S Options History — February 2017

In February 2017, S traded between $8.33 and $9.31. ATM implied volatility averaged 40.7%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 6.0% (HV 20d: 34.7%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.35.

Notable Days

  • 2017-02-17: Highest Volume — 57,660 contracts
  • 2017-02-17: Largest IV spike — 38.1% change
  • 2017-02-17: Highest IV Rank — 37.3%
  • 2017-02-17: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.87$8.33$9.31$8.96$8.78
Max Pain$8.97$8.50$9.00$8.50$9.00
ATM IV40.7%36.9%52.0%40.4%40.8%
Expected Move11.7%10.8%14.9%12.1%11.2%
HV 20d34.7%27.2%38.3%27.2%36.6%
HV 60d38.0%35.4%45.3%43.7%36.1%
IV Rank7.3%0.0%37.3%0.0%9.6%
IV Percentile4.1%0.0%31.3%0.0%5.2%
Term Structure0.1%-5.0%2.5%-0.7%0.9%
VWIV41.5%38.1%52.3%42.5%39.1%
Skew 25d1.5%-0.8%3.4%1.9%0.5%
Skew 10d4.3%-2.3%13.0%4.5%0.6%
Call IV 25d41.3%36.5%52.5%40.0%42.3%
Put IV 25d42.9%39.6%53.2%41.9%42.9%
Bid-Ask Spread %6.372.4959.422.884.22
Gamma HHI0.200.160.290.220.17
Net GEX-83.0K-1.7M1.1M55.9K680.9K
Net DEX-81.1M-123.9M-43.9M-87.1M-69.7M
Net VEX-729.5K-755.5K-679.7K-748.3K-716.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.865.342.903.20
Total Volume36,071.05323,94857,66033,59727,400
Total OI705,135607,775759,309719,089639,686

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$8.96$8.5040.4%12.1%27.2%0.0%42.5%1.9%-0.7%55.9K-87.1M-748.3K2.902.88N/AN/A8,62024,977291,885427,204
2017-02-02$8.53$9.0040.7%11.6%31.5%0.7%41.0%1.4%-0.3%-1.7M-54.8M-727.7K2.132.80N/AN/A13,33328,437293,729429,177
2017-02-03$8.44$9.0038.6%11.8%31.7%0.0%39.9%1.4%0.0%-1.4M-45.8M-745.9K2.392.72N/AN/A10,81325,893300,754435,841
2017-02-06$8.36$9.0038.5%11.6%31.8%0.0%41.4%1.4%2.1%-1.7M-45.4M-717.4K1.142.62N/AN/A18,72321,372291,510429,413
2017-02-07$8.33$9.0040.1%12.2%31.8%3.3%42.2%3.4%2.5%-1.7M-43.9M-727.5K5.342.49N/AN/A7,27238,843298,618433,678
2017-02-08$8.66$9.0040.2%11.5%34.9%3.6%40.9%2.6%-0.2%-1.6M-68.6M-755.5K2.212.63N/AN/A8,91219,678299,836451,584
2017-02-09$8.77$9.0037.9%11.1%35.1%0.0%39.6%3.4%1.0%-825.0K-77.3M-750.2K2.833.05N/AN/A6,36718,026302,376454,468
2017-02-10$8.95$9.0036.9%10.8%34.6%0.0%38.1%3.0%1.6%9.4K-95.2M-738.2K1.363.33N/AN/A14,70019,923303,004456,305
2017-02-13$8.84$9.0039.1%11.3%34.5%4.7%40.4%1.7%-0.2%-269.3K-85.1M-736.7K2.443.15N/AN/A8,58020,974297,422439,012
2017-02-14$9.09$9.0040.1%11.6%35.7%7.4%41.0%1.8%-0.3%794.8K-106.7M-716.3K1.943.22N/AN/A9,67318,733301,966439,989
2017-02-15$9.14$9.0039.2%11.2%35.6%5.6%39.6%2.3%-0.7%1.1M-116.0M-680.5K2.063.07N/AN/A10,74722,112303,095443,053
2017-02-16$8.96$9.0037.7%10.8%35.2%1.8%38.1%1.8%-0.5%-123.8K-91.3M-745.1K3.132.82N/AN/A5,80018,148302,879448,472
2017-02-17$9.31$9.0052.0%14.9%37.6%37.3%52.3%0.7%-5.0%506.1K-123.9M-747.7K0.8659.42N/AN/A31,02526,635303,009449,473
2017-02-21$9.29$9.0044.6%13.0%36.3%19.0%45.6%-0.8%0.2%1.1M-101.1M-679.7K1.903.85N/AN/A16,48331,359241,109366,666
2017-02-22$9.29$9.0043.0%12.1%36.3%14.9%43.3%-0.7%0.5%962.0K-94.6M-724.8K3.054.72N/AN/A10,96433,397239,342378,351
2017-02-23$8.98$9.0040.9%11.5%38.3%9.9%41.6%1.1%1.6%664.7K-78.5M-729.7K1.504.18N/AN/A16,78925,142244,766383,925
2017-02-24$8.94$9.0040.8%11.6%37.3%9.6%41.3%1.7%-0.5%770.7K-78.7M-748.5K1.734.92N/AN/A12,41321,438256,135387,242
2017-02-27$8.90$9.0041.6%11.2%36.8%11.5%40.9%0.8%-0.5%818.3K-77.3M-723.9K2.504.95N/AN/A9,04322,606247,107385,484
2017-02-28$8.78$9.0040.8%11.2%36.6%9.6%39.1%0.5%0.9%680.9K-69.7M-716.2K3.204.22N/AN/A6,52720,873250,557389,129