S Options History — November 2016

In November 2016, S traded between $5.96 and $8.00. ATM implied volatility averaged 52.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded below realized volatility by 3.1% (HV 20d: 55.2%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 2.85.

Notable Days

  • 2016-11-09: Highest Volume — 65,417 contracts
  • 2016-11-09: Largest IV spike — 14.5% change
  • 2016-11-09: Highest IV Rank — 25.9%
  • 2016-11-02: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.16$5.96$8.00$6.17$7.86
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV52.1%47.0%56.7%52.8%47.0%
Expected Move15.0%13.4%16.9%15.7%13.6%
HV 20d55.2%39.7%65.1%39.7%56.5%
HV 60d46.2%38.4%49.8%38.4%49.6%
IV Rank16.8%6.4%25.9%18.0%6.4%
IV Percentile17.8%4.0%34.9%15.5%4.0%
Term Structure-0.2%-2.9%2.0%-1.5%0.6%
VWIV52.4%46.6%58.8%55.2%48.5%
Skew 25d3.5%2.0%5.7%4.3%2.7%
Skew 10d8.7%1.8%30.0%8.7%3.8%
Call IV 25d51.6%46.8%57.0%49.9%48.6%
Put IV 25d55.1%50.0%60.8%54.2%51.4%
Bid-Ask Spread %4.423.386.206.204.42
Gamma HHI0.200.140.310.170.29
Net GEX351.5K-242.8K866.8K-167.3K834.6K
Net DEX-102.9M-149.1M-30.1M-41.5M-135.2M
Net VEX-580.9K-613.8K-542.6K-608.1K-546.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.851.295.972.075.97
Total Volume40,639.95227,48665,41734,66050,276
Total OI655,036.476592,844710,471654,644616,929

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$6.17$7.0052.8%15.7%39.7%18.0%55.2%4.3%-1.5%-167.3K-41.5M-608.1K2.076.20N/AN/A11,30723,353291,688362,956
2016-11-02$5.96$7.0055.9%16.9%41.0%24.3%58.8%2.1%-0.8%-229.1K-30.1M-604.1K2.114.50N/AN/A11,54824,321293,937364,420
2016-11-03$6.08$7.0055.9%15.7%41.8%24.4%53.9%4.2%-0.5%-242.8K-38.0M-610.8K2.944.13N/AN/A10,50830,899296,372366,214
2016-11-04$6.13$7.0053.3%15.3%42.0%19.1%54.6%2.8%-0.2%-221.9K-37.1M-613.8K2.735.51N/AN/A11,47831,369296,839376,589
2016-11-07$6.21$7.0053.7%14.8%40.1%20.0%49.3%5.7%-1.6%-174.4K-42.4M-603.5K2.486.13N/AN/A10,86126,973291,662373,752
2016-11-08$6.28$7.0049.5%14.5%40.4%11.5%47.6%4.3%1.3%-101.4K-46.6M-596.5K2.075.54N/AN/A13,35027,571293,754374,596
2016-11-09$7.17$7.0056.7%16.2%63.0%25.9%56.8%4.7%0.5%47.3K-109.4M-582.8K1.293.77N/AN/A28,58436,833296,211375,942
2016-11-10$7.07$7.0055.3%15.8%63.3%23.0%55.9%2.7%0.6%10.9K-104.0M-596.0K2.014.63N/AN/A21,10242,411300,122382,850
2016-11-11$7.10$7.0054.6%15.8%61.9%21.8%57.7%3.7%1.1%34.2K-107.0M-600.7K2.765.98N/AN/A12,26233,854306,935378,832
2016-11-14$7.46$7.0056.5%16.3%63.9%25.5%54.5%3.8%-1.9%326.9K-126.5M-584.2K1.604.28N/AN/A19,67331,389301,478380,669
2016-11-15$7.74$7.0053.5%15.3%64.5%19.6%55.0%2.5%2.0%787.5K-147.3M-575.3K2.123.95N/AN/A13,97929,650307,816381,859
2016-11-16$7.70$7.0055.7%16.0%64.6%23.9%58.8%2.5%-0.8%796.9K-149.1M-577.0K1.923.75N/AN/A14,72328,301313,276384,919
2016-11-17$7.48$7.0054.4%15.7%65.0%21.3%53.1%2.0%-2.9%692.1K-140.5M-563.6K4.723.38N/AN/A5,93728,039316,415390,773
2016-11-18$7.32$7.0051.9%14.9%65.1%16.4%51.4%3.5%-1.3%464.6K-129.3M-579.0K3.733.71N/AN/A6,87325,620316,388394,083
2016-11-21$7.43$7.0049.7%14.1%62.8%11.8%49.7%4.3%-0.3%527.0K-111.7M-571.3K2.963.65N/AN/A8,97826,534270,732322,112
2016-11-22$7.63$7.0048.1%13.4%58.0%8.8%48.8%4.0%0.4%761.3K-124.7M-555.7K3.733.75N/AN/A6,45324,052276,295325,383
2016-11-23$7.70$7.0047.9%13.5%57.3%8.3%46.6%3.2%0.2%813.1K-126.4M-565.9K4.264.12N/AN/A5,22822,258278,478328,227
2016-11-25$7.89$7.0048.2%13.6%56.8%8.9%48.8%2.6%0.6%739.0K-136.9M-563.7K3.114.13N/AN/A7,80724,258279,310329,972
2016-11-28$7.89$7.0047.0%13.5%56.8%6.5%47.7%4.7%-0.0%815.2K-134.3M-557.4K3.353.58N/AN/A6,36321,285276,646330,371
2016-11-29$8.00$7.0047.4%13.7%55.8%7.3%48.0%3.2%0.0%866.8K-142.1M-542.6K1.913.73N/AN/A12,79324,386278,579331,385
2016-11-30$7.86$7.0047.0%13.6%56.5%6.4%48.5%2.7%0.6%834.6K-135.2M-546.6K5.974.42N/AN/A7,21643,060279,476337,453