S Options History — May 2016

In May 2016, S traded between $3.42 and $3.79. ATM implied volatility averaged 60.0%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 13.5% (HV 20d: 46.5%). Max pain ranged from $3.50 to $3.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.11.

Notable Days

  • 2016-05-19: Highest Volume — 34,076 contracts
  • 2016-05-03: Largest IV drop — 12.6% change
  • 2016-05-02: Highest IV Rank — 69.2%
  • 2016-05-02: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.54$3.42$3.79$3.49$3.79
Max Pain$3.50$3.50$3.50$3.50$3.50
ATM IV60.0%53.0%75.8%75.8%53.0%
Expected Move17.4%15.0%24.8%24.8%15.0%
HV 20d46.5%41.4%50.3%43.1%42.2%
HV 60d57.2%49.4%64.9%64.1%49.4%
IV Rank40.7%26.0%69.2%69.2%26.0%
IV Percentile35.4%14.7%91.3%91.3%14.7%
Term Structure0.3%-1.9%2.7%-1.5%-0.0%
VWIV62.2%49.7%91.4%91.4%54.9%
Skew 25d8.7%3.3%18.5%6.8%18.5%
Skew 10d13.6%-10.0%40.6%3.8%40.6%
Call IV 25d59.1%44.2%74.3%74.3%44.2%
Put IV 25d67.8%61.5%81.2%81.2%62.8%
Bid-Ask Spread %9.057.6710.878.447.67
Gamma HHI0.290.200.460.200.46
Net GEX310.3K220.6K524.9K294.5K436.0K
Net DEX-4.0M-10.8M1.5M-4.3M-10.8M
Net VEX-267.1K-292.2K-254.0K-277.4K-273.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.110.254.170.761.11
Total Volume15,408.0959,46934,07631,14810,548
Total OI368,152.905296,743406,050374,892311,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$3.49$3.5075.8%24.8%43.1%69.2%91.4%6.8%-1.5%294.5K-4.3M-277.4K0.768.44N/AN/A17,68613,462209,869165,023
2016-05-03$3.68$3.5066.3%19.7%46.9%52.7%71.7%11.8%1.9%524.9K-10.6M-292.2K1.857.82N/AN/A9,06016,798223,055169,937
2016-05-04$3.48$3.5064.5%19.6%48.6%49.5%71.7%3.7%-0.4%377.8K-4.0M-276.7K4.017.77N/AN/A3,79715,245223,829171,774
2016-05-05$3.44$3.5064.4%18.1%47.7%49.4%64.8%8.4%-1.3%369.1K-2.5M-271.9K3.1910.56N/AN/A3,17310,119224,491173,796
2016-05-06$3.53$3.5062.1%17.9%48.7%45.4%62.4%5.5%0.8%332.3K-4.5M-277.8K2.5510.65N/AN/A3,1227,955224,617176,522
2016-05-09$3.42$3.5061.7%17.7%49.6%44.7%67.9%6.2%0.5%273.7K-574.6K-263.9K3.288.99N/AN/A2,7679,085217,344174,416
2016-05-10$3.51$3.5059.4%17.7%50.3%40.8%64.4%6.0%2.7%298.4K-1.8M-270.1K3.3610.67N/AN/A4,89716,468217,812176,539
2016-05-11$3.49$3.5058.8%17.1%50.0%39.7%63.0%5.5%0.7%325.4K-2.5M-269.1K4.178.15N/AN/A3,14513,130217,408181,582
2016-05-12$3.48$3.5060.5%17.4%49.6%42.7%66.0%7.3%-0.1%305.6K-1.5M-263.3K2.7910.58N/AN/A2,6587,419217,642177,410
2016-05-13$3.43$3.5059.9%17.2%48.4%41.5%65.2%7.1%0.5%300.4K347.3K-260.3K1.8810.87N/AN/A3,9777,489217,737177,335
2016-05-16$3.42$3.5060.2%17.4%48.3%42.1%61.3%5.1%-0.7%227.8K1.3M-254.1K1.769.11N/AN/A4,2837,519216,659171,731
2016-05-17$3.44$3.5058.8%16.8%46.0%39.7%61.2%3.3%-1.0%233.8K1.5M-254.0K1.739.60N/AN/A4,3407,507216,914171,950
2016-05-18$3.57$3.5060.4%17.3%47.0%41.6%60.7%7.8%-1.9%393.3K-3.3M-259.6K2.908.05N/AN/A2,5747,463218,014171,820
2016-05-19$3.67$3.5059.5%17.1%45.7%40.0%56.7%5.1%-0.7%270.1K-6.7M-266.4K0.259.82N/AN/A27,3326,744218,128172,942
2016-05-20$3.59$3.5057.6%16.5%45.0%36.6%56.8%13.0%0.5%230.8K-7.5M-264.8K1.948.49N/AN/A3,5576,887233,224172,826
2016-05-23$3.59$3.5057.4%16.4%44.8%36.0%56.5%5.1%1.5%242.8K-5.1M-261.2K1.888.47N/AN/A3,2846,185150,523146,220
2016-05-24$3.51$3.5055.8%16.0%44.3%31.2%56.7%15.9%1.1%221.5K-2.9M-259.4K1.729.61N/AN/A3,6736,332152,000146,736
2016-05-25$3.52$3.5056.1%15.3%44.3%31.7%53.3%14.5%-0.1%220.6K-3.3M-259.2K0.828.59N/AN/A8,9457,336153,110147,184
2016-05-26$3.62$3.5053.9%15.2%44.2%27.6%49.7%11.4%2.4%283.2K-6.0M-264.8K0.918.15N/AN/A7,8037,110159,266148,549
2016-05-27$3.68$3.5053.0%15.1%41.4%26.0%50.3%13.9%0.9%354.3K-8.4M-269.0K1.537.98N/AN/A5,0227,674164,786148,790
2016-05-31$3.79$3.5053.0%15.0%42.2%26.0%54.9%18.5%-0.0%436.0K-10.8M-273.9K1.117.67N/AN/A4,9905,558164,507147,194