S Options History — April 2016

In April 2016, S traded between $3.43 and $3.80. ATM implied volatility averaged 66.1%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded above realized volatility by 11.5% (HV 20d: 54.7%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2016-04-29: Highest Volume — 28,197 contracts
  • 2016-04-29: Largest IV spike — 8.0% change
  • 2016-04-29: Highest IV Rank — 59.3%
  • 2016-04-29: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.58$3.43$3.80$3.65$3.43
Max Pain$3.98$3.50$4.00$3.50$4.00
ATM IV66.1%63.9%70.1%64.6%70.1%
Expected Move19.1%16.7%22.4%16.7%22.4%
HV 20d54.7%46.4%62.6%61.5%47.0%
HV 60d82.0%63.4%95.2%94.5%64.0%
IV Rank52.4%48.6%59.3%49.8%59.3%
IV Percentile67.0%57.9%82.9%63.9%82.9%
Term Structure-0.9%-6.8%3.3%2.6%-2.9%
VWIV67.2%58.8%78.2%58.8%78.2%
Skew 25d6.5%1.1%21.7%20.4%5.3%
Skew 10d10.9%-13.1%43.4%31.9%17.8%
Call IV 25d66.7%59.5%72.0%59.5%72.0%
Put IV 25d73.2%68.6%87.7%79.9%77.3%
Bid-Ask Spread %7.375.7810.387.616.48
Gamma HHI0.210.180.260.190.20
Net GEX261.3K197.5K334.7K251.7K210.3K
Net DEX-5.4M-11.0M-891.3K-8.1M-1.2M
Net VEX-273.2K-291.7K-249.3K-280.2K-272.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.304.840.300.57
Total Volume13,1717,69728,19711,40428,197
Total OI347,351.952335,299364,775338,984364,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$3.65$3.5064.6%16.7%61.5%49.8%58.8%20.4%2.6%251.7K-8.1M-280.2K0.307.61N/AN/A8,7842,620186,364152,620
2016-04-04$3.45$4.0065.8%18.8%62.0%51.8%67.1%10.8%3.3%207.6K-3.0M-269.1K0.4910.38N/AN/A6,5953,223184,222151,077
2016-04-05$3.44$4.0067.3%19.3%59.6%54.4%68.9%6.9%-0.6%225.3K-2.8M-265.0K0.807.58N/AN/A4,2713,426186,594151,533
2016-04-06$3.60$4.0067.5%19.5%62.1%54.7%67.3%1.1%-1.8%303.5K-5.8M-271.2K0.756.49N/AN/A4,7863,590187,044151,888
2016-04-07$3.50$4.0067.9%19.6%62.6%55.6%69.4%1.8%-2.4%281.9K-4.3M-267.4K1.016.16N/AN/A3,9133,948188,425152,280
2016-04-08$3.50$4.0066.9%19.0%58.6%53.8%67.1%21.7%-2.7%221.5K-3.5M-268.7K0.907.42N/AN/A4,6074,153188,927152,133
2016-04-11$3.44$4.0065.7%19.1%58.9%51.7%68.9%6.9%2.7%219.9K-2.6M-259.1K1.186.10N/AN/A3,9904,697186,919151,233
2016-04-12$3.49$4.0063.9%18.8%59.2%48.6%67.7%7.8%2.3%231.4K-3.1M-262.6K0.655.93N/AN/A5,0143,268187,472152,236
2016-04-13$3.44$4.0066.3%18.8%58.1%52.6%69.8%4.1%-1.5%197.5K-891.3K-249.3K0.975.78N/AN/A4,3094,189188,291152,565
2016-04-14$3.50$4.0065.0%18.8%58.5%50.5%66.5%7.1%1.7%265.1K-2.9M-259.3K0.637.66N/AN/A7,5994,824190,104153,873
2016-04-15$3.61$4.0064.7%18.8%59.0%50.0%64.9%3.0%0.5%220.9K-6.6M-263.1K0.457.33N/AN/A17,0127,625191,085154,024
2016-04-18$3.56$4.0066.5%19.1%54.4%53.0%68.3%3.6%-1.5%254.7K-4.4M-274.7K0.627.23N/AN/A12,7597,913191,198152,360
2016-04-19$3.70$4.0065.3%18.7%53.8%51.0%66.6%2.5%-1.4%265.5K-8.9M-284.4K1.787.55N/AN/A4,4967,985191,748152,570
2016-04-20$3.80$4.0065.2%18.7%51.0%50.8%65.2%3.5%-4.3%334.7K-11.0M-283.8K2.035.84N/AN/A4,7159,563193,258153,119
2016-04-21$3.64$4.0065.2%18.7%46.8%50.8%64.2%4.3%0.3%297.8K-7.7M-279.7K4.498.39N/AN/A2,84112,753195,662154,961
2016-04-22$3.75$4.0067.1%19.3%46.9%54.1%65.5%5.0%-0.0%322.4K-9.8M-291.7K2.998.81N/AN/A4,14812,396196,352159,746
2016-04-25$3.79$4.0064.8%19.0%47.0%50.1%67.7%5.6%-2.8%322.9K-9.1M-288.5K1.216.10N/AN/A5,5546,702195,002162,903
2016-04-26$3.68$4.0066.5%19.4%46.5%53.0%67.2%3.4%-2.1%308.4K-6.7M-283.4K1.968.21N/AN/A5,0159,815198,375163,407
2016-04-27$3.69$4.0067.8%20.1%46.4%55.3%66.0%6.3%-6.8%294.5K-6.3M-284.0K4.849.34N/AN/A2,11710,249197,613166,138
2016-04-28$3.58$4.0064.9%18.8%47.9%50.3%66.6%4.9%-1.7%249.9K-4.2M-280.6K4.158.34N/AN/A2,51110,419197,845166,450
2016-04-29$3.43$4.0070.1%22.4%47.0%59.3%78.2%5.3%-2.9%210.3K-1.2M-272.0K0.576.48N/AN/A17,93410,263198,242166,533