S Options History — October 2016

In October 2016, S traded between $6.20 and $7.05. ATM implied volatility averaged 62.0%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 22.5% (HV 20d: 39.4%). Max pain ranged from $6.50 to $7.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2016-10-24: Highest Volume — 69,686 contracts
  • 2016-10-25: Largest IV drop — 19.7% change
  • 2016-10-13: Highest IV Rank — 50.5%
  • 2016-10-12: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.65$6.20$7.05$6.57$6.20
Max Pain$6.93$6.50$7.00$6.50$7.00
ATM IV62.0%49.1%68.9%64.9%51.4%
Expected Move16.9%13.1%19.4%13.3%15.6%
HV 20d39.4%26.8%50.1%49.7%40.9%
HV 60d51.1%35.4%64.1%63.9%38.4%
IV Rank36.5%10.7%50.5%42.4%15.3%
IV Percentile56.7%8.3%85.7%67.5%12.7%
Term Structure-1.8%-5.2%1.4%-2.1%-0.8%
VWIV60.4%43.4%70.1%49.0%54.3%
Skew 25d3.2%-0.0%6.2%5.4%4.0%
Skew 10d8.3%2.3%14.5%11.4%11.1%
Call IV 25d62.4%47.8%71.2%62.8%50.9%
Put IV 25d65.6%53.0%73.4%68.2%54.8%
Bid-Ask Spread %3.902.865.683.794.39
Gamma HHI0.240.140.440.220.15
Net GEX252.4K-1.0M1.3M261.6K-197.3K
Net DEX-77.6M-110.0M-44.8M-75.9M-44.8M
Net VEX-641.5K-680.5K-602.5K-675.8K-614.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.331.136.706.491.41
Total Volume45,354.14320,19269,68644,01937,321
Total OI679,584.524625,846721,726664,434650,045

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$6.57$6.5064.9%13.3%49.7%42.4%49.0%5.4%-2.1%261.6K-75.9M-675.8K6.493.79N/AN/A5,87738,142307,586356,848
2016-10-04$6.73$6.5065.0%13.3%50.1%42.7%46.8%3.8%-2.8%456.6K-85.6M-680.5K3.963.99N/AN/A11,12344,030308,471360,782
2016-10-05$6.65$6.5064.4%13.1%48.0%41.5%43.4%0.0%-2.8%146.0K-81.0M-668.9K4.694.11N/AN/A8,00137,542311,678366,962
2016-10-06$6.55$7.0063.7%17.5%46.7%40.0%63.9%1.6%-0.5%-102.1K-74.4M-673.1K6.703.25N/AN/A5,47836,699312,253367,808
2016-10-07$6.50$7.0064.1%18.2%45.7%40.8%65.2%4.3%-2.4%-1.0M-68.2M-674.1K6.123.65N/AN/A6,19137,892313,039368,403
2016-10-10$6.73$7.0065.4%18.1%44.7%43.5%65.3%-0.0%-1.5%517.9K-88.3M-654.6K5.723.92N/AN/A6,36536,408311,202365,863
2016-10-11$6.75$7.0068.7%18.3%40.1%50.1%66.5%4.7%-5.2%556.7K-89.2M-651.3K5.483.27N/AN/A6,98838,308312,651368,890
2016-10-12$6.78$7.0068.8%19.4%40.0%50.2%68.5%2.2%-0.8%563.6K-91.3M-658.2K5.534.18N/AN/A7,38540,865313,763372,999
2016-10-13$6.79$7.0068.9%19.2%37.1%50.5%70.1%1.5%-1.7%575.5K-91.2M-646.4K5.363.25N/AN/A9,24949,598315,785375,981
2016-10-14$7.05$7.0068.5%18.8%38.6%49.6%65.8%2.7%-4.3%794.9K-110.0M-653.2K1.985.68N/AN/A11,85423,522315,539387,178
2016-10-17$6.93$7.0065.3%18.4%39.2%43.2%65.1%3.9%-2.1%1.1M-100.5M-627.1K2.833.52N/AN/A5,26614,926314,151378,339
2016-10-18$6.82$7.0065.8%18.7%29.1%44.3%67.0%3.3%-3.2%957.6K-89.8M-635.0K1.132.86N/AN/A23,29926,351315,401379,015
2016-10-19$6.88$7.0064.7%18.5%27.5%42.0%66.4%3.5%-3.2%1.3M-92.9M-636.5K1.492.96N/AN/A16,21724,105326,693391,094
2016-10-20$6.73$7.0064.2%18.5%26.8%41.0%66.4%2.5%-2.5%491.5K-77.2M-635.9K1.713.51N/AN/A15,10925,873327,171391,563
2016-10-21$6.59$7.0064.2%18.8%27.7%41.0%66.2%1.6%-4.4%-49.6K-70.5M-633.1K1.393.69N/AN/A19,33326,943328,092393,634
2016-10-24$6.94$7.0063.6%19.0%33.3%39.8%67.2%1.6%-0.5%71.9K-89.9M-616.0K1.324.44N/AN/A30,06439,622276,045349,801
2016-10-25$6.51$7.0051.1%14.9%40.6%14.7%53.8%4.7%0.4%-250.3K-60.1M-602.5K1.485.31N/AN/A25,53837,720286,777361,941
2016-10-26$6.40$7.0049.1%15.0%40.8%10.7%53.9%4.8%1.4%-294.3K-53.0M-613.0K1.714.15N/AN/A17,64730,162290,386365,454
2016-10-27$6.31$7.0050.0%14.4%40.8%12.4%51.9%4.8%0.1%-335.9K-48.9M-603.6K1.543.56N/AN/A15,41723,747291,141366,127
2016-10-28$6.31$7.0049.2%14.5%40.8%10.8%50.8%6.2%1.0%-213.2K-46.3M-618.2K1.864.32N/AN/A12,66223,598302,520372,204
2016-10-31$6.20$7.0051.4%15.6%40.9%15.3%54.3%4.0%-0.8%-197.3K-44.8M-614.3K1.414.39N/AN/A15,48021,841288,082361,963