S Options History — August 2017 In August 2017, S traded between $8.06 and $8.84. ATM implied volatility averaged 40.3%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 3.6% (HV 20d: 43.9%). Max pain ranged from $8.00 to $8.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.90.
Notable Days 2017-08-01 : Highest Volume — 52,506 contracts2017-08-02 : Largest IV drop — 9.9% change2017-08-01 : Highest IV Rank — 45.2%2017-08-01 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $8.36 $8.06 $8.84 $8.84 $8.26 Max Pain $8.13 $8.00 $8.50 $8.00 $8.50 ATM IV 40.3% 35.2% 49.2% 49.2% 35.2% Expected Move 11.6% 9.2% 14.1% 14.1% 9.2% HV 20d 43.9% 25.0% 48.4% 45.9% 25.0% HV 60d 37.5% 35.2% 40.7% 40.2% 35.2% IV Rank 20.5% 6.5% 45.2% 45.2% 6.5% IV Percentile 14.5% 1.2% 48.8% 48.8% 1.2% Term Structure 0.6% -7.9% 3.2% -7.9% 0.9% VWIV 41.8% 32.1% 49.9% 49.9% 32.1% Skew 25d 0.8% -2.5% 3.3% -2.5% 1.2% Skew 10d -0.2% -10.6% 11.6% -3.7% -4.8% Call IV 25d 41.9% 34.8% 50.3% 50.3% 36.5% Put IV 25d 42.7% 37.2% 48.3% 47.8% 37.7% Bid-Ask Spread % 5.58 2.77 15.19 10.32 2.77 Gamma HHI 0.22 0.16 0.27 0.20 0.25 Net GEX 1.5M 578.2K 2.7M 2.7M 787.7K Net DEX -66.0M -115.7M -34.7M -115.7M -45.6M Net VEX -760.2K -821.5K -709.0K -742.4K -709.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.13 2.11 1.03 0.59 Total Volume 23,861.696 9,400 52,506 52,506 11,233 Total OI 755,385.913 673,193 827,697 744,056 722,306
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 2017-08-01 $8.84 $8.00 49.2% 14.1% 45.9% 45.2% 49.9% -2.5% -7.9% 2.7M -115.7M -742.4K 1.03 10.32 N/A N/A 25,857 26,649 335,804 408,252 2017-08-02 $8.74 $8.00 44.3% 13.1% 46.2% 31.7% 47.6% -1.9% 1.9% 2.4M -105.4M -754.7K 0.36 4.93 N/A N/A 19,586 7,026 341,299 416,959 2017-08-03 $8.54 $8.00 40.6% 12.2% 45.9% 21.4% 42.8% 2.6% -0.8% 2.1M -90.0M -748.6K 0.52 7.73 N/A N/A 14,658 7,627 350,794 417,761 2017-08-04 $8.70 $8.00 39.9% 11.5% 46.2% 19.6% 42.7% 0.7% -0.1% 2.7M -105.2M -758.8K 0.89 7.18 N/A N/A 22,531 20,136 357,661 419,714 2017-08-07 $8.63 $8.00 40.8% 12.4% 46.2% 21.9% 45.2% 0.4% 3.2% 2.5M -92.3M -771.8K 1.97 15.19 N/A N/A 8,133 16,007 346,545 415,059 2017-08-08 $8.41 $8.00 40.8% 12.4% 47.2% 22.0% 43.0% 0.5% 2.6% 1.8M -73.4M -768.5K 0.41 4.84 N/A N/A 18,377 7,614 348,815 421,240 2017-08-09 $8.25 $8.00 42.7% 12.4% 47.7% 27.3% 43.4% 1.2% 0.9% 1.2M -56.3M -793.7K 0.88 4.51 N/A N/A 16,797 14,768 360,573 430,936 2017-08-10 $8.06 $8.00 41.0% 12.4% 48.4% 22.6% 43.1% 2.2% 2.9% 979.9K -42.5M -790.0K 1.01 5.63 N/A N/A 19,928 20,079 363,306 431,690 2017-08-11 $8.32 $8.00 40.4% 12.1% 47.2% 20.9% 41.9% 3.3% 2.4% 1.6M -64.4M -797.2K 0.24 4.66 N/A N/A 16,894 4,041 369,098 431,493 2017-08-14 $8.42 $8.00 41.4% 12.0% 46.8% 23.8% 49.0% -0.7% -1.0% 1.7M -77.0M -767.3K 0.13 6.24 N/A N/A 40,057 5,294 366,318 425,431 2017-08-15 $8.32 $8.00 40.8% 11.7% 46.9% 21.9% 41.8% -0.8% -0.1% 1.7M -69.4M -757.0K 1.95 9.85 N/A N/A 5,900 11,522 384,235 427,278 2017-08-16 $8.28 $8.00 42.8% 12.3% 46.9% 27.4% 44.5% -1.2% 0.1% 1.5M -66.4M -770.4K 1.45 4.97 N/A N/A 5,389 7,828 385,075 433,970 2017-08-17 $8.12 $8.00 42.3% 12.0% 47.3% 26.0% 42.0% 2.8% 1.6% 1.3M -48.9M -777.4K 0.81 10.20 N/A N/A 7,561 6,124 385,961 437,540 2017-08-18 $8.10 $8.00 41.8% 11.7% 47.1% 24.6% 46.4% -1.6% 2.7% 634.7K -56.3M -759.7K 0.53 4.03 N/A N/A 12,663 6,692 387,858 439,839 2017-08-21 $8.06 $8.00 40.3% 11.4% 47.1% 20.7% 41.8% 1.0% 1.1% 578.2K -34.7M -809.5K 0.58 3.03 N/A N/A 10,340 6,022 284,104 389,089 2017-08-22 $8.24 $8.00 40.7% 11.3% 47.6% 21.6% 39.6% 0.5% 0.5% 910.5K -43.7M -821.5K 0.62 3.32 N/A N/A 11,234 6,916 289,721 392,571 2017-08-23 $8.31 $8.00 37.8% 10.9% 47.6% 13.6% 38.8% 1.1% 1.5% 1.3M -59.4M -744.8K 2.11 3.03 N/A N/A 9,633 20,311 294,676 396,209 2017-08-24 $8.40 $8.50 37.4% 10.7% 44.8% 12.6% 39.7% 0.4% -0.2% 1.3M -62.0M -738.4K 0.79 3.27 N/A N/A 9,171 7,223 298,881 411,288 2017-08-25 $8.46 $8.50 36.1% 10.0% 44.8% 9.0% 35.1% 1.5% 0.3% 1.5M -62.7M -740.1K 0.80 2.82 N/A N/A 14,875 11,924 298,096 411,604 2017-08-28 $8.32 $8.50 37.8% 10.4% 44.3% 13.6% 37.9% 2.1% 0.9% 1.1M -53.8M -726.8K 0.82 2.79 N/A N/A 8,239 6,734 302,465 408,836 2017-08-29 $8.27 $8.50 36.3% 9.8% 26.3% 9.5% 35.9% 3.0% -0.8% 882.6K -48.2M -723.1K 0.81 4.14 N/A N/A 5,206 4,194 302,570 412,825 2017-08-30 $8.24 $8.50 36.2% 9.9% 26.1% 9.3% 37.7% 2.4% 0.1% 772.8K -45.6M -715.2K 1.32 2.98 N/A N/A 4,233 5,593 303,957 414,174 2017-08-31 $8.26 $8.50 35.2% 9.2% 25.0% 6.5% 32.1% 1.2% 0.9% 787.7K -45.6M -709.0K 0.59 2.77 N/A N/A 7,068 4,165 304,576 417,730
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