S Options History — June 2016 In June 2016, S traded between $3.64 and $4.53. ATM implied volatility averaged 53.6%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 16.4% (HV 20d: 37.2%). Max pain ranged from $3.50 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.87.
Notable Days 2016-06-09 : Highest Volume — 25,123 contracts2016-06-16 : Largest IV spike — 15.9% change2016-06-24 : Highest IV Rank — 41.3%2016-06-24 : Largest Expected Move — 18.6%Monthly Statistics Metric Avg Min Max Open Close Price $3.97 $3.64 $4.53 $3.76 $4.53 Max Pain $3.95 $3.50 $4.00 $3.50 $4.00 ATM IV 53.6% 47.5% 61.7% 56.0% 56.7% Expected Move 15.3% 13.5% 18.6% 15.7% 14.9% HV 20d 37.2% 28.0% 49.8% 38.2% 49.5% HV 60d 45.7% 41.4% 48.7% 48.7% 43.9% IV Rank 26.0% 15.9% 41.3% 31.4% 25.6% IV Percentile 15.7% 5.6% 41.3% 19.0% 19.4% Term Structure 1.4% -7.2% 9.6% -3.5% -7.2% VWIV 52.8% 47.2% 62.5% 55.6% 48.8% Skew 25d 3.9% -4.9% 16.0% -4.9% 13.5% Skew 10d 8.9% -10.0% 38.4% -10.0% 2.4% Call IV 25d 52.1% 38.3% 62.8% 57.1% 52.8% Put IV 25d 56.0% 48.4% 66.3% 52.2% 66.3% Bid-Ask Spread % 15.46 6.77 27.36 6.77 13.49 Gamma HHI 0.41 0.26 0.57 0.49 0.26 Net GEX 417.5K 262.6K 625.8K 450.9K 364.0K Net DEX -15.9M -33.4M -5.7M -10.0M -33.4M Net VEX -283.3K -313.0K -259.5K -270.7K -312.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.87 0.29 7.16 0.49 0.72 Total Volume 15,293.773 7,486 25,123 16,040 13,130 Total OI 325,015.818 313,349 342,052 313,815 342,052
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-06-01 $3.76 $3.50 56.0% 15.7% 38.2% 31.4% 55.6% -4.9% -3.5% 450.9K -10.0M -270.7K 0.49 6.77 N/A N/A 10,785 5,255 166,691 147,124 2016-06-02 $3.74 $4.00 54.8% 16.1% 31.9% 29.4% 54.3% -2.4% 5.2% 509.3K -10.8M -277.1K 2.01 9.44 N/A N/A 2,491 4,995 175,322 147,676 2016-06-03 $3.78 $4.00 52.8% 14.8% 31.5% 25.7% 51.8% 2.8% -0.4% 540.1K -10.9M -273.0K 2.15 19.54 N/A N/A 2,417 5,198 175,622 147,700 2016-06-06 $3.84 $4.00 50.5% 14.8% 30.8% 21.5% 49.3% 1.6% 1.0% 549.9K -12.6M -275.6K 1.70 21.26 N/A N/A 2,782 4,716 174,013 146,761 2016-06-07 $3.91 $3.50 48.9% 14.3% 28.0% 18.6% 49.7% 1.7% 1.1% 625.8K -15.2M -278.8K 0.45 23.11 N/A N/A 11,508 5,126 174,783 146,913 2016-06-08 $3.79 $4.00 49.6% 14.0% 30.1% 19.8% 49.1% 1.6% -0.8% 561.0K -11.0M -273.7K 1.32 21.77 N/A N/A 3,689 4,873 174,283 147,790 2016-06-09 $3.81 $4.00 49.2% 13.6% 29.8% 19.1% 47.3% 2.0% -1.9% 599.0K -11.4M -271.5K 5.60 20.39 N/A N/A 3,804 21,319 175,141 147,940 2016-06-10 $3.70 $4.00 53.9% 16.1% 32.1% 27.7% 48.5% -0.1% 6.5% 358.2K -6.7M -266.3K 6.79 12.08 N/A N/A 3,068 20,832 175,459 148,352 2016-06-13 $3.64 $4.00 54.0% 15.2% 32.2% 27.9% 54.7% 4.5% 9.6% 295.8K -5.8M -263.6K 7.16 10.78 N/A N/A 2,873 20,577 173,950 147,889 2016-06-14 $3.69 $4.00 52.1% 14.9% 32.4% 24.3% 51.9% 6.6% 7.1% 262.6K -5.7M -259.5K 3.35 9.67 N/A N/A 3,085 10,331 174,198 148,053 2016-06-15 $3.79 $4.00 47.6% 13.6% 33.4% 16.2% 49.7% 16.0% 5.0% 496.9K -8.1M -263.7K 2.92 25.88 N/A N/A 3,462 10,111 174,479 148,523 2016-06-16 $3.71 $4.00 55.2% 15.9% 32.3% 30.0% 55.1% 0.7% -1.4% 281.3K -6.3M -261.5K 0.34 16.38 N/A N/A 13,472 4,560 175,120 148,606 2016-06-17 $3.72 $4.00 55.5% 15.7% 30.9% 30.6% 53.4% 1.6% 1.8% 329.9K -9.0M -275.6K 1.09 12.42 N/A N/A 4,393 4,784 185,623 148,793 2016-06-20 $3.86 $4.00 47.5% 13.5% 32.2% 15.9% 47.2% 14.4% 0.2% 371.0K -12.2M -278.1K 0.39 20.13 N/A N/A 6,775 2,647 167,477 145,872 2016-06-21 $4.18 $4.00 52.7% 15.5% 41.9% 25.5% 52.2% 3.1% -1.1% 408.5K -23.3M -298.2K 0.50 11.84 N/A N/A 10,101 5,066 169,999 146,206 2016-06-22 $4.37 $4.00 53.8% 15.9% 42.3% 27.4% 57.0% 6.7% -0.4% 397.5K -28.5M -302.2K 0.49 12.53 N/A N/A 16,688 8,251 170,224 148,007 2016-06-23 $4.39 $4.00 54.8% 15.3% 42.2% 28.6% 56.6% 4.5% 2.7% 401.4K -29.3M -309.8K 0.54 12.24 N/A N/A 8,214 4,456 176,644 151,060 2016-06-24 $4.13 $4.00 61.7% 18.6% 48.8% 41.3% 62.5% 1.9% -1.0% 366.9K -21.3M -302.1K 1.25 27.36 N/A N/A 8,505 10,659 177,867 151,862 2016-06-27 $4.18 $4.00 60.1% 17.5% 48.7% 35.6% 57.2% 3.9% 3.0% 326.9K -20.4M -301.0K 0.86 11.68 N/A N/A 11,378 9,797 175,797 157,421 2016-06-28 $4.34 $4.00 56.1% 15.9% 49.3% 26.0% 54.2% 0.2% 4.0% 332.6K -26.1M -305.2K 0.29 13.26 N/A N/A 13,715 3,985 176,582 157,288 2016-06-29 $4.48 $4.00 55.0% 15.8% 49.8% 23.8% 55.4% 6.4% 1.7% 354.8K -32.4M -313.0K 0.75 8.08 N/A N/A 7,187 5,403 181,844 157,342 2016-06-30 $4.53 $4.00 56.7% 14.9% 49.5% 25.6% 48.8% 13.5% -7.2% 364.0K -33.4M -312.5K 0.72 13.49 N/A N/A 7,623 5,507 182,599 159,453
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