S Options History — March 2016

In March 2016, S traded between $3.15 and $4.01. ATM implied volatility averaged 68.2%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 2.7% (HV 20d: 70.8%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.30.

Notable Days

  • 2016-03-04: Highest Volume — 49,508 contracts
  • 2016-03-04: Largest IV spike — 21.7% change
  • 2016-03-10: Highest IV Rank — 71.9%
  • 2016-03-07: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.57$3.15$4.01$3.47$3.48
Max Pain$3.68$3.00$4.00$3.50$3.50
ATM IV68.2%59.7%77.3%62.1%63.3%
Expected Move19.6%17.1%22.1%18.5%17.1%
HV 20d70.8%63.6%82.1%82.1%63.6%
HV 60d93.2%91.0%94.4%91.0%94.1%
IV Rank56.0%41.2%71.9%45.4%47.5%
IV Percentile74.8%52.0%92.5%62.3%59.9%
Term Structure0.6%-4.6%5.9%1.9%5.9%
VWIV68.6%58.0%81.9%65.0%58.0%
Skew 25d6.5%-0.1%11.0%5.7%8.6%
Skew 10d9.4%-48.6%39.0%39.0%-48.6%
Call IV 25d68.0%57.5%74.7%63.5%63.5%
Put IV 25d74.5%66.3%83.9%69.3%72.2%
Bid-Ask Spread %8.724.8112.846.737.44
Gamma HHI0.200.150.320.170.18
Net GEX91.2K-175.7K228.4K147.4K209.8K
Net DEX-6.6M-22.7M8.7M-5.5M-2.5M
Net VEX-290.0K-331.5K-254.1K-276.3K-267.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.483.820.890.48
Total Volume15,713.6826,66449,5088,8289,259
Total OI367,624.227333,205411,790337,315337,845

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$3.47$3.5062.1%18.5%82.1%45.4%65.0%5.7%1.9%147.4K-5.5M-276.3K0.896.73N/AN/A4,6614,167179,475157,840
2016-03-02$3.75$3.5064.0%19.5%75.1%48.8%68.3%10.1%0.8%186.4K-14.7M-294.4K1.009.84N/AN/A9,0979,138179,891158,037
2016-03-03$4.00$3.0059.7%18.2%77.1%41.2%63.2%3.2%0.9%228.4K-22.7M-305.2K0.549.65N/AN/A23,20612,634184,492162,890
2016-03-04$3.80$3.0072.6%20.9%80.7%63.6%73.8%9.3%0.4%215.2K-17.8M-317.1K3.8212.84N/AN/A10,27639,232199,976172,879
2016-03-07$3.96$4.0076.2%22.1%81.1%69.8%77.6%9.2%2.0%-96.0K-16.9M-331.5K1.2911.94N/AN/A6,0757,864200,697201,852
2016-03-08$4.01$4.0074.4%21.6%66.6%66.7%75.6%9.3%0.1%-175.7K-18.4M-329.9K1.6710.21N/AN/A4,7177,875202,048203,769
2016-03-09$3.97$4.0074.5%21.0%67.1%67.0%74.6%8.0%-1.4%-152.5K-18.5M-329.5K1.769.18N/AN/A3,9446,956202,764204,112
2016-03-10$3.72$4.0077.3%21.9%73.4%71.9%81.9%11.0%-1.6%113.8K-6.6M-314.7K0.9611.15N/AN/A9,1128,721203,175204,325
2016-03-11$3.70$4.0075.0%21.6%67.1%67.8%73.1%8.2%-0.6%137.5K-5.7M-310.2K1.226.82N/AN/A5,2906,462205,933205,857
2016-03-14$3.70$4.0074.6%21.2%67.0%67.2%73.6%8.5%-1.1%121.1K-12.8M-303.2K1.084.81N/AN/A5,6696,095203,655184,464
2016-03-15$3.57$4.0070.7%20.4%68.3%60.3%70.0%8.2%-2.6%28.8K-7.1M-295.8K1.347.48N/AN/A4,4105,922205,251184,902
2016-03-16$3.58$4.0067.6%19.4%64.6%55.0%66.8%7.9%0.3%-8.0K-7.8M-293.4K0.719.82N/AN/A6,9254,912205,232185,189
2016-03-17$3.50$4.0066.1%18.9%65.3%52.3%65.9%2.1%1.1%-17.6K-2.2M-282.2K1.1612.09N/AN/A3,9424,592205,284185,354
2016-03-18$3.29$4.0065.5%18.9%66.7%51.4%63.5%-0.1%-1.8%121.8K8.7M-265.3K2.539.24N/AN/A7,49318,942207,996185,457
2016-03-21$3.18$3.5070.0%19.4%67.3%59.2%66.6%8.5%4.7%83.5K4.2M-272.7K2.778.12N/AN/A6,23917,252176,408164,366
2016-03-22$3.37$3.5061.6%18.2%69.3%44.5%64.9%3.3%0.6%151.0K574.9K-286.6K1.756.49N/AN/A9,59116,811180,233164,740
2016-03-23$3.15$3.5066.8%19.9%73.3%53.5%66.8%1.7%-4.6%104.8K2.6M-254.1K0.875.98N/AN/A3,8113,310186,253151,767
2016-03-24$3.24$3.5067.6%19.1%73.9%54.9%65.5%6.7%-2.1%127.2K1.5M-258.8K0.768.43N/AN/A3,7922,872187,147152,228
2016-03-28$3.27$3.5064.5%18.5%69.3%49.5%64.9%7.3%3.7%112.8K1.6M-254.6K0.717.28N/AN/A3,9502,821182,254150,951
2016-03-29$3.42$3.5063.4%18.5%69.8%47.6%65.4%2.4%5.2%171.5K-2.1M-266.9K0.648.80N/AN/A5,2303,360182,516151,762
2016-03-30$3.46$3.5062.7%17.4%69.8%46.5%64.7%4.2%1.6%194.7K-2.8M-269.7K0.637.47N/AN/A5,5793,495184,308152,159
2016-03-31$3.48$3.5063.3%17.1%63.6%47.5%58.0%8.6%5.9%209.8K-2.5M-267.1K0.487.44N/AN/A6,2772,982185,375152,470