S Options History — April 2017

In April 2017, S traded between $8.28 and $9.03. ATM implied volatility averaged 52.6%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 29.3% (HV 20d: 23.3%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 3.13.

Notable Days

  • 2017-04-25: Highest Volume — 97,970 contracts
  • 2017-04-24: Largest IV drop — 7.5% change
  • 2017-04-28: Highest IV Rank — 58.7%
  • 2017-04-28: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.58$8.28$9.03$8.69$9.03
Max Pain$8.92$8.50$9.00$8.50$9.00
ATM IV52.6%45.5%58.1%45.5%58.1%
Expected Move14.7%9.5%17.6%9.5%17.6%
HV 20d23.3%20.9%31.3%31.3%20.9%
HV 60d30.3%29.2%31.1%30.7%29.2%
IV Rank45.9%29.5%58.7%29.5%58.7%
IV Percentile52.1%21.8%81.7%21.8%81.7%
Term Structure-1.4%-6.8%1.6%-0.6%-2.3%
VWIV52.7%33.3%65.5%33.3%65.5%
Skew 25d3.2%-1.5%7.4%1.8%-0.3%
Skew 10d6.9%-9.9%35.5%2.9%5.0%
Call IV 25d53.7%47.7%63.0%49.6%63.0%
Put IV 25d56.8%51.0%62.7%51.4%62.7%
Bid-Ask Spread %8.645.1815.086.156.60
Gamma HHI0.190.160.220.210.20
Net GEX736.5K52.0K1.9M836.0K1.9M
Net DEX-70.4M-109.5M-46.1M-74.0M-107.5M
Net VEX-767.3K-863.1K-677.0K-729.7K-863.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.130.446.571.480.44
Total Volume37,150.84223,12697,97033,98356,725
Total OI742,755.316685,146821,836685,146821,836

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$8.69$8.5045.5%9.5%31.3%29.5%33.3%1.8%-0.6%836.0K-74.0M-729.7K1.486.15N/AN/A13,69120,292276,982408,164
2017-04-04$8.68$8.5048.2%9.5%23.8%35.6%34.0%1.0%-1.4%919.9K-74.1M-734.4K1.716.24N/AN/A11,71120,004280,552408,554
2017-04-05$8.46$8.5047.1%9.5%25.5%33.2%34.2%3.3%-0.7%464.8K-60.0M-740.6K2.105.18N/AN/A17,77637,245280,018409,832
2017-04-06$8.41$9.0048.8%14.2%25.5%37.0%48.5%4.0%0.2%97.8K-52.1M-744.9K1.098.56N/AN/A23,08825,255285,736427,515
2017-04-07$8.39$9.0051.2%14.8%25.4%42.7%51.4%7.0%-2.9%181.4K-52.2M-793.5K2.8111.49N/AN/A8,58824,138296,427437,722
2017-04-10$8.35$9.0051.4%14.7%24.4%43.3%52.9%5.3%0.3%224.0K-55.1M-745.0K3.848.32N/AN/A8,11931,138296,886434,446
2017-04-11$8.33$9.0052.3%15.0%24.2%45.2%53.2%5.5%1.1%257.5K-53.9M-740.1K4.399.29N/AN/A6,12826,899298,906434,557
2017-04-12$8.32$9.0052.6%15.1%21.7%45.9%56.4%3.3%1.0%81.7K-48.7M-790.1K1.7515.08N/AN/A11,44820,053300,145443,215
2017-04-13$8.28$9.0053.0%15.3%21.8%46.8%52.1%6.2%1.6%65.1K-46.1M-775.3K6.579.14N/AN/A3,20921,076307,040438,115
2017-04-17$8.29$9.0055.5%15.9%21.7%52.6%54.7%7.4%-6.8%52.0K-53.4M-745.3K5.0413.14N/AN/A4,03520,335305,371437,290
2017-04-18$8.51$9.0053.0%15.1%23.6%46.9%53.5%4.7%-0.3%743.4K-62.5M-762.5K4.158.20N/AN/A4,88520,281306,529437,711
2017-04-19$8.58$9.0051.9%14.9%22.0%44.4%52.9%4.2%-2.4%837.6K-67.8M-777.7K4.608.04N/AN/A4,25119,568307,675437,948
2017-04-20$8.60$9.0053.9%15.6%22.0%49.1%55.0%0.8%-2.5%1.0M-74.0M-749.2K4.449.63N/AN/A4,25018,876308,536438,866
2017-04-21$8.50$9.0057.4%16.9%21.3%57.1%58.1%0.6%-4.5%1.1M-66.8M-762.4K4.078.59N/AN/A4,99820,362310,028439,196
2017-04-24$8.71$9.0053.1%16.1%22.7%47.0%55.9%3.2%-1.3%992.1K-82.2M-677.0K2.6810.87N/AN/A10,49528,082296,273428,328
2017-04-25$8.95$9.0055.6%16.9%21.7%52.8%62.5%1.8%-1.3%1.1M-96.2M-769.7K0.977.08N/AN/A49,68448,286301,991438,382
2017-04-26$8.94$9.0054.8%16.3%21.8%51.0%63.6%1.8%-1.8%1.5M-101.9M-848.9K3.486.52N/AN/A7,80327,145346,389467,308
2017-04-27$9.03$9.0056.1%16.8%20.9%54.1%63.4%-1.5%-2.4%1.6M-109.5M-828.3K3.896.10N/AN/A5,30620,641348,656469,226
2017-04-28$9.03$9.0058.1%17.6%20.9%58.7%65.5%-0.3%-2.3%1.9M-107.5M-863.1K0.446.60N/AN/A39,39817,327350,884470,952