S Options History — July 2016

In July 2016, S traded between $4.42 and $6.21. ATM implied volatility averaged 55.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 4.8% (HV 20d: 60.5%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.56.

Notable Days

  • 2016-07-28: Highest Volume — 82,802 contracts
  • 2016-07-18: Largest IV spike — 9.7% change
  • 2016-07-22: Highest IV Rank — 28.3%
  • 2016-07-22: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.02$4.42$6.21$4.55$6.15
Max Pain$3.27$3.00$4.00$4.00$4.00
ATM IV55.7%51.2%60.5%54.4%53.1%
Expected Move16.0%14.3%17.8%14.3%15.1%
HV 20d60.5%46.3%97.4%49.5%97.4%
HV 60d49.4%43.4%66.7%43.4%65.0%
IV Rank19.0%10.8%28.3%21.0%12.1%
IV Percentile15.3%4.8%34.9%12.7%5.2%
Term Structure-0.9%-7.7%4.9%0.6%1.3%
VWIV56.9%45.6%67.0%48.8%52.7%
Skew 25d4.9%-7.3%10.7%10.7%2.8%
Skew 10d13.8%-11.9%26.8%11.1%22.7%
Call IV 25d55.8%51.5%60.6%58.5%54.9%
Put IV 25d60.8%53.3%69.2%69.2%57.7%
Bid-Ask Spread %8.394.4524.9424.944.45
Gamma HHI0.280.180.460.240.18
Net GEX367.0K157.7K556.2K313.4K513.4K
Net DEX-49.7M-105.6M-27.0M-34.8M-105.6M
Net VEX-331.8K-434.2K-306.8K-313.5K-434.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.178.690.942.50
Total Volume30,946.557,40182,8028,89533,873
Total OI376,459.45339,657480,209342,660480,209

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$4.55$4.0054.4%14.3%49.5%21.0%48.8%10.7%0.6%313.4K-34.8M-313.5K0.9424.94N/AN/A4,5834,312182,817159,843
2016-07-05$4.49$3.0057.3%17.1%50.1%24.9%67.0%9.8%-5.1%299.4K-31.6M-306.8K5.327.33N/AN/A3,33617,748180,574159,083
2016-07-06$4.42$3.0056.7%16.5%50.6%22.3%63.8%9.0%-1.2%267.9K-27.5M-324.0K6.707.73N/AN/A4,19028,078180,892171,227
2016-07-07$4.54$3.0056.4%16.6%49.1%21.7%65.0%0.7%0.2%263.1K-31.5M-330.7K8.697.81N/AN/A3,27828,484182,510182,026
2016-07-08$4.69$3.0051.2%16.4%49.8%10.8%57.1%-7.3%4.9%157.7K-37.8M-323.3K3.778.30N/AN/A7,05326,571182,895182,720
2016-07-11$4.85$3.0055.1%15.4%48.1%19.0%54.3%9.0%-2.5%315.3K-41.5M-323.9K3.348.76N/AN/A7,42324,798180,819180,688
2016-07-12$4.81$3.0054.8%15.0%47.5%18.3%55.3%2.3%-2.5%325.2K-41.3M-327.2K2.9510.34N/AN/A8,60425,369184,217181,800
2016-07-13$4.89$3.0052.5%15.0%47.5%10.8%53.5%8.2%-1.7%361.0K-44.0M-323.6K5.519.14N/AN/A2,69414,854184,518182,186
2016-07-14$5.02$3.0054.0%15.4%47.5%14.2%54.2%5.3%-1.9%506.4K-50.1M-313.3K1.218.42N/AN/A4,4555,370184,923182,524
2016-07-15$4.99$3.0053.7%15.3%46.3%13.6%54.3%3.0%0.1%378.5K-47.7M-316.9K1.098.74N/AN/A7,6108,305185,270182,901
2016-07-18$4.72$3.0059.0%16.5%52.5%24.9%56.2%5.3%-0.4%385.4K-33.6M-319.3K0.977.03N/AN/A8,6488,374174,558174,308
2016-07-19$4.51$3.0058.6%16.7%55.4%24.2%58.4%6.0%0.1%353.9K-27.0M-318.6K1.227.71N/AN/A4,2405,174178,824178,091
2016-07-20$4.52$3.0057.2%16.4%48.4%21.1%59.1%1.6%1.5%334.7K-27.5M-312.8K0.888.07N/AN/A4,6514,108180,508179,477
2016-07-21$4.59$3.0057.1%16.4%46.3%20.8%56.7%4.8%-1.7%363.5K-29.9M-315.6K1.017.59N/AN/A3,6803,721182,508179,744
2016-07-22$4.68$3.0060.5%17.8%46.6%28.3%59.0%5.1%-7.7%440.6K-34.0M-319.7K0.176.29N/AN/A40,9787,172183,505181,002
2016-07-25$5.94$3.5055.2%16.3%91.5%16.8%45.6%5.4%0.6%556.2K-89.7M-329.3K0.537.14N/AN/A40,20521,455213,752180,820
2016-07-26$6.21$4.0055.7%16.0%91.9%17.9%54.8%4.1%-0.7%462.6K-94.7M-328.1K2.636.85N/AN/A14,09937,114210,451193,715
2016-07-27$5.78$4.0057.0%16.3%97.2%20.8%58.6%6.4%-0.4%329.4K-73.7M-367.8K0.825.29N/AN/A33,80727,715212,901209,050
2016-07-28$6.00$4.0055.0%16.1%97.3%16.4%63.2%6.3%-0.6%413.1K-90.7M-386.3K0.905.90N/AN/A43,59939,203231,920209,413
2016-07-29$6.15$4.0053.1%15.1%97.4%12.1%52.7%2.8%1.3%513.4K-105.6M-434.2K2.504.45N/AN/A9,66624,207254,488225,721