S Options History — March 2017 In March 2017, S traded between $8.28 and $8.87. ATM implied volatility averaged 37.8%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 5.8% (HV 20d: 32.0%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 2.23.
Notable Days 2017-03-31 : Highest Volume — 70,966 contracts2017-03-22 : Largest IV spike — 7.6% change2017-03-31 : Highest IV Rank — 22.0%2017-03-07 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $8.51 $8.28 $8.87 $8.85 $8.69 Max Pain $8.89 $8.50 $9.00 $9.00 $8.50 ATM IV 37.8% 32.9% 42.3% 38.6% 42.3% Expected Move 10.4% 9.4% 11.4% 11.0% 10.1% HV 20d 32.0% 28.6% 36.5% 36.1% 31.5% HV 60d 32.6% 30.7% 36.3% 36.1% 30.7% IV Rank 6.4% 0.0% 22.0% 4.1% 22.0% IV Percentile 3.2% 0.0% 17.5% 1.6% 17.5% Term Structure 2.0% -6.1% 14.9% 0.6% 14.9% VWIV 36.3% 33.5% 38.7% 38.4% 36.8% Skew 25d 1.9% -4.0% 6.8% 2.4% 1.4% Skew 10d 9.4% -13.9% 29.4% 4.6% 29.4% Call IV 25d 37.6% 32.4% 42.2% 40.1% 38.5% Put IV 25d 39.5% 34.3% 44.1% 42.4% 39.9% Bid-Ask Spread % 5.57 3.02 10.19 4.32 6.14 Gamma HHI 0.15 0.11 0.19 0.18 0.19 Net GEX 303.8K -170.2K 787.9K 787.9K 689.5K Net DEX -60.1M -84.6M -43.5M -73.5M -84.6M Net VEX -706.2K -753.4K -645.1K -741.1K -690.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.23 0.41 4.17 2.02 0.41 Total Volume 33,786.087 26,279 70,966 33,639 70,966 Total OI 651,412.565 623,772 687,341 644,029 687,341
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-03-01 $8.85 $9.00 38.6% 11.0% 36.1% 4.1% 38.4% 2.4% 0.6% 787.9K -73.5M -741.1K 2.02 4.32 N/A N/A 11,141 22,498 252,951 391,078 2017-03-02 $8.73 $9.00 40.4% 10.4% 34.8% 8.5% 36.1% 1.1% -1.0% 602.5K -65.9M -753.4K 2.63 3.02 N/A N/A 7,404 19,476 258,796 393,596 2017-03-03 $8.87 $9.00 40.2% 10.3% 30.3% 8.2% 36.2% 1.4% -0.8% 590.3K -73.4M -745.0K 3.06 4.28 N/A N/A 6,622 20,275 260,044 393,334 2017-03-06 $8.78 $9.00 38.9% 10.9% 30.3% 5.0% 38.2% 1.0% 0.5% 410.8K -67.1M -729.1K 1.47 3.40 N/A N/A 15,303 22,550 249,181 379,380 2017-03-07 $8.31 $9.00 38.9% 11.4% 36.3% 4.9% 38.7% 1.1% -0.2% -81.9K -46.5M -709.7K 2.28 3.49 N/A N/A 12,223 27,926 253,315 383,236 2017-03-08 $8.40 $9.00 39.6% 11.3% 36.5% 6.7% 38.4% 2.4% 0.1% -129.2K -48.6M -719.8K 1.94 3.74 N/A N/A 12,019 23,302 258,981 389,143 2017-03-09 $8.34 $9.00 37.8% 11.1% 33.6% 2.1% 37.9% 0.8% 1.0% -170.2K -45.1M -708.3K 1.52 4.39 N/A N/A 12,209 18,579 261,708 389,623 2017-03-10 $8.30 $9.00 38.9% 11.0% 33.2% 4.8% 36.9% 1.7% -0.9% -97.1K -43.5M -712.3K 2.52 4.58 N/A N/A 8,523 21,500 263,145 389,819 2017-03-13 $8.47 $9.00 38.5% 11.1% 33.2% 4.0% 37.6% 2.1% 0.1% -56.0K -52.5M -701.8K 2.10 5.24 N/A N/A 9,232 19,432 256,664 388,178 2017-03-14 $8.40 $9.00 37.8% 10.8% 33.0% 2.3% 36.1% 4.2% 0.6% 56.2K -49.0M -703.4K 2.70 5.12 N/A N/A 7,266 19,634 259,802 388,942 2017-03-15 $8.64 $9.00 38.8% 10.2% 33.1% 4.7% 36.4% -4.0% -6.1% 211.9K -61.9M -714.8K 2.35 7.97 N/A N/A 7,841 18,438 260,024 389,433 2017-03-16 $8.63 $9.00 37.5% 10.1% 32.9% 1.4% 35.5% 1.6% -4.7% 271.4K -65.3M -645.1K 2.45 5.82 N/A N/A 7,674 18,782 260,971 390,219 2017-03-17 $8.56 $9.00 35.7% 9.6% 32.4% 0.0% 33.9% 1.5% -4.6% 235.4K -57.2M -697.5K 0.90 6.33 N/A N/A 21,825 19,560 260,957 391,657 2017-03-20 $8.49 $9.00 33.6% 9.6% 28.6% 0.0% 33.5% 0.8% 1.5% 383.5K -63.9M -675.8K 2.03 8.41 N/A N/A 11,578 23,501 242,249 381,523 2017-03-21 $8.29 $9.00 32.9% 9.4% 29.4% 0.0% 33.6% 1.5% 3.9% 204.0K -52.9M -701.4K 2.79 5.98 N/A N/A 8,394 23,409 248,634 386,662 2017-03-22 $8.28 $9.00 35.4% 10.1% 29.4% 5.8% 35.8% 2.1% 1.6% 168.2K -52.8M -679.2K 3.43 5.15 N/A N/A 6,078 20,822 252,254 390,481 2017-03-23 $8.45 $9.00 34.8% 9.9% 28.8% 4.6% 34.7% 1.9% 3.3% 382.9K -66.3M -657.0K 3.38 5.44 N/A N/A 6,351 21,484 253,239 391,376 2017-03-24 $8.54 $9.00 35.9% 10.1% 29.2% 7.2% 35.3% 1.3% 2.0% 448.5K -64.8M -711.9K 0.81 10.19 N/A N/A 26,097 21,140 254,065 392,489 2017-03-27 $8.30 $8.50 37.6% 10.5% 30.6% 11.2% 37.7% 2.4% 4.0% 495.7K -56.9M -723.2K 4.17 7.86 N/A N/A 7,226 30,137 268,297 391,826 2017-03-28 $8.32 $8.50 37.0% 10.4% 30.5% 9.5% 36.5% 6.7% 10.4% 322.0K -55.4M -729.9K 2.46 5.51 N/A N/A 7,771 19,152 270,165 403,319 2017-03-29 $8.50 $8.50 38.6% 10.1% 31.5% 13.4% 35.9% 6.8% 9.4% 500.7K -63.8M -714.9K 2.03 5.66 N/A N/A 9,550 19,386 271,536 404,055 2017-03-30 $8.52 $8.50 40.2% 10.1% 31.2% 17.1% 35.7% 2.5% 11.2% 761.0K -72.5M -677.2K 1.93 6.17 N/A N/A 11,181 21,623 273,955 404,846 2017-03-31 $8.69 $8.50 42.3% 10.1% 31.5% 22.0% 36.8% 1.4% 14.9% 689.5K -84.6M -690.7K 0.41 6.14 N/A N/A 50,432 20,534 278,867 408,474
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