3.02$3.5067.6%19.9%116.5%54.9%68.7%10.5%-0.9%106.8K4.7M-242.5K0.318.03N/AN/A11,1893,504170,823153,206
2016-02-23$2.95$3.5066.0%20.4%102.5%52.2%74.9%4.9%-0.5%116.3K4.2M-247.0K0.356.78N/AN/A8,4672,958177,069154,004
2016-02-24$3.05$3.5067.3%19.8%77.7%54.5%69.5%14.2%-1.1%141.0K4.2M-244.0K0.436.45N/AN/A8,4303,620177,244154,098
2016-02-25$3.08$3.5067.6%19.8%77.7%54.9%68.9%6.6%-1.7%142.2K3.5M-246.4K0.387.21N/AN/A8,4233,202177,519154,768
2016-02-26$3.31$3.5064.0%18.8%81.4%48.7%66.7%8.4%-0.0%124.5K-1.9M-266.0K0.789.52N/AN/A6,3244,924178,403155,054
2016-02-29$3.44$3.5063.2%18.9%82.2%47.3%67.3%8.0%-0.4%133.5K-4.6M-273.3K0.527.46N/AN/A8,6194,522176,225156,314