S Options History — January 2018

In January 2018, S traded between $5.26 and $5.94. ATM implied volatility averaged 48.9%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 18.1% (HV 20d: 30.8%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2018-01-25: Highest Volume — 165,433 contracts
  • 2018-01-19: Largest IV spike — 10.5% change
  • 2018-01-19: Highest IV Rank — 54.5%
  • 2018-01-30: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.53$5.26$5.94$5.94$5.32
Max Pain$6.57$6.00$7.00$7.00$6.00
ATM IV48.9%43.1%55.8%43.1%52.4%
Expected Move14.2%9.4%18.2%9.7%17.2%
HV 20d30.8%29.0%34.8%29.9%30.2%
HV 60d43.6%39.9%45.0%42.9%40.0%
IV Rank38.1%24.5%54.5%24.5%46.6%
IV Percentile69.9%48.0%94.0%48.0%84.5%
Term Structure-2.1%-6.7%-0.1%-1.7%-3.6%
VWIV51.6%34.1%65.9%34.5%63.9%
Skew 25d1.8%-2.1%4.2%4.0%0.4%
Skew 10d3.2%-5.6%11.4%5.9%-4.8%
Call IV 25d50.4%45.0%56.5%45.0%54.4%
Put IV 25d52.2%47.2%57.3%49.0%54.8%
Bid-Ask Spread %3.392.174.982.514.74
Gamma HHI0.360.260.530.270.38
Net GEX-2.0M-4.6M-707.7K-1.3M-707.7K
Net DEX101.2M70.2M170.6M77.2M70.2M
Net VEX-357.2K-451.7K-297.7K-313.3K-451.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.187.080.740.39
Total Volume37,401.42912,341165,43319,04712,341
Total OI765,024.048428,7451,009,392860,345600,367

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$5.94$7.0043.1%9.7%29.9%24.5%34.5%4.0%-1.7%-1.3M77.2M-313.3K0.742.51N/AN/A10,9668,081362,811497,534
2018-01-03$5.91$7.0044.5%9.4%30.0%27.7%34.1%1.5%-2.1%-1.3M80.1M-309.2K0.722.65N/AN/A8,8796,374364,097498,024
2018-01-04$5.62$7.0046.6%12.6%33.0%32.7%44.8%2.2%-1.9%-2.4M102.9M-314.3K0.503.55N/AN/A12,9596,483366,818498,453
2018-01-05$5.80$7.0045.9%12.3%34.8%31.1%45.1%2.3%-1.8%-1.7M85.8M-311.5K0.302.17N/AN/A15,9644,781372,064498,646
2018-01-08$5.80$7.0045.5%12.8%31.3%30.1%46.5%1.7%-0.1%-1.8M84.8M-297.7K3.332.33N/AN/A8,23627,424362,754498,073
2018-01-09$5.69$7.0047.4%13.2%32.2%34.7%46.2%2.2%-1.2%-2.4M99.2M-318.4K2.924.98N/AN/A11,36733,237365,385520,422
2018-01-10$5.63$7.0046.5%13.1%32.6%32.4%51.2%1.7%-0.5%-2.8M109.6M-358.6K7.084.46N/AN/A10,41973,733369,609545,486
2018-01-11$5.68$7.0048.9%13.0%29.2%38.3%50.4%4.2%-5.4%-3.1M122.0M-405.7K1.444.41N/AN/A9,54713,753371,331609,190
2018-01-12$5.66$7.0045.2%12.8%29.2%29.3%52.0%3.0%-0.6%-3.5M128.8M-400.1K0.594.54N/AN/A7,9634,721373,958616,205
2018-01-16$5.60$7.0047.7%13.6%29.3%35.3%49.0%2.1%-3.7%-3.8M129.7M-375.5K0.843.42N/AN/A8,0136,710371,047607,722
2018-01-17$5.48$7.0051.7%14.8%29.0%44.9%49.7%2.6%-6.7%-4.6M146.9M-352.1K0.933.41N/AN/A8,2267,614372,096609,789
2018-01-18$5.35$7.0050.5%14.7%29.0%41.9%54.3%-1.2%-4.2%-3.9M162.8M-344.1K0.343.41N/AN/A31,15610,444374,555611,031
2018-01-19$5.48$6.0055.8%16.2%30.3%54.5%56.5%0.8%-0.2%-1.4M170.6M-351.8K0.574.07N/AN/A46,90226,959399,001610,391
2018-01-22$5.32$6.0049.9%14.9%32.0%40.6%55.1%1.3%-1.7%-1.2M82.6M-338.0K0.182.44N/AN/A18,0003,190142,947285,798
2018-01-23$5.31$6.0050.7%15.3%31.8%42.5%55.7%2.2%-2.1%-1.2M84.2M-326.3K0.223.57N/AN/A13,6532,998152,756287,081
2018-01-24$5.26$6.0048.7%14.8%31.7%37.8%52.4%2.0%-2.0%-1.1M85.1M-321.3K1.012.96N/AN/A11,54811,719157,029287,697
2018-01-25$5.33$6.0050.4%15.8%30.2%41.7%57.7%3.1%-1.4%-1.2M80.9M-349.1K1.452.25N/AN/A67,64697,787159,704295,679
2018-01-26$5.37$6.0050.5%15.9%30.2%42.0%57.0%1.6%-1.6%-918.3K70.9M-422.3K1.522.86N/AN/A9,26914,057213,441330,711
2018-01-29$5.27$6.0051.9%17.2%30.0%45.4%60.7%1.8%-0.8%-1.1M77.6M-407.5K0.653.29N/AN/A13,9139,041208,279338,978
2018-01-30$5.28$6.0052.2%18.2%30.1%46.0%65.9%-2.1%-0.8%-969.5K74.0M-433.6K0.193.15N/AN/A66,86212,495215,761342,785
2018-01-31$5.32$6.0052.4%17.2%30.2%46.6%63.9%0.4%-3.6%-707.7K70.2M-451.7K0.394.74N/AN/A8,8783,463249,105351,262