S Options History — May 2017 In May 2017, S traded between $7.40 and $9.14. ATM implied volatility averaged 47.0%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 15.1% (HV 20d: 62.2%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.56.
Notable Days 2017-05-19 : Highest Volume — 136,373 contracts2017-05-17 : Largest IV spike — 17.0% change2017-05-03 : Highest IV Rank — 61.8%2017-05-01 : Largest Expected Move — 18.8%Monthly Statistics Metric Avg Min Max Open Close Price $8.12 $7.40 $9.14 $9.14 $8.49 Max Pain $7.27 $7.00 $9.00 $9.00 $7.00 ATM IV 47.0% 40.4% 59.1% 59.1% 45.8% Expected Move 13.7% 12.0% 18.8% 18.8% 12.8% HV 20d 62.2% 20.3% 71.6% 20.3% 70.9% HV 60d 42.4% 27.4% 45.9% 27.5% 45.7% IV Rank 38.3% 20.9% 61.8% 61.1% 35.9% IV Percentile 32.5% 13.1% 84.1% 84.1% 25.8% Term Structure 1.3% -3.9% 30.8% -3.2% -0.7% VWIV 50.6% 42.6% 68.4% 68.4% 47.1% Skew 25d 1.2% -1.3% 3.3% -1.3% 1.7% Skew 10d 1.3% -9.3% 8.4% -6.6% 5.4% Call IV 25d 49.5% 42.4% 63.5% 63.5% 48.2% Put IV 25d 50.7% 42.9% 62.2% 62.2% 49.9% Bid-Ask Spread % 5.00 2.33 10.68 7.57 2.48 Gamma HHI 0.17 0.14 0.22 0.20 0.22 Net GEX 79.6K -1.8M 2.2M 1.8M 2.2M Net DEX -62.2M -132.8M 9.8M -124.8M -132.8M Net VEX -841.3K -1.0M -739.0K -818.7K -960.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.38 5.06 1.02 4.41 Total Volume 61,449.455 24,378 136,373 42,000 54,998 Total OI 989,340.182 851,206 1,096,968 851,206 1,076,589
Daily Data (22 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 2017-05-01 $9.14 $9.00 59.1% 18.8% 20.3% 61.1% 68.4% -1.3% -3.2% 1.8M -124.8M -818.7K 1.02 7.57 N/A N/A 20,757 21,243 372,702 478,504 2017-05-02 $9.05 $9.00 55.3% 17.0% 20.8% 52.1% 66.9% 2.8% 0.8% 1.9M -117.2M -813.3K 0.49 10.68 N/A N/A 64,125 31,209 380,017 482,908 2017-05-03 $7.73 $9.00 55.2% 15.1% 60.4% 61.8% 53.5% 3.0% 30.8% -749.2K -8.1M -778.9K 0.62 8.49 N/A N/A 79,995 49,545 432,053 499,662 2017-05-04 $7.94 $7.00 48.8% 14.3% 61.0% 44.3% 52.0% 0.3% 1.1% -414.2K -23.9M -848.2K 0.65 5.25 N/A N/A 49,068 32,066 436,913 510,639 2017-05-05 $8.06 $7.00 46.2% 13.5% 61.3% 36.9% 54.1% 0.8% 0.4% -160.0K -39.0M -809.9K 0.50 7.76 N/A N/A 39,545 19,859 444,002 514,267 2017-05-08 $7.76 $7.00 45.1% 13.3% 62.6% 34.0% 46.8% 1.6% 1.3% -1.1M -15.6M -762.2K 0.47 3.50 N/A N/A 50,320 23,468 429,773 501,908 2017-05-09 $7.86 $7.00 44.6% 12.8% 62.9% 32.5% 48.7% 1.1% 0.0% -1.0M -24.0M -771.8K 0.38 4.96 N/A N/A 52,707 20,152 436,112 507,140 2017-05-10 $7.87 $7.00 40.4% 12.2% 62.9% 20.9% 43.9% 0.5% 2.3% -1.3M -26.5M -747.9K 0.84 4.35 N/A N/A 26,416 22,313 452,864 509,221 2017-05-11 $7.91 $7.00 43.1% 12.6% 63.0% 28.4% 48.3% 0.9% 1.6% -911.4K -36.1M -791.3K 0.80 6.31 N/A N/A 24,458 19,553 456,031 512,709 2017-05-12 $7.89 $7.00 43.6% 12.5% 63.0% 29.9% 46.0% 1.0% 0.1% -1.1M -33.4M -757.9K 0.69 8.99 N/A N/A 27,040 18,714 457,781 514,984 2017-05-15 $7.82 $7.00 41.7% 12.0% 63.0% 24.6% 42.6% 2.2% 0.1% -1.6M -24.7M -740.7K 1.40 2.86 N/A N/A 18,211 25,439 454,588 509,777 2017-05-16 $7.93 $7.00 41.9% 12.0% 62.4% 25.0% 45.8% -0.3% -0.3% -1.4M -37.2M -742.0K 1.75 2.38 N/A N/A 9,027 15,760 459,206 512,258 2017-05-17 $7.40 $7.00 49.0% 14.1% 66.4% 44.8% 48.6% 3.3% -3.9% -1.5M 9.8M -739.0K 4.98 7.14 N/A N/A 14,721 73,287 460,426 512,630 2017-05-18 $7.89 $7.00 48.1% 13.9% 71.0% 42.3% 50.6% 1.9% -1.7% -1.8M -27.6M -787.2K 1.68 3.76 N/A N/A 20,113 33,739 466,170 563,262 2017-05-19 $8.07 $7.00 49.2% 14.1% 71.6% 45.3% 53.7% 1.1% 0.0% 249.0K -61.1M -810.0K 0.58 4.69 N/A N/A 86,099 50,274 472,579 568,320 2017-05-22 $8.20 $7.00 47.6% 13.7% 71.2% 40.8% 49.5% 0.1% -0.0% 1.1M -92.4M -985.6K 1.52 3.94 N/A N/A 12,278 18,715 484,269 558,520 2017-05-23 $8.18 $7.00 46.0% 13.1% 70.4% 36.5% 47.0% 1.6% 0.8% 1.2M -95.4M -950.3K 1.54 3.71 N/A N/A 9,599 14,779 490,473 561,355 2017-05-24 $8.15 $7.00 46.1% 13.0% 70.3% 36.6% 48.6% 1.7% 0.3% 1.1M -92.0M -946.9K 2.49 3.47 N/A N/A 7,006 17,468 492,042 562,090 2017-05-25 $8.36 $7.00 45.6% 13.4% 71.0% 35.2% 49.2% 0.6% 0.3% 1.7M -112.5M -951.3K 0.71 2.92 N/A N/A 48,674 34,764 493,301 563,417 2017-05-26 $8.40 $7.00 46.6% 13.1% 71.0% 38.2% 53.4% 1.8% 0.3% 1.8M -127.3M -1.0M 1.71 2.37 N/A N/A 9,885 16,914 519,779 577,189 2017-05-30 $8.45 $7.00 46.1% 13.0% 70.9% 36.6% 49.0% 0.8% -1.4% 1.9M -127.9M -976.4K 5.06 2.33 N/A N/A 11,147 56,438 511,138 565,916 2017-05-31 $8.49 $7.00 45.8% 12.8% 70.9% 35.9% 47.1% 1.7% -0.7% 2.2M -132.8M -960.6K 4.41 2.48 N/A N/A 10,158 44,840 514,337 562,252
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