S Options History — December 2017

In December 2017, S traded between $5.45 and $5.96. ATM implied volatility averaged 37.5%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 6.4% (HV 20d: 31.1%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2017-12-07: Highest Volume — 34,401 contracts
  • 2017-12-26: Largest IV spike — 6.2% change
  • 2017-12-28: Highest IV Rank — 19.0%
  • 2017-12-05: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.69$5.45$5.96$5.96$5.90
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV37.5%34.9%40.8%35.9%40.5%
Expected Move10.8%10.0%11.7%10.5%10.0%
HV 20d31.1%26.0%55.8%55.8%29.9%
HV 60d47.0%42.9%50.6%50.1%42.9%
IV Rank11.1%4.9%19.0%7.1%18.1%
IV Percentile14.6%2.0%37.7%5.6%33.3%
Term Structure1.5%-3.4%5.9%-1.2%5.1%
VWIV39.5%36.3%46.6%36.3%36.3%
Skew 25d-6.4%-130.6%3.0%0.0%-0.8%
Skew 10d-5.6%-73.3%5.2%2.4%1.1%
Call IV 25d46.1%35.6%170.7%37.0%41.5%
Put IV 25d39.7%37.0%43.8%37.0%40.7%
Bid-Ask Spread %4.732.979.054.683.00
Gamma HHI0.290.240.340.240.28
Net GEX-2.3M-2.7M-1.4M-2.4M-1.6M
Net DEX104.2M78.7M123.7M99.8M79.6M
Net VEX-392.9K-445.1K-342.9K-440.8K-342.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.221.840.490.73
Total Volume18,989.4510,97634,40110,97619,302
Total OI855,041.2819,169875,985825,164873,761

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$5.96$7.0035.9%10.5%55.8%7.1%36.3%0.0%-1.2%-2.4M99.8M-440.8K0.494.68N/AN/A7,3783,598315,450509,714
2017-12-04$5.94$7.0038.1%11.7%53.7%12.4%46.6%0.7%-1.0%-2.3M95.1M-445.1K0.225.28N/AN/A20,2684,503311,662507,507
2017-12-05$5.75$7.0037.6%11.7%31.7%11.3%40.1%1.3%-0.7%-2.5M106.2M-421.8K0.514.31N/AN/A8,8994,527324,662507,930
2017-12-06$5.69$7.0036.5%11.3%30.8%8.7%39.0%1.1%3.0%-2.5M110.2M-421.8K1.844.61N/AN/A6,46911,885326,476507,547
2017-12-07$5.47$7.0037.5%11.6%28.9%11.0%40.9%-0.9%1.6%-2.5M122.4M-410.9K0.606.99N/AN/A21,45912,942327,070506,816
2017-12-08$5.45$7.0037.8%11.3%26.0%11.7%43.4%-1.7%1.1%-2.6M121.6M-408.9K1.555.02N/AN/A11,05017,087335,638510,128
2017-12-11$5.45$7.0037.7%11.1%26.0%11.5%40.1%0.7%1.1%-2.7M123.7M-399.3K0.423.90N/AN/A10,0704,185333,168518,378
2017-12-12$5.68$7.0039.1%11.3%30.1%14.9%46.4%1.0%-0.2%-2.5M109.8M-412.8K0.254.97N/AN/A25,0696,382340,380518,867
2017-12-13$5.67$7.0037.5%10.7%29.8%11.1%40.4%-0.1%-0.5%-2.2M104.8M-434.9K0.385.49N/AN/A8,8173,382355,464516,806
2017-12-14$5.63$7.0036.9%10.6%26.1%9.7%38.4%-0.3%-0.5%-2.3M109.9M-398.4K0.569.05N/AN/A7,0503,946358,290516,436
2017-12-15$5.49$7.0036.1%10.5%26.1%7.8%39.6%1.2%1.5%-2.6M121.7M-381.8K1.074.84N/AN/A10,05810,793359,713516,272
2017-12-18$5.61$7.0035.4%10.1%27.9%6.1%36.9%1.5%2.3%-2.5M107.4M-367.4K0.335.06N/AN/A12,0453,952339,402506,354
2017-12-19$5.57$7.0034.9%10.0%27.9%4.9%36.9%3.0%4.0%-2.6M112.5M-358.4K0.234.76N/AN/A16,9353,837345,686507,164
2017-12-20$5.59$7.0035.6%10.2%27.6%6.5%39.2%-2.2%3.1%-2.6M103.5M-400.4K0.574.12N/AN/A16,0019,126355,686505,429
2017-12-21$5.63$7.0037.0%10.5%27.4%9.8%37.0%-2.3%2.2%-2.5M101.8M-357.6K1.313.24N/AN/A7,1019,277364,067502,201
2017-12-22$5.65$7.0036.3%10.2%27.5%8.3%37.6%-1.4%1.4%-2.3M101.0M-356.8K1.013.49N/AN/A5,6005,667365,749503,440
2017-12-26$5.81$7.0038.6%10.5%29.8%13.6%37.5%0.5%5.9%-2.0M88.9M-364.4K1.193.32N/AN/A8,45310,031361,698500,846
2017-12-27$5.85$7.0040.7%11.1%29.7%18.7%39.0%0.8%5.1%-1.8M84.8M-370.9K0.692.97N/AN/A9,9036,828365,676505,060
2017-12-28$5.92$7.0040.8%10.2%30.1%19.0%38.9%-130.6%-3.4%-1.4M78.7M-363.1K1.125.52N/AN/A7,5178,397369,920504,311
2017-12-29$5.90$7.0040.5%10.0%29.9%18.1%36.3%-0.8%5.1%-1.6M79.6M-342.9K0.733.00N/AN/A11,1798,123371,066502,695