S Options History — January 2017

In January 2017, S traded between $8.43 and $9.41. ATM implied volatility averaged 52.8%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 21.4% (HV 20d: 31.4%). Max pain ranged from $5.00 to $8.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.29.

Notable Days

  • 2017-01-03: Highest Volume — 59,988 contracts
  • 2017-01-31: Largest IV drop — 17.6% change
  • 2017-01-03: Highest IV Rank — 27.4%
  • 2017-01-24: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.88$8.43$9.41$8.56$9.24
Max Pain$6.53$5.00$8.50$5.00$8.50
ATM IV52.8%41.1%55.3%55.3%41.1%
Expected Move14.8%11.4%16.4%11.4%11.9%
HV 20d31.4%24.8%46.2%45.7%24.8%
HV 60d46.1%43.1%48.0%47.9%43.1%
IV Rank23.3%0.5%27.4%27.4%0.5%
IV Percentile29.8%1.2%41.3%41.3%1.2%
Term Structure-1.6%-3.2%0.5%-1.5%0.3%
VWIV52.4%40.1%58.7%40.1%42.1%
Skew 25d2.8%-1.1%6.8%3.4%1.6%
Skew 10d4.7%-5.2%16.5%8.9%2.2%
Call IV 25d53.6%41.2%57.1%57.1%41.2%
Put IV 25d56.4%42.8%62.4%60.5%42.8%
Bid-Ask Spread %3.342.625.563.373.14
Gamma HHI0.200.150.280.150.23
Net GEX631.7K-10.4K1.2M-10.4K1.1M
Net DEX-142.4M-180.1M-99.3M-145.9M-111.8M
Net VEX-658.0K-769.8K-577.2K-587.7K-758.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.290.335.700.332.55
Total Volume38,601.0519,37559,98859,98846,584
Total OI709,970.6578,860795,288695,813706,967

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$8.56$5.0055.3%11.4%45.7%27.4%40.1%3.4%-1.5%-10.4K-145.9M-587.7K0.333.37N/AN/A45,00014,988291,899403,914
2017-01-04$8.77$5.0054.8%12.0%46.2%26.5%42.3%3.0%-1.7%463.9K-170.4M-596.0K2.344.16N/AN/A8,14319,056310,394406,226
2017-01-05$8.77$6.0054.7%14.9%46.2%26.2%52.0%2.7%-2.6%376.2K-164.9M-582.0K0.972.98N/AN/A17,78917,289304,285412,293
2017-01-06$8.72$6.0054.3%15.0%32.1%25.5%50.9%6.8%-2.2%647.8K-164.9M-587.2K1.873.23N/AN/A9,19117,170314,377415,222
2017-01-09$8.71$6.0053.3%14.8%31.1%23.6%53.3%-1.1%-0.8%686.9K-163.1M-577.2K2.332.62N/AN/A5,82713,548311,117408,246
2017-01-10$8.70$6.0054.9%14.8%29.8%26.7%54.4%5.3%-3.2%686.4K-160.2M-579.8K5.702.76N/AN/A7,01839,985312,828409,892
2017-01-11$8.62$6.0053.4%14.6%26.8%23.9%53.0%4.3%-2.9%571.4K-153.4M-627.0K3.622.77N/AN/A5,92221,456314,681429,778
2017-01-12$8.43$6.0053.5%15.0%28.1%24.1%52.4%4.8%-1.0%102.7K-138.8M-640.3K3.043.27N/AN/A7,13221,683314,616437,443
2017-01-13$8.59$6.0053.2%14.8%28.6%23.4%53.5%5.6%-2.7%339.8K-149.1M-660.8K1.533.09N/AN/A12,19918,631315,962442,024
2017-01-17$8.63$6.0053.5%15.2%28.5%24.0%53.7%3.4%-0.6%602.1K-154.4M-640.6K2.093.90N/AN/A8,39917,540312,696443,978
2017-01-18$8.72$6.0053.1%15.2%26.9%23.3%52.5%3.9%0.5%706.5K-158.7M-639.6K1.383.12N/AN/A11,28715,552313,862448,617
2017-01-19$8.96$6.0054.2%15.6%27.6%25.3%54.9%2.0%-2.1%1.2M-180.1M-618.2K1.052.65N/AN/A23,68524,850320,392453,001
2017-01-20$8.91$6.0052.9%15.3%27.7%22.8%52.0%2.5%-1.4%900.4K-173.8M-648.5K1.813.38N/AN/A12,29122,298331,832463,456
2017-01-23$9.17$6.0053.5%15.9%29.2%24.0%55.9%2.8%-1.2%1.1M-111.8M-696.8K2.563.47N/AN/A16,10541,184243,350335,510
2017-01-24$9.19$7.0054.4%16.4%29.1%25.6%58.7%-0.2%-1.2%873.9K-110.9M-714.3K3.773.65N/AN/A12,49647,052250,967358,693
2017-01-25$9.20$8.0053.0%16.0%29.1%26.7%57.2%-0.6%-2.1%547.5K-107.0M-734.8K3.672.99N/AN/A9,19933,787258,136384,858
2017-01-26$9.41$8.0051.6%15.7%29.1%23.4%55.8%1.4%-1.5%591.0K-119.1M-736.8K1.233.37N/AN/A19,53723,999261,160398,715
2017-01-27$9.24$8.5051.3%15.5%30.1%22.9%54.8%1.7%-2.3%575.2K-110.3M-769.8K1.413.41N/AN/A16,90423,838274,151404,152
2017-01-30$9.08$8.5049.8%16.2%30.8%19.7%58.7%2.1%-1.1%555.9K-99.3M-764.8K2.485.56N/AN/A12,49030,917277,287402,435
2017-01-31$9.24$8.5041.1%11.9%24.8%0.5%42.1%1.6%0.3%1.1M-111.8M-758.4K2.553.14N/AN/A13,12133,463286,811420,156