S Options History — October 2017

In October 2017, S traded between $6.33 and $7.91. ATM implied volatility averaged 51.1%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 7.2% (HV 20d: 43.9%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.13.

Notable Days

2017-10-24: Highest Volume — 173,336 contracts
2017-10-26: Largest IV drop — 31.0% change
2017-10-25: Highest IV Rank — 100.0%
2017-10-31: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.14	$6.33	$7.91	$7.67	$6.56
Max Pain	$8.00	$8.00	$8.00	$8.00	$8.00
ATM IV	51.1%	41.2%	74.9%	47.6%	49.2%
Expected Move	13.8%	11.1%	16.0%	12.7%	16.0%
HV 20d	43.9%	24.4%	55.2%	51.8%	42.3%
HV 60d	41.3%	35.8%	43.4%	42.0%	41.2%
IV Rank	50.9%	23.1%	100.0%	40.9%	38.9%
IV Percentile	64.2%	29.4%	100.0%	51.6%	60.3%
Term Structure	-1.2%	-79.5%	48.1%	5.6%	-3.0%
VWIV	50.0%	42.9%	57.6%	48.5%	56.0%
Skew 25d	7.1%	-4.1%	70.7%	3.5%	7.3%
Skew 10d	18.2%	-12.8%	136.5%	7.7%	14.5%
Call IV 25d	51.3%	35.8%	60.3%	48.9%	49.1%
Put IV 25d	58.4%	46.7%	131.1%	52.4%	56.4%
Bid-Ask Spread %	9.30	3.39	58.96	4.12	6.56
Gamma HHI	0.30	0.19	0.53	0.19	0.24
Net GEX	-1.2M	-4.1M	2.1M	1.2M	-836.4K
Net DEX	60.5M	-37.0M	128.0M	-8.7M	111.9M
Net VEX	-1.3M	-11.5M	-679.4K	-930.3K	-726.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.10	6.87	1.50	0.42
Total Volume	35,950.045	10,171	173,336	49,014	27,661
Total OI	1,084,871	994,045	1,168,026	1,002,981	1,163,048

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
2017-10-02	$7.67	$8.00	47.6%	12.7%	51.8%	40.9%	48.5%	3.5%	5.6%	1.2M	-8.7M	-930.3K	1.50	4.12	N/A	N/A	19,611	29,403	477,104	525,877
2017-10-03	$7.91	$8.00	49.4%	12.1%	53.1%	45.8%	48.2%	7.3%	-0.3%	2.1M	-37.0M	-916.4K	2.54	6.81	N/A	N/A	12,479	31,683	481,433	537,311
2017-10-04	$7.57	$8.00	44.4%	11.4%	55.2%	31.9%	42.9%	0.5%	7.5%	431.0K	923.2K	-840.4K	2.12	11.30	N/A	N/A	12,906	27,410	483,405	552,807
2017-10-05	$7.49	$8.00	48.9%	12.8%	54.9%	44.3%	47.2%	3.3%	-1.5%	-268.8K	17.0M	-873.4K	0.71	5.88	N/A	N/A	10,262	7,309	483,503	574,440
2017-10-06	$7.37	$8.00	48.6%	13.8%	54.2%	43.5%	47.6%	-3.2%	-4.2%	-921.9K	33.1M	-868.3K	0.96	8.18	N/A	N/A	15,071	14,413	484,918	576,276
2017-10-09	$7.31	$8.00	47.0%	14.3%	53.9%	39.1%	49.4%	8.2%	7.3%	-1.3M	43.5M	-807.0K	0.97	9.48	N/A	N/A	14,440	14,045	482,075	578,571
2017-10-10	$7.14	$8.00	48.0%	13.8%	52.1%	41.9%	50.1%	4.0%	1.0%	-2.2M	64.7M	-779.2K	0.50	4.07	N/A	N/A	16,184	8,015	484,876	579,699
2017-10-11	$7.19	$8.00	52.3%	14.0%	52.2%	53.9%	49.3%	3.2%	-4.3%	-2.1M	54.6M	-786.8K	0.90	4.01	N/A	N/A	9,474	8,506	487,938	581,914
2017-10-12	$7.13	$8.00	51.4%	14.3%	52.2%	51.3%	50.2%	5.0%	-2.5%	-2.6M	59.9M	-751.7K	1.53	5.75	N/A	N/A	6,839	10,491	492,695	583,638
2017-10-13	$7.12	$8.00	41.2%	14.5%	52.2%	23.1%	52.7%	35.8%	48.1%	-2.1M	53.9M	-810.4K	0.46	7.50	N/A	N/A	12,553	5,763	493,724	589,079
2017-10-16	$7.16	$8.00	50.4%	14.4%	52.3%	49.3%	44.3%	3.5%	0.5%	-2.5M	56.1M	-752.1K	0.63	5.88	N/A	N/A	10,367	6,502	482,585	587,037
2017-10-17	$7.08	$8.00	51.3%	14.6%	44.4%	55.9%	53.6%	-1.4%	1.2%	-2.8M	58.6M	-802.1K	6.87	6.38	N/A	N/A	10,204	70,121	487,059	588,558
2017-10-18	$7.06	$8.00	51.5%	14.8%	44.0%	56.5%	53.0%	-3.9%	6.9%	-4.0M	95.9M	-780.4K	1.00	6.01	N/A	N/A	5,077	5,094	492,139	643,801
2017-10-19	$7.06	$8.00	54.8%	13.4%	44.0%	68.9%	49.3%	-4.1%	24.5%	-4.1M	104.1M	-755.2K	0.65	58.96	N/A	N/A	7,818	5,068	492,609	643,859
2017-10-20	$6.90	$8.00	54.7%	15.4%	36.8%	69.7%	55.0%	-2.6%	3.7%	-1.6M	115.9M	-762.3K	0.54	5.35	N/A	N/A	32,583	17,600	493,320	643,952
2017-10-23	$6.87	$8.00	51.2%	14.0%	24.4%	58.7%	50.1%	0.6%	-8.2%	-1.7M	89.6M	-733.4K	0.46	5.03	N/A	N/A	14,603	6,675	395,332	598,713
2017-10-24	$6.99	$8.00	60.9%	15.8%	25.4%	91.2%	57.6%	4.3%	-14.4%	-1.4M	76.5M	-723.1K	0.10	12.44	N/A	N/A	157,106	16,230	401,462	599,629
2017-10-25	$7.09	$8.00	74.9%	12.8%	26.4%	100.0%	46.5%	70.7%	-79.5%	1.0M	46.8M	-11.5M	0.71	8.05	N/A	N/A	18,448	13,067	551,211	599,331
2017-10-26	$7.01	$8.00	51.7%	12.9%	26.1%	44.8%	50.5%	13.0%	-4.0%	1.1M	69.5M	-748.8K	0.45	3.39	N/A	N/A	12,206	5,505	555,643	607,176
2017-10-27	$6.98	$8.00	46.2%	11.1%	25.7%	31.7%	45.2%	1.2%	-6.4%	-724.7K	95.4M	-679.4K	0.34	9.80	N/A	N/A	12,683	4,279	560,734	607,292
2017-10-30	$6.33	$8.00	49.2%	14.8%	41.6%	39.0%	52.1%	0.4%	-4.2%	-1.6M	128.0M	-689.4K	0.56	9.70	N/A	N/A	28,894	16,253	536,752	604,637
2017-10-31	$6.56	$8.00	49.2%	16.0%	42.3%	38.9%	56.0%	7.3%	-3.0%	-836.4K	111.9M	-726.3K	0.42	6.56	N/A	N/A	19,530	8,131	554,919	608,129