S Options History — August 2016 In August 2016, S traded between $5.93 and $6.23. ATM implied volatility averaged 49.0%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 22.7% (HV 20d: 71.7%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 2.84.
Notable Days 2016-08-02 : Highest Volume — 61,830 contracts2016-08-18 : Largest IV drop — 6.1% change2016-08-02 : Highest IV Rank — 16.3%2016-08-02 : Largest Expected Move — 16.3%Monthly Statistics Metric Avg Min Max Open Close Price $6.11 $5.93 $6.23 $6.14 $6.19 Max Pain $5.74 $4.00 $6.00 $4.00 $6.00 ATM IV 49.0% 45.3% 55.0% 54.8% 48.6% Expected Move 13.8% 12.0% 16.3% 15.5% 12.5% HV 20d 71.7% 18.2% 98.3% 97.5% 18.2% HV 60d 64.4% 64.0% 65.3% 64.9% 64.1% IV Rank 5.1% 0.0% 16.3% 15.9% 6.8% IV Percentile 2.7% 0.0% 11.1% 9.9% 5.6% Term Structure 0.1% -2.8% 1.8% -2.8% -0.7% VWIV 48.7% 41.6% 56.8% 54.5% 42.8% Skew 25d 3.8% -0.4% 11.9% 4.2% 1.8% Skew 10d 15.4% -1.1% 33.6% 16.2% 7.3% Call IV 25d 48.7% 39.4% 55.3% 54.2% 49.5% Put IV 25d 52.5% 47.4% 60.7% 58.3% 51.3% Bid-Ask Spread % 4.76 3.35 6.74 5.72 5.55 Gamma HHI 0.24 0.15 0.58 0.17 0.22 Net GEX -15.0K -1.1M 555.2K 555.2K -47.5K Net DEX -87.2M -104.4M -58.9M -103.4M -73.6M Net VEX -515.5K -549.3K -431.6K -431.6K -542.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.84 1.27 5.50 2.82 2.22 Total Volume 29,285.826 7,716 61,830 32,927 24,772 Total OI 530,403.348 471,737 605,673 471,737 512,411
Daily Data (23 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 2016-08-01 $6.14 $4.00 54.8% 15.5% 97.5% 15.9% 54.5% 4.2% -2.8% 555.2K -103.4M -431.6K 2.82 5.72 N/A N/A 8,629 24,298 250,880 220,857 2016-08-02 $5.96 $4.00 55.0% 16.3% 98.3% 16.3% 56.7% 5.4% 0.2% 546.0K -93.7M -442.8K 4.42 6.74 N/A N/A 11,403 50,427 253,931 222,929 2016-08-03 $6.08 $4.00 54.2% 15.4% 97.7% 14.6% 55.3% 3.9% -1.1% 396.5K -93.8M -472.3K 3.93 5.60 N/A N/A 5,225 20,521 254,530 253,347 2016-08-04 $6.22 $6.00 51.7% 15.0% 97.6% 9.2% 52.8% 5.7% -1.4% 410.0K -102.0M -462.2K 1.27 5.07 N/A N/A 22,008 28,056 255,788 254,392 2016-08-05 $6.18 $6.00 52.2% 15.0% 97.7% 10.3% 52.4% 2.1% -1.2% 183.7K -104.4M -516.0K 5.09 4.88 N/A N/A 5,791 29,451 273,478 268,560 2016-08-08 $6.20 $6.00 51.5% 14.7% 97.5% 8.8% 51.2% 1.9% -0.4% 236.5K -103.0M -524.2K 2.93 3.54 N/A N/A 6,587 19,321 271,855 271,879 2016-08-09 $6.19 $6.00 50.9% 14.4% 97.3% 7.4% 50.1% 3.4% -0.2% 253.0K -103.5M -510.5K 5.50 3.35 N/A N/A 3,633 19,991 273,306 273,366 2016-08-10 $6.16 $6.00 49.4% 14.3% 97.5% 4.3% 50.0% -0.4% 0.1% 162.7K -102.2M -512.7K 4.87 3.47 N/A N/A 3,882 18,909 273,452 275,254 2016-08-11 $6.09 $6.00 48.5% 14.2% 97.7% 2.2% 56.8% 3.5% 1.0% 36.7K -97.1M -525.7K 2.10 3.84 N/A N/A 17,844 37,429 274,498 276,589 2016-08-12 $6.09 $6.00 48.4% 13.8% 97.6% 1.9% 47.5% 4.6% -0.1% 275.6K -96.0M -528.5K 5.01 3.73 N/A N/A 4,430 22,197 288,407 294,802 2016-08-15 $6.16 $6.00 48.8% 14.0% 94.4% 3.0% 49.3% 4.1% 0.6% 317.4K -100.5M -514.0K 2.72 3.67 N/A N/A 5,925 16,108 284,382 292,699 2016-08-16 $6.06 $6.00 47.2% 13.6% 92.6% 0.0% 49.6% 3.1% 1.1% -158.8K -94.6M -516.6K 1.75 5.10 N/A N/A 11,449 20,028 286,070 293,517 2016-08-17 $6.01 $6.00 49.1% 14.1% 92.9% 4.2% 51.3% 4.1% -0.8% -447.4K -91.0M -527.1K 1.65 6.29 N/A N/A 10,250 16,936 292,883 298,948 2016-08-18 $6.02 $6.00 46.1% 13.1% 93.0% 0.0% 48.5% 4.1% 1.4% -1.1M -90.9M -537.8K 1.32 5.91 N/A N/A 3,332 4,399 292,880 312,251 2016-08-19 $5.93 $6.00 46.4% 13.2% 93.5% 0.5% 48.1% 1.8% 0.9% -341.0K -80.3M -530.4K 3.58 3.92 N/A N/A 6,301 22,556 293,886 311,787 2016-08-22 $6.04 $6.00 46.3% 12.5% 40.2% 0.3% 45.1% 5.2% 1.4% -397.3K -58.9M -524.6K 1.88 4.28 N/A N/A 10,870 20,464 211,653 262,636 2016-08-23 $6.12 $6.00 45.8% 12.3% 37.1% 0.0% 41.6% 3.7% 0.2% -336.9K -66.7M -530.1K 2.61 4.03 N/A N/A 7,398 19,311 219,788 264,226 2016-08-24 $6.09 $6.00 45.3% 12.5% 26.0% 0.0% 44.3% 11.9% 1.1% -251.5K -66.2M -536.1K 1.73 6.60 N/A N/A 2,824 4,892 222,777 265,283 2016-08-25 $6.17 $6.00 45.5% 12.0% 23.0% 0.5% 41.7% 5.4% 1.8% -183.3K -69.4M -540.5K 2.59 5.17 N/A N/A 6,657 17,269 224,390 269,576 2016-08-26 $6.15 $6.00 45.9% 12.5% 21.3% 1.3% 42.1% 4.5% 1.6% -243.1K -69.4M -541.5K 1.60 4.28 N/A N/A 10,060 16,144 226,815 271,002 2016-08-29 $6.23 $6.00 47.8% 13.2% 21.8% 5.1% 45.2% 3.9% -0.1% -34.2K -73.3M -538.9K 1.37 4.75 N/A N/A 13,538 18,580 228,025 269,168 2016-08-30 $6.15 $6.00 47.1% 12.5% 19.3% 3.8% 42.1% 0.1% 0.1% -157.7K -71.5M -549.3K 2.24 4.00 N/A N/A 7,237 16,242 237,154 272,970 2016-08-31 $6.19 $6.00 48.6% 12.5% 18.2% 6.8% 42.8% 1.8% -0.7% -47.5K -73.6M -542.9K 2.22 5.55 N/A N/A 7,702 17,070 238,952 273,459
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