S Options History — November 2017

In November 2017, S traded between $5.75 and $6.68. ATM implied volatility averaged 41.3%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 19.6% (HV 20d: 60.9%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2017-11-06: Highest Volume — 59,954 contracts
  • 2017-11-13: Largest IV spike — 16.0% change
  • 2017-11-01: Highest IV Rank — 37.4%
  • 2017-11-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.15$5.75$6.68$6.44$5.99
Max Pain$7.05$7.00$8.00$8.00$7.00
ATM IV41.3%34.9%48.6%48.6%35.4%
Expected Move12.1%10.1%15.3%15.3%11.1%
HV 20d60.9%40.5%67.7%40.5%55.8%
HV 60d48.6%41.0%50.2%41.1%50.2%
IV Rank20.1%4.8%37.4%37.4%6.0%
IV Percentile28.0%1.6%57.5%57.5%3.2%
Term Structure0.3%-2.7%6.7%-1.6%0.7%
VWIV43.2%35.5%57.4%57.4%44.7%
Skew 25d2.7%-1.6%10.1%5.6%-0.6%
Skew 10d6.1%-12.0%28.9%11.8%-12.0%
Call IV 25d42.3%35.1%49.7%49.7%38.3%
Put IV 25d45.1%37.1%55.7%55.4%37.7%
Bid-Ask Spread %3.54-15.298.043.685.16
Gamma HHI0.230.200.270.220.21
Net GEX-1.9M-2.4M-985.8K-985.8K-2.4M
Net DEX121.3M74.0M175.5M118.1M87.0M
Net VEX-559.3K-738.5K-464.0K-708.3K-480.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.212.581.752.58
Total Volume22,406.95210,23959,95427,01038,506
Total OI1,053,831.714793,3841,221,5451,173,448816,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$6.44$8.0048.6%15.3%40.5%37.4%57.4%5.6%-1.6%-985.8K118.1M-708.3K1.753.68N/AN/A9,80717,203564,589608,859
2017-11-02$6.44$7.0045.9%13.5%40.5%31.1%47.4%8.3%0.6%-1.4M129.3M-674.2K1.253.09N/AN/A7,5589,474567,964619,960
2017-11-03$6.68$7.0043.6%12.8%43.3%25.7%46.1%-1.6%0.6%-1.1M113.3M-738.5K0.355.03N/AN/A27,6439,655569,147623,437
2017-11-06$5.89$7.0045.6%13.2%61.0%30.4%46.0%10.1%1.3%-2.1M164.6M-566.3K0.81-15.29N/AN/A33,07326,881565,654620,707
2017-11-07$5.75$7.0046.1%12.7%61.0%31.6%47.4%3.2%-1.4%-2.1M175.5M-542.3K0.642.70N/AN/A16,62910,705580,628623,774
2017-11-08$6.01$7.0044.1%13.2%63.8%26.7%46.8%5.5%1.6%-2.0M152.6M-580.1K0.215.41N/AN/A29,5446,238581,903617,404
2017-11-09$6.19$7.0044.2%12.9%65.3%27.0%44.6%2.3%0.9%-1.8M146.1M-594.2K1.044.92N/AN/A12,49813,032601,274617,799
2017-11-10$6.18$7.0040.4%12.9%65.3%17.9%45.0%3.2%6.7%-1.9M141.1M-590.4K0.318.04N/AN/A18,1045,609596,044623,822
2017-11-13$6.03$7.0046.9%13.3%65.4%33.3%46.3%2.5%-0.6%-1.9M149.1M-595.7K0.743.71N/AN/A9,1776,747586,368622,862
2017-11-14$5.95$7.0044.3%12.8%65.4%27.2%45.6%1.7%-1.9%-2.2M157.1M-559.7K0.664.10N/AN/A10,6927,029587,622625,119
2017-11-15$6.17$7.0043.7%12.5%67.3%25.9%44.1%3.1%-0.3%-2.1M152.6M-549.8K0.714.91N/AN/A9,5796,795591,269624,798
2017-11-16$6.26$7.0040.8%11.6%67.7%18.9%42.1%2.6%1.1%-1.7M140.3M-564.6K0.654.21N/AN/A9,6116,257594,039625,083
2017-11-17$6.24$7.0041.4%12.0%67.4%20.3%41.8%4.5%-2.7%-1.7M141.6M-573.6K0.634.22N/AN/A7,3694,640596,001625,544
2017-11-20$6.22$7.0039.2%11.3%67.4%15.1%39.1%1.3%-0.8%-1.8M74.0M-531.0K1.103.79N/AN/A7,5898,340294,743498,641
2017-11-21$6.10$7.0037.2%10.6%67.0%10.4%37.3%-0.7%0.3%-2.3M91.7M-481.1K0.234.17N/AN/A19,2964,484296,938503,023
2017-11-22$6.16$7.0034.9%10.1%66.9%4.8%35.5%2.0%-0.2%-1.9M78.6M-518.6K0.613.46N/AN/A6,3443,895308,467503,839
2017-11-24$6.15$7.0035.6%10.2%66.9%6.4%35.9%-0.6%-0.6%-2.4M88.2M-464.0K0.676.89N/AN/A7,1874,788309,323503,934
2017-11-27$6.16$7.0037.2%10.8%66.9%10.4%38.1%1.3%-0.4%-2.1M78.1M-479.5K0.513.91N/AN/A8,5964,391304,223503,125
2017-11-28$6.08$7.0036.2%10.6%57.7%7.9%37.6%2.3%1.5%-2.2M85.7M-477.5K0.363.94N/AN/A10,2903,682306,280504,265
2017-11-29$6.06$7.0036.5%10.8%56.0%8.6%38.0%1.4%1.0%-2.2M82.8M-475.1K0.544.30N/AN/A7,5394,070310,154505,045
2017-11-30$5.99$7.0035.4%11.1%55.8%6.0%44.7%-0.6%0.7%-2.4M87.0M-480.9K2.585.16N/AN/A10,74127,765311,455505,341