S Options History — February 2018

In February 2018, S traded between $5.09 and $5.53. ATM implied volatility averaged 45.0%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 1.0% (HV 20d: 44.0%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.96.

Notable Days

  • 2018-02-01: Highest Volume — 162,483 contracts
  • 2018-02-02: Largest IV drop — 18.8% change
  • 2018-02-01: Highest IV Rank — 50.0%
  • 2018-02-01: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.30$5.09$5.53$5.09$5.19
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV45.0%37.6%53.9%53.9%40.2%
Expected Move13.3%11.1%16.6%16.6%11.1%
HV 20d44.0%33.1%47.0%33.1%47.0%
HV 60d35.4%31.9%39.9%39.9%36.1%
IV Rank29.0%11.4%50.0%50.0%17.4%
IV Percentile51.4%16.3%88.1%88.1%28.2%
Term Structure-0.4%-4.9%3.7%-2.8%-0.5%
VWIV47.9%39.9%56.8%56.0%40.8%
Skew 25d-1.8%-9.5%5.2%-2.0%-6.4%
Skew 10d-4.4%-24.3%19.9%5.0%-10.6%
Call IV 25d48.1%39.8%58.0%58.0%40.5%
Put IV 25d46.2%34.1%58.3%56.0%34.1%
Bid-Ask Spread %7.763.7717.279.283.98
Gamma HHI0.360.260.540.420.54
Net GEX-676.1K-1.6M474.6K-777.2K-1.6M
Net DEX66.4M46.4M78.0M78.0M74.0M
Net VEX-414.3K-513.3K-344.4K-427.5K-344.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.276.783.820.43
Total Volume29,735.4217,066162,483162,4837,066
Total OI590,711.263516,401697,152603,300531,635

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$5.09$6.0053.9%16.6%33.1%50.0%56.0%-2.0%-2.8%-777.2K78.0M-427.5K3.829.28N/AN/A33,676128,807251,720351,580
2018-02-02$5.35$6.0043.7%12.8%35.0%25.9%45.8%-0.2%-0.1%-974.6K69.6M-513.3K6.789.55N/AN/A18,750127,054274,511422,641
2018-02-05$5.14$6.0051.4%14.3%35.0%44.2%52.6%0.7%-3.7%-519.0K73.8M-433.0K0.5417.27N/AN/A9,1974,945264,247343,093
2018-02-06$5.11$6.0046.1%13.4%34.9%31.4%53.6%-0.4%0.8%-583.1K75.8M-418.5K0.5310.52N/AN/A13,9887,476265,679342,734
2018-02-07$5.53$6.0049.5%15.1%45.8%39.6%53.1%-1.6%3.7%259.8K46.4M-472.9K0.277.47N/AN/A31,8868,762270,781344,708
2018-02-08$5.37$6.0051.5%15.5%46.8%44.4%56.8%-1.3%2.1%2.4K56.7M-460.2K0.569.90N/AN/A7,3044,069274,899349,406
2018-02-09$5.32$6.0051.8%15.3%46.7%45.1%54.4%5.2%2.2%-248.9K64.0M-438.6K0.4111.43N/AN/A8,1493,331276,107349,972
2018-02-12$5.28$6.0046.7%13.3%46.7%33.0%46.1%0.8%0.3%-428.6K70.5M-421.1K0.438.11N/AN/A8,2953,563270,400348,845
2018-02-13$5.26$6.0047.4%13.6%46.6%34.6%49.2%-5.9%-1.4%-487.2K73.6M-416.9K0.3811.25N/AN/A7,5102,817273,715349,445
2018-02-14$5.32$6.0044.8%12.8%46.3%28.4%49.1%-9.5%-0.5%-333.6K69.8M-411.5K0.499.17N/AN/A15,7827,718276,525349,303
2018-02-15$5.49$6.0047.8%14.0%46.9%35.6%49.9%-4.2%-4.9%474.6K54.3M-435.2K0.316.83N/AN/A9,9683,052284,668354,063
2018-02-16$5.38$6.0045.2%13.3%46.7%29.3%51.7%-5.4%-3.1%-940.0K66.7M-424.3K0.606.99N/AN/A7,8074,649286,814354,817
2018-02-20$5.44$6.0039.7%11.7%45.6%16.4%43.0%0.3%-0.3%-932.4K56.9M-401.6K0.414.72N/AN/A11,8264,822199,232317,169
2018-02-21$5.34$6.0039.6%12.1%46.2%16.1%43.0%-0.8%1.0%-943.3K61.5M-389.1K0.354.80N/AN/A11,9534,136205,887319,598
2018-02-22$5.22$6.0041.0%12.2%46.8%19.4%42.0%0.9%-1.0%-1.2M68.0M-382.4K0.614.44N/AN/A5,9893,660210,476320,677
2018-02-23$5.31$6.0039.6%12.3%46.9%16.0%43.3%-1.8%0.3%-1.1M67.8M-374.2K0.373.77N/AN/A13,2684,846212,737322,015
2018-02-26$5.34$6.0037.6%11.2%46.9%11.4%39.9%-1.2%-0.2%-1.2M67.9M-357.1K0.533.80N/AN/A7,0033,732204,787319,452
2018-02-27$5.28$6.0038.1%11.4%46.6%12.4%40.7%-2.2%0.8%-1.4M67.1M-350.0K0.364.25N/AN/A5,9762,141208,012321,164
2018-02-28$5.19$6.0040.2%11.1%47.0%17.4%40.8%-6.4%-0.5%-1.6M74.0M-344.4K0.433.98N/AN/A4,9492,117210,052321,583