S Options History — March 2018

In March 2018, S traded between $4.87 and $5.38. ATM implied volatility averaged 37.6%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 10.8% (HV 20d: 26.8%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2018-03-12: Highest Volume — 43,228 contracts
  • 2018-03-29: Largest IV drop — 22.9% change
  • 2018-03-01: Highest IV Rank — 19.5%
  • 2018-03-05: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.18$4.87$5.38$5.25$4.87
Max Pain$5.95$5.00$6.00$6.00$6.00
ATM IV37.6%28.5%41.0%41.0%28.5%
Expected Move11.1%9.8%12.3%11.9%9.8%
HV 20d26.8%20.4%47.1%47.1%21.8%
HV 60d34.5%33.5%36.2%36.2%34.2%
IV Rank11.6%0.0%19.5%19.5%0.0%
IV Percentile17.6%0.0%36.5%36.5%0.0%
Term Structure2.4%-0.9%13.1%-0.9%13.1%
VWIV38.9%26.1%46.6%41.5%34.4%
Skew 25d2.1%-2.9%11.1%-2.9%-2.2%
Skew 10d6.0%-11.0%21.7%-7.3%7.6%
Call IV 25d38.6%30.4%44.5%40.3%36.8%
Put IV 25d40.6%34.5%44.4%37.4%34.5%
Bid-Ask Spread %5.983.2910.383.883.82
Gamma HHI0.480.280.590.500.56
Net GEX-1.3M-2.2M-887.2K-1.5M-1.1M
Net DEX72.9M64.4M81.4M72.2M73.9M
Net VEX-332.0K-366.9K-292.6K-342.0K-312.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.232.640.460.23
Total Volume14,751.6195,47543,2286,27712,577
Total OI505,393.048410,700599,588533,631452,143

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$5.25$6.0041.0%11.9%47.1%19.5%41.5%-2.9%-0.9%-1.5M72.2M-342.0K0.463.88N/AN/A4,3141,963211,730321,901
2018-03-02$5.28$6.0038.2%11.1%44.2%12.6%39.8%11.1%-0.6%-1.5M67.7M-366.9K0.443.61N/AN/A3,7961,679212,999322,413
2018-03-05$5.38$5.0039.8%12.3%41.0%16.6%43.2%2.8%-0.1%-1.2M64.4M-335.9K0.824.11N/AN/A10,2288,423203,727320,395
2018-03-06$5.35$6.0039.4%12.1%38.2%15.6%42.6%-0.7%0.7%-1.2M67.8M-335.6K1.347.71N/AN/A7,0629,458208,207326,557
2018-03-07$5.32$6.0039.3%12.2%38.2%15.2%42.2%2.0%1.6%-1.5M70.4M-342.2K0.938.88N/AN/A3,5413,301211,042333,826
2018-03-08$5.31$6.0038.6%11.5%25.2%13.7%40.9%2.4%0.6%-1.6M74.1M-331.8K2.649.54N/AN/A3,6549,649211,247334,939
2018-03-09$5.29$6.0038.1%11.9%23.0%12.5%26.1%2.2%0.6%-1.8M72.9M-332.5K2.518.68N/AN/A4,28310,736211,690332,376
2018-03-12$5.32$6.0038.0%11.3%22.9%12.2%38.5%3.0%-0.7%-1.7M73.2M-317.0K2.628.60N/AN/A11,93831,290205,249328,657
2018-03-13$5.28$6.0039.3%11.3%22.9%15.4%40.2%2.6%0.1%-2.0M79.5M-343.3K2.076.73N/AN/A7,90216,359213,089356,045
2018-03-14$5.27$6.0038.1%11.5%22.9%12.4%45.8%3.2%1.6%-2.2M81.4M-343.6K1.466.44N/AN/A8,10511,849216,440365,939
2018-03-15$5.27$6.0039.3%11.4%22.5%15.4%46.6%1.6%0.3%-1.1M74.0M-361.5K0.359.13N/AN/A9,3023,244222,199370,423
2018-03-16$5.38$6.0037.0%11.1%20.7%9.8%38.8%2.1%2.5%-901.8K75.9M-360.9K0.4810.38N/AN/A5,4352,628228,296371,292
2018-03-19$5.24$6.0038.1%10.9%21.6%12.6%38.4%0.6%9.4%-934.5K64.5M-338.3K0.475.53N/AN/A11,0935,234134,618276,082
2018-03-20$5.19$6.0036.7%10.5%21.2%9.1%35.0%1.7%-0.0%-887.2K64.9M-341.3K1.013.29N/AN/A13,22613,327150,759279,062
2018-03-21$5.16$6.0036.3%10.4%20.4%8.2%36.0%2.6%0.4%-1.0M71.3M-332.7K0.733.44N/AN/A4,8793,544152,068290,661
2018-03-22$5.03$6.0036.2%10.4%20.8%7.6%36.2%1.9%0.2%-1.1M74.1M-319.0K1.044.87N/AN/A3,5463,687154,675289,935
2018-03-23$4.92$6.0037.6%10.6%20.7%10.9%37.3%1.8%1.8%-989.2K78.0M-310.5K0.454.05N/AN/A9,7974,448156,247290,983
2018-03-26$5.01$6.0035.6%10.6%21.9%6.0%37.0%6.8%8.5%-1.0M75.1M-315.1K0.363.58N/AN/A10,3183,719156,319288,361
2018-03-27$4.89$6.0036.9%10.2%23.0%9.3%36.7%0.8%4.1%-947.3K78.1M-292.6K0.324.90N/AN/A9,3433,010162,154288,982
2018-03-28$4.87$6.0037.0%10.3%22.5%9.5%39.3%0.4%6.6%-998.8K77.0M-296.5K0.394.30N/AN/A5,6642,233162,730286,797
2018-03-29$4.87$6.0028.5%9.8%21.8%0.0%34.4%-2.2%13.1%-1.1M73.9M-312.2K0.233.82N/AN/A10,2252,352164,950287,193