S Options History — September 2017

In September 2017, S traded between $7.60 and $8.52. ATM implied volatility averaged 39.2%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 5.7% (HV 20d: 33.5%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-09-19: Highest Volume — 148,604 contracts
  • 2017-09-19: Largest IV spike — 23.0% change
  • 2017-09-26: Highest IV Rank — 46.4%
  • 2017-09-19: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.93$7.60$8.52$8.28$7.78
Max Pain$8.13$8.00$9.00$8.50$8.00
ATM IV39.2%33.0%49.6%33.0%47.4%
Expected Move10.9%8.0%12.5%8.0%11.9%
HV 20d33.5%20.6%51.7%23.9%51.7%
HV 60d36.7%33.2%42.2%35.1%41.9%
IV Rank17.7%0.5%46.4%0.5%40.4%
IV Percentile16.8%0.4%57.9%0.4%50.8%
Term Structure0.3%-3.5%5.0%1.9%-3.4%
VWIV40.1%30.5%48.9%30.5%45.5%
Skew 25d0.8%-5.4%3.9%3.9%-5.4%
Skew 10d-1.1%-12.4%7.6%3.4%-12.4%
Call IV 25d40.0%32.6%48.3%32.6%44.4%
Put IV 25d40.8%36.4%48.9%36.4%39.0%
Bid-Ask Spread %6.762.5532.142.685.93
Gamma HHI0.250.170.350.220.26
Net GEX777.6K-476.6K3.9M428.1K668.7K
Net DEX-25.8M-109.5M7.9M-38.0M-6.9M
Net VEX-732.2K-807.7K-648.2K-731.3K-807.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.073.610.770.30
Total Volume39,677.37,886148,60416,02297,824
Total OI821,736.1716,384958,895726,598958,895

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$8.28$8.5033.0%8.0%23.9%0.5%30.5%3.9%1.9%428.1K-38.0M-731.3K0.772.68N/AN/A9,0526,970307,239419,359
2017-09-05$8.18$9.0036.5%10.9%24.1%10.1%38.4%1.6%0.4%179.7K-29.5M-754.4K0.942.55N/AN/A5,2594,945300,764415,620
2017-09-06$8.14$9.0035.8%10.7%22.5%8.2%38.6%2.4%1.0%14.1K-36.6M-676.1K0.452.57N/AN/A5,4312,455301,866418,046
2017-09-07$7.98$8.0037.3%10.8%22.6%12.2%38.9%2.9%-0.3%-476.6K-14.9M-703.3K0.3815.37N/AN/A22,8038,569303,232418,557
2017-09-08$7.74$8.0039.3%11.0%23.6%17.8%39.6%2.7%1.6%55.2K-4.1M-677.9K0.334.55N/AN/A24,7218,236321,966420,610
2017-09-11$7.60$8.0039.8%11.4%20.6%19.1%44.6%0.6%0.1%79.4K1.6M-648.2K2.063.24N/AN/A33,33168,685332,766420,369
2017-09-12$7.91$8.0037.1%10.5%25.4%11.8%38.3%1.9%0.1%89.0K-12.6M-758.9K0.723.47N/AN/A13,2239,587357,942479,561
2017-09-13$7.86$8.0037.0%10.6%25.3%11.4%39.0%0.3%-0.0%59.1K-8.1M-734.8K1.532.70N/AN/A5,9139,040359,184480,342
2017-09-14$7.76$8.0035.9%10.2%25.5%8.3%36.5%0.7%-1.1%-144.9K243.2K-710.4K1.213.38N/AN/A9,17611,110360,066479,398
2017-09-15$7.70$8.0035.3%9.9%24.8%6.8%34.7%1.7%-1.2%-146.5K7.9M-716.1K1.325.37N/AN/A10,21213,508361,708481,196
2017-09-18$7.66$8.0035.6%10.3%24.8%7.6%37.3%2.4%-1.8%-219.8K-5.7M-699.2K0.583.33N/AN/A9,2825,346306,275453,744
2017-09-19$8.22$8.0043.8%12.5%36.0%30.3%48.9%-2.6%-3.5%1.1M-53.8M-747.9K0.0732.14N/AN/A138,37610,228309,021454,940
2017-09-20$8.03$8.0038.9%11.2%36.0%16.8%42.9%-3.0%1.8%2.1M-54.5M-775.8K0.206.15N/AN/A25,5145,075389,591459,839
2017-09-21$8.03$8.0042.6%12.1%35.9%27.1%45.7%-2.2%-0.1%2.1M-54.5M-768.3K0.254.18N/AN/A14,7363,668393,565461,948
2017-09-22$8.52$8.0040.9%11.4%41.7%22.2%40.9%-0.8%3.0%3.9M-109.5M-748.7K0.209.53N/AN/A39,2788,035395,963463,110
2017-09-25$7.83$8.0040.7%11.3%51.4%21.8%40.8%3.6%2.3%2.0M-39.2M-705.4K0.548.71N/AN/A24,67013,339415,796460,221
2017-09-26$7.88$8.0049.6%12.2%51.3%46.4%42.6%0.8%-2.8%2.0M-36.3M-706.1K3.6110.97N/AN/A14,03550,735422,399464,798
2017-09-27$7.86$8.0039.1%10.9%51.3%17.4%40.6%3.0%5.0%1.2M-20.0M-804.1K1.304.66N/AN/A10,04113,062426,101511,027
2017-09-28$7.72$8.0039.0%10.9%51.6%16.9%37.9%1.2%2.0%529.2K-1.3M-768.6K2.413.64N/AN/A8,24219,834429,231518,467
2017-09-29$7.78$8.0047.4%11.9%51.7%40.4%45.5%-5.4%-3.4%668.7K-6.9M-807.7K0.305.93N/AN/A75,39822,426431,615527,280