S Options History — September 2016

In September 2016, S traded between $6.20 and $6.94. ATM implied volatility averaged 56.5%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 17.4% (HV 20d: 39.1%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.86.

Notable Days

  • 2016-09-20: Highest Volume — 76,112 contracts
  • 2016-09-26: Largest IV spike — 15.3% change
  • 2016-09-29: Highest IV Rank — 47.6%
  • 2016-09-13: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.60$6.20$6.94$6.21$6.67
Max Pain$6.38$6.00$7.00$6.00$7.00
ATM IV56.5%43.8%67.5%46.0%64.3%
Expected Move14.8%12.0%17.6%12.0%13.0%
HV 20d39.1%16.3%50.7%16.3%50.6%
HV 60d64.2%63.4%65.5%63.5%64.0%
IV Rank25.5%0.0%47.6%1.5%41.2%
IV Percentile32.7%0.0%79.0%1.6%64.3%
Term Structure1.7%-4.6%15.3%-0.4%-2.5%
VWIV52.9%40.5%62.3%40.5%46.9%
Skew 25d1.9%-4.5%6.3%3.0%3.5%
Skew 10d7.7%-12.2%24.3%8.6%9.7%
Call IV 25d57.3%45.4%69.8%47.6%63.5%
Put IV 25d59.2%48.3%69.7%50.6%67.0%
Bid-Ask Spread %7.153.9623.905.114.49
Gamma HHI0.200.160.250.220.21
Net GEX644.7K-6.7K1.3M-6.7K379.4K
Net DEX-94.5M-119.5M-70.6M-76.2M-84.0M
Net VEX-604.0K-684.3K-525.0K-532.4K-677.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.860.526.713.894.32
Total Volume48,123.95221,68176,11221,68147,655
Total OI598,091.81504,047670,178516,308670,178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$6.21$6.0046.0%12.0%16.3%1.5%40.5%3.0%-0.4%-6.7K-76.2M-532.4K3.895.11N/AN/A4,43017,251239,979276,329
2016-09-02$6.42$6.0043.8%12.1%19.9%0.0%43.3%2.9%0.3%361.3K-87.0M-525.6K1.244.36N/AN/A13,13716,316240,553277,661
2016-09-06$6.35$6.0045.1%13.8%20.5%2.7%51.1%4.3%0.6%511.0K-85.1M-527.5K4.044.03N/AN/A6,95928,137243,747260,300
2016-09-07$6.63$6.0048.9%14.1%25.2%10.4%49.9%4.4%0.0%619.9K-98.3M-525.0K0.524.66N/AN/A35,84918,503245,089273,264
2016-09-08$6.85$6.0053.5%15.6%27.1%19.5%55.3%2.0%1.0%875.7K-117.6M-552.5K0.9023.90N/AN/A27,60124,746271,938275,975
2016-09-09$6.65$6.0060.2%16.5%29.2%33.0%60.5%2.9%-0.6%736.2K-106.8M-585.9K1.2623.86N/AN/A23,11229,062288,632285,107
2016-09-12$6.94$6.0061.2%16.6%32.2%34.9%58.9%3.0%-2.4%992.1K-119.5M-577.8K1.864.77N/AN/A25,45147,292291,609288,019
2016-09-13$6.57$6.0062.4%17.6%38.7%37.4%62.3%3.6%-1.2%798.5K-94.0M-632.3K2.274.79N/AN/A14,52632,961304,732315,054
2016-09-14$6.53$6.0058.4%16.1%38.2%29.4%58.1%0.8%-1.2%1.0M-92.6M-623.2K5.094.71N/AN/A6,62833,748313,448316,465
2016-09-15$6.81$6.0056.6%15.7%40.2%25.7%55.1%6.3%-2.5%1.3M-112.0M-616.9K2.105.60N/AN/A23,18248,670315,655318,029
2016-09-16$6.68$6.0054.9%15.3%41.2%22.3%55.1%3.5%-1.3%799.9K-105.1M-621.2K1.015.41N/AN/A31,86032,077317,735318,477
2016-09-19$6.66$6.0053.5%15.4%40.7%19.5%53.3%2.8%7.4%902.0K-95.5M-628.8K1.525.60N/AN/A21,11132,032300,901295,369
2016-09-20$6.20$6.0057.0%16.3%48.7%26.5%58.6%-4.5%10.5%272.6K-70.6M-626.9K1.519.16N/AN/A30,30445,808302,246297,185
2016-09-21$6.39$7.0054.6%15.7%49.6%21.8%57.7%0.2%11.6%92.7K-73.4M-643.1K0.997.76N/AN/A27,50427,335307,477319,660
2016-09-22$6.60$7.0055.2%15.3%50.7%22.9%53.2%1.4%10.4%407.3K-91.2M-633.4K2.538.09N/AN/A10,42526,412311,477323,316
2016-09-23$6.66$7.0055.1%14.2%50.6%22.7%51.4%1.0%15.3%690.8K-95.8M-624.4K5.195.74N/AN/A5,57528,935314,189324,885
2016-09-26$6.68$7.0063.5%14.5%50.5%39.6%50.9%-0.3%-4.6%717.1K-94.4M-619.8K3.695.49N/AN/A5,79821,421304,003310,474
2016-09-27$6.73$7.0060.4%13.8%50.4%33.4%50.3%-2.8%1.1%812.5K-96.7M-618.3K3.123.96N/AN/A7,35522,920305,774310,681
2016-09-28$6.78$7.0065.5%13.3%50.1%43.7%47.9%0.3%-2.6%839.2K-99.6M-606.5K6.714.44N/AN/A7,53850,595307,662316,479
2016-09-29$6.68$7.0067.5%14.0%50.5%47.6%51.0%1.4%-3.5%458.7K-88.3M-684.3K6.224.30N/AN/A6,97743,405310,213349,962
2016-09-30$6.67$7.0064.3%13.0%50.6%41.2%46.9%3.5%-2.5%379.4K-84.0M-677.6K4.324.49N/AN/A8,95838,697310,998359,180