S Options History — December 2016

In December 2016, S traded between $7.95 and $8.94. ATM implied volatility averaged 46.4%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 0.2% (HV 20d: 46.3%). Max pain ranged from $5.00 to $7.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.16.

Notable Days

  • 2016-12-07: Highest Volume — 65,730 contracts
  • 2016-12-27: Largest IV spike — 15.5% change
  • 2016-12-30: Highest IV Rank — 24.1%
  • 2016-12-07: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.42$7.95$8.94$7.95$8.40
Max Pain$5.19$5.00$7.00$7.00$5.00
ATM IV46.4%40.8%53.5%47.3%53.5%
Expected Move12.5%11.0%14.3%13.5%11.3%
HV 20d46.3%41.1%60.6%53.7%45.3%
HV 60d48.0%46.8%49.8%48.9%48.0%
IV Rank8.0%0.0%24.1%7.1%24.1%
IV Percentile8.2%0.0%30.2%5.6%30.2%
Term Structure3.2%-1.0%11.6%0.3%2.0%
VWIV44.8%39.5%51.4%47.7%39.8%
Skew 25d2.4%0.3%5.5%3.9%1.1%
Skew 10d5.9%-18.2%24.6%11.6%-18.2%
Call IV 25d46.9%41.3%53.4%46.9%53.4%
Put IV 25d49.3%43.0%56.7%50.7%54.5%
Bid-Ask Spread %3.592.175.093.314.00
Gamma HHI0.210.120.530.270.15
Net GEX378.6K-2.2M988.4K739.0K253.1K
Net DEX-148.5M-176.9M-135.1M-135.1M-139.4M
Net VEX-581.1K-607.5K-553.5K-559.7K-604.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.160.905.763.301.71
Total Volume40,311.57128,26765,73030,26837,187
Total OI673,101.19631,926716,953631,926691,057

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$7.95$7.0047.3%13.5%53.7%7.1%47.7%3.9%0.3%739.0K-135.1M-559.7K3.303.31N/AN/A7,04523,223281,373350,553
2016-12-02$7.98$7.0046.5%13.3%53.8%5.4%46.4%5.5%-0.4%900.9K-135.6M-569.9K4.383.87N/AN/A7,83234,327281,990351,416
2016-12-05$8.06$5.0045.1%13.5%53.8%2.7%47.0%2.9%1.5%567.0K-137.2M-553.5K3.133.05N/AN/A8,73727,390276,829360,167
2016-12-06$8.15$5.0047.9%14.1%53.8%8.3%50.3%0.8%0.7%483.4K-136.7M-574.6K1.185.08N/AN/A25,49830,047273,095365,624
2016-12-07$8.94$5.0050.1%14.3%60.6%12.7%51.4%2.8%0.6%548.4K-176.9M-597.9K1.553.90N/AN/A25,80339,927283,833370,814
2016-12-08$8.74$5.0048.2%13.5%44.5%8.8%48.8%1.1%0.3%249.1K-171.1M-578.4K1.053.94N/AN/A26,21127,553289,663387,096
2016-12-09$8.53$5.0046.9%13.3%45.4%6.2%48.5%2.1%0.9%-2.2M-161.5M-607.5K4.952.70N/AN/A7,79338,557305,048393,342
2016-12-12$8.23$5.0048.7%13.6%48.1%9.9%48.3%0.3%-1.0%721.6K-140.6M-603.6K3.093.07N/AN/A9,83230,377298,828387,677
2016-12-13$8.28$5.0046.1%13.2%45.5%4.6%46.7%1.5%-0.3%820.6K-146.5M-582.5K4.602.17N/AN/A6,92431,877302,222392,203
2016-12-14$8.37$5.0045.0%13.0%44.0%2.5%45.4%1.5%0.1%504.4K-148.0M-603.7K3.323.68N/AN/A8,63828,639302,655404,316
2016-12-15$8.45$5.0041.9%12.3%43.9%0.0%43.4%4.7%0.8%212.7K-154.8M-588.2K3.033.19N/AN/A9,01627,323303,100407,926
2016-12-16$8.24$5.0041.4%11.7%43.5%0.0%40.7%0.4%-0.2%160.9K-143.2M-581.2K3.783.08N/AN/A7,60228,724303,984412,969
2016-12-19$8.41$5.0040.8%11.7%42.7%0.0%42.0%1.5%10.9%201.2K-137.7M-585.3K2.523.59N/AN/A9,96025,119273,884378,707
2016-12-20$8.43$5.0041.0%11.8%42.6%0.3%42.5%1.5%11.0%578.4K-142.6M-565.8K5.763.45N/AN/A4,26024,546279,884380,597
2016-12-21$8.43$5.0040.9%11.7%42.0%0.2%41.3%3.3%11.6%684.7K-141.2M-577.3K3.235.09N/AN/A9,63731,116280,522381,248
2016-12-22$8.51$5.0043.9%12.0%42.0%5.8%43.8%2.2%10.7%988.4K-147.0M-583.6K5.483.42N/AN/A5,81531,845285,958389,639
2016-12-23$8.52$5.0045.2%11.7%41.4%8.2%42.6%1.5%11.4%272.8K-147.2M-575.3K4.103.31N/AN/A6,03624,766287,706390,858
2016-12-27$8.72$5.0052.1%11.9%41.9%21.4%41.0%3.8%2.5%385.2K-156.3M-557.6K4.203.70N/AN/A6,03225,314280,776388,480
2016-12-28$8.72$5.0051.3%11.1%41.8%19.8%42.8%4.7%2.9%406.9K-157.2M-562.8K0.904.21N/AN/A30,46627,282282,543391,069
2016-12-29$8.82$5.0051.5%11.0%41.1%20.1%39.5%4.0%1.8%518.5K-163.4M-590.1K1.093.66N/AN/A13,50214,765290,827394,647
2016-12-30$8.40$5.0053.5%11.3%45.3%24.1%39.8%1.1%2.0%253.1K-139.4M-604.3K1.714.00N/AN/A13,71823,469293,565397,492