S Options History — July 2017

In July 2017, S traded between $8.02 and $8.68. ATM implied volatility averaged 54.0%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 26.1% (HV 20d: 27.9%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.26.

Notable Days

  • 2017-07-25: Highest Volume — 137,005 contracts
  • 2017-07-14: Largest IV spike — 24.2% change
  • 2017-07-14: Highest IV Rank — 73.4%
  • 2017-07-27: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.32$8.02$8.68$8.15$8.02
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV54.0%47.7%59.4%53.4%54.6%
Expected Move15.3%11.2%18.1%11.8%17.5%
HV 20d27.9%24.2%32.6%31.4%30.1%
HV 60d45.7%35.0%47.8%46.3%35.0%
IV Rank58.7%41.2%73.4%56.9%60.3%
IV Percentile70.4%40.1%90.1%64.7%73.8%
Term Structure-2.1%-8.3%1.9%-1.1%-0.7%
VWIV56.2%41.4%65.5%41.4%63.5%
Skew 25d-7.0%-99.4%2.4%-5.1%0.7%
Skew 10d-7.0%-62.0%6.0%-9.9%1.7%
Call IV 25d63.9%52.3%159.1%59.9%57.3%
Put IV 25d56.9%49.9%63.2%54.8%57.9%
Bid-Ask Spread %10.852.8364.776.0812.60
Gamma HHI0.170.150.200.160.15
Net GEX1.7M715.7K3.8M1.2M1.1M
Net DEX-83.4M-112.7M-51.6M-73.7M-51.6M
Net VEX-831.7K-893.5K-757.7K-893.5K-764.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.252.202.031.01
Total Volume28,41813,247137,00517,09931,203
Total OI758,748.25703,732817,123747,768723,165

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$8.15$8.0053.4%11.8%31.4%56.9%41.4%-5.1%-1.1%1.2M-73.7M-893.5K2.036.08N/AN/A5,63711,462362,428385,340
2017-07-05$8.24$8.0053.0%11.2%31.3%55.7%44.6%2.1%1.9%1.4M-78.8M-883.9K0.897.56N/AN/A14,72613,063365,590388,575
2017-07-06$8.03$8.0055.4%15.0%32.2%62.4%54.5%-2.9%-4.8%715.7K-64.6M-872.5K1.0110.94N/AN/A12,24512,330366,123392,474
2017-07-07$8.12$8.0051.5%14.6%32.6%51.6%56.6%-0.7%0.1%837.1K-68.4M-871.6K1.236.33N/AN/A10,18512,482367,835395,283
2017-07-10$8.23$8.0049.5%14.2%26.1%46.1%51.3%-2.0%1.5%1.1M-74.7M-846.6K1.657.41N/AN/A9,42215,507365,390393,389
2017-07-11$8.18$8.0050.3%13.8%26.0%48.3%50.7%-2.2%-4.0%1.1M-71.2M-853.8K1.654.43N/AN/A8,17813,501366,257398,303
2017-07-12$8.24$8.0047.7%13.7%26.0%41.2%52.4%-2.3%0.1%1.3M-71.9M-886.2K1.445.59N/AN/A6,8989,907367,460399,716
2017-07-13$8.21$8.0047.8%13.5%25.5%41.4%50.0%-2.4%-1.2%995.6K-72.4M-832.5K1.384.80N/AN/A8,73712,024367,933400,966
2017-07-14$8.57$8.0059.4%15.4%29.2%73.4%57.3%-99.4%-6.0%1.9M-103.9M-869.7K0.2564.77N/AN/A44,21811,022370,202403,856
2017-07-17$8.38$8.0056.6%15.8%28.1%65.9%57.9%-2.9%-2.2%2.0M-93.6M-838.7K1.0629.34N/AN/A9,3729,970390,066403,599
2017-07-18$8.43$8.0053.9%15.3%27.8%58.2%55.8%-4.4%0.6%2.2M-98.0M-820.6K1.188.64N/AN/A6,0717,176391,900406,064
2017-07-19$8.40$8.0053.5%15.3%26.4%57.1%56.5%-5.7%-1.4%2.1M-95.9M-824.4K1.337.30N/AN/A5,7897,727401,309407,527
2017-07-20$8.46$8.0054.6%15.7%26.2%60.2%58.9%-5.2%-1.6%2.6M-99.2M-822.1K2.204.61N/AN/A5,19511,454402,876411,690
2017-07-21$8.53$8.0056.9%16.9%25.7%66.7%59.0%-1.5%-8.3%3.8M-103.6M-824.4K1.0910.38N/AN/A10,72311,677402,897414,226
2017-07-24$8.56$8.0054.6%16.2%25.7%60.4%60.6%-5.4%-2.9%2.2M-101.4M-812.5K0.923.13N/AN/A7,8917,260335,913372,245
2017-07-25$8.68$8.0055.7%16.8%25.2%63.2%61.1%-1.6%-1.9%2.4M-112.7M-795.4K0.582.97N/AN/A86,82950,176339,125375,285
2017-07-26$8.57$8.0057.7%17.2%24.2%68.9%65.5%2.4%-4.1%2.2M-98.7M-757.7K1.8213.10N/AN/A6,69312,160329,498374,234
2017-07-27$8.19$8.0057.7%18.1%29.4%68.8%64.4%-0.9%-2.1%1.5M-66.9M-779.3K1.504.19N/AN/A10,64215,940330,846381,060
2017-07-28$8.22$8.0057.3%17.6%29.0%67.7%61.9%-0.2%-3.5%1.4M-67.3M-783.6K0.982.83N/AN/A11,57411,294333,083391,237
2017-07-31$8.02$8.0054.6%17.5%30.1%60.3%63.5%0.7%-0.7%1.1M-51.6M-764.8K1.0112.60N/AN/A15,54815,655328,464394,701