S Options History — June 2017 In June 2017, S traded between $7.81 and $8.95. ATM implied volatility averaged 47.6%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 9.5% (HV 20d: 38.0%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 3.14.
Notable Days 2017-06-07 : Highest Volume — 103,703 contracts2017-06-27 : Largest IV spike — 11.4% change2017-06-29 : Highest IV Rank — 70.9%2017-06-22 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $8.29 $7.81 $8.95 $8.57 $8.24 Max Pain $8.41 $7.00 $9.00 $7.00 $8.00 ATM IV 47.6% 42.0% 58.5% 43.6% 52.9% Expected Move 13.1% 11.5% 15.3% 12.2% 12.6% HV 20d 38.0% 31.5% 46.2% 41.2% 31.5% HV 60d 45.9% 44.3% 46.6% 44.3% 46.2% IV Rank 40.7% 25.4% 70.9% 29.8% 55.5% IV Percentile 39.9% 18.7% 88.9% 19.8% 60.7% Term Structure 1.4% -2.5% 10.5% -0.7% 2.0% VWIV 47.4% 40.5% 54.8% 47.7% 44.5% Skew 25d 0.9% -2.9% 3.1% 2.0% -0.1% Skew 10d 2.7% -11.0% 17.3% 5.2% 2.9% Call IV 25d 49.7% 42.1% 60.9% 45.5% 54.4% Put IV 25d 50.6% 44.1% 62.3% 47.5% 54.3% Bid-Ask Spread % 9.88 2.28 51.80 2.28 9.40 Gamma HHI 0.18 0.13 0.26 0.23 0.16 Net GEX 1.6M -482.7K 3.7M 2.6M 1.4M Net DEX -105.2M -181.8M -54.9M -141.1M -82.3M Net VEX -946.9K -1.0M -896.5K -961.7K -896.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.14 0.46 8.35 1.05 0.65 Total Volume 48,402.455 14,054 103,703 78,653 26,610 Total OI 947,210.545 735,057 1,141,091 1,061,902 755,812
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 2017-06-01 $8.57 $7.00 43.6% 12.2% 41.2% 29.8% 47.7% 2.0% -0.7% 2.6M -141.1M -961.7K 1.05 2.28 N/A N/A 38,415 40,238 516,383 545,519 2017-06-02 $8.90 $7.00 43.7% 13.2% 42.2% 30.0% 54.8% -2.0% -0.8% 3.4M -176.7M -975.0K 1.55 2.49 N/A N/A 30,302 47,044 517,969 546,910 2017-06-05 $8.95 $9.00 42.8% 11.5% 42.0% 27.5% 40.5% 0.5% 0.7% 3.7M -181.8M -977.7K 2.52 15.47 N/A N/A 16,069 40,524 532,650 545,499 2017-06-06 $8.77 $9.00 42.3% 12.0% 40.0% 26.0% 42.6% 0.7% -0.5% 3.4M -166.3M -962.6K 4.57 2.70 N/A N/A 10,041 45,935 535,450 546,991 2017-06-07 $8.66 $9.00 42.0% 12.4% 40.5% 25.4% 46.9% -0.1% 0.5% 2.8M -153.0M -959.4K 0.78 2.32 N/A N/A 58,158 45,545 535,807 551,590 2017-06-08 $8.59 $9.00 43.6% 12.9% 40.7% 29.8% 46.5% -0.5% -0.0% 2.8M -151.2M -1.0M 1.99 6.48 N/A N/A 23,218 46,242 570,601 553,735 2017-06-09 $8.12 $9.00 43.8% 13.0% 46.1% 30.4% 46.7% 2.7% -0.9% 991.0K -101.4M -983.6K 3.57 3.89 N/A N/A 12,200 43,582 576,649 564,022 2017-06-12 $8.21 $9.00 47.0% 13.5% 46.2% 39.1% 46.9% 2.3% 0.9% 1.1M -108.1M -978.2K 7.14 6.88 N/A N/A 6,474 46,247 572,497 561,924 2017-06-13 $8.26 $9.00 42.9% 12.8% 46.0% 27.9% 45.0% 2.7% 1.2% 1.2M -114.5M -953.0K 6.96 6.87 N/A N/A 5,658 39,364 574,043 558,355 2017-06-14 $8.14 $9.00 42.8% 12.3% 46.2% 27.5% 43.0% 2.1% 0.5% 569.0K -102.7M -947.8K 5.90 8.96 N/A N/A 6,378 37,625 575,197 559,701 2017-06-15 $8.05 $9.00 43.8% 12.7% 38.4% 30.3% 45.5% 3.1% 0.6% -482.7K -89.5M -977.1K 5.48 6.76 N/A N/A 6,709 36,785 575,492 561,495 2017-06-16 $7.81 $9.00 44.2% 12.4% 33.1% 31.5% 47.1% 1.8% -2.5% 913.8K -60.9M -922.5K 8.35 5.47 N/A N/A 7,650 63,879 575,586 565,505 2017-06-19 $7.92 $9.00 42.9% 12.3% 32.5% 27.9% 46.1% 2.7% 10.5% 698.7K -54.9M -915.3K 3.86 3.35 N/A N/A 6,991 26,982 347,992 387,065 2017-06-20 $8.14 $8.00 46.5% 13.3% 33.5% 37.9% 48.8% -2.9% 0.4% 1.3M -79.1M -916.5K 0.88 51.80 N/A N/A 36,181 31,794 350,981 389,664 2017-06-21 $8.23 $8.00 50.7% 14.6% 33.7% 49.6% 51.4% 0.8% 0.2% 1.6M -88.5M -946.4K 3.03 9.67 N/A N/A 9,613 29,120 367,989 393,900 2017-06-22 $8.12 $8.00 54.7% 15.3% 34.0% 60.6% 54.1% 0.6% 5.8% 1.4M -76.6M -964.7K 5.04 7.76 N/A N/A 5,577 28,085 368,556 399,847 2017-06-23 $8.11 $8.00 52.3% 14.6% 32.7% 53.9% 51.2% 2.8% 2.3% 1.3M -76.1M -933.4K 3.66 14.99 N/A N/A 7,210 26,355 369,547 399,426 2017-06-26 $8.00 $8.00 51.8% 14.3% 32.9% 52.4% 49.9% -0.4% 4.4% 1.1M -66.7M -927.8K 0.51 7.04 N/A N/A 9,310 4,744 361,325 381,473 2017-06-27 $8.23 $8.00 57.7% 13.5% 34.5% 68.7% 47.8% -1.7% -1.3% 1.4M -82.4M -910.0K 0.54 26.17 N/A N/A 18,420 9,954 359,790 383,631 2017-06-28 $8.27 $8.00 55.8% 13.0% 34.5% 63.5% 46.1% 1.4% 3.1% 1.4M -83.0M -915.7K 0.46 7.59 N/A N/A 13,102 6,011 362,712 386,451 2017-06-29 $8.16 $8.00 58.5% 13.8% 34.5% 70.9% 49.0% 1.9% 4.2% 1.2M -77.7M -905.9K 0.59 8.92 N/A N/A 9,113 5,400 363,456 389,445 2017-06-30 $8.24 $8.00 52.9% 12.6% 31.5% 55.5% 44.5% -0.1% 2.0% 1.4M -82.3M -896.5K 0.65 9.40 N/A N/A 16,104 10,506 364,857 390,955
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