S Options History — May 2018 In May 2018, S traded between $5.07 and $5.44. ATM implied volatility averaged 35.0%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 33.3% (HV 20d: 68.3%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.76.
Notable Days 2018-05-02 : Highest Volume — 62,894 contracts2018-05-04 : Largest IV drop — 18.4% change2018-05-03 : Highest IV Rank — 40.2%2018-05-01 : Largest Expected Move — 15.5%Monthly Statistics Metric Avg Min Max Open Close Price $5.17 $5.07 $5.44 $5.44 $5.14 Max Pain $5.23 $5.00 $6.00 $6.00 $5.50 ATM IV 35.0% 26.6% 47.2% 43.7% 26.6% Expected Move 9.7% 6.1% 15.5% 15.5% 8.0% HV 20d 68.3% 19.4% 91.0% 88.4% 19.4% HV 60d 55.1% 54.3% 57.6% 56.9% 54.4% IV Rank 14.6% 0.0% 40.2% 32.9% 0.0% IV Percentile 13.7% 0.0% 63.9% 48.0% 0.0% Term Structure 1.9% -9.9% 13.9% -6.0% 3.8% VWIV 34.3% 26.3% 54.4% 49.0% 29.0% Skew 25d -2.2% -9.9% 3.6% -9.9% -8.1% Skew 10d -4.6% -17.5% 10.6% 10.6% -5.6% Call IV 25d 37.4% 28.5% 58.1% 53.5% 34.7% Put IV 25d 35.2% 25.2% 52.9% 43.6% 26.6% Bid-Ask Spread % 14.05 9.17 21.83 11.83 11.15 Gamma HHI 0.48 0.29 0.86 0.29 0.36 Net GEX -1.0M -5.0M -139.7K -139.7K -385.5K Net DEX 40.2M 13.8M 59.2M 38.8M 16.4M Net VEX -237.2K -290.0K -207.1K -290.0K -224.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.22 1.67 0.61 0.97 Total Volume 9,949.273 3,380 62,894 18,788 4,070 Total OI 434,228.182 246,961 555,537 535,549 249,449
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2018-05-01 $5.44 $6.00 43.7% 15.5% 88.4% 32.9% 49.0% -9.9% -6.0% -139.7K 38.8M -290.0K 0.61 11.83 N/A N/A 11,697 7,091 270,246 265,303 2018-05-02 $5.13 $6.00 44.1% 15.2% 91.0% 33.6% 54.4% -5.1% 11.8% -536.2K 50.1M -282.0K 1.67 16.57 N/A N/A 23,595 39,299 275,825 268,341 2018-05-03 $5.14 $5.00 47.2% 12.3% 90.5% 40.2% 41.1% 3.1% 3.3% -740.4K 56.3M -272.9K 0.48 13.64 N/A N/A 10,330 5,005 290,215 265,322 2018-05-04 $5.28 $5.00 38.5% 8.9% 91.0% 21.5% 37.3% -0.7% 3.9% -716.1K 53.7M -264.4K 0.92 19.91 N/A N/A 7,441 6,877 289,806 264,478 2018-05-07 $5.24 $5.00 37.1% 9.9% 91.0% 18.4% 35.9% -0.3% 0.1% -883.1K 55.4M -276.2K 0.22 21.83 N/A N/A 10,702 2,341 272,085 257,987 2018-05-08 $5.13 $5.00 35.8% 10.3% 71.0% 15.7% 36.7% -0.7% 5.3% -1.2M 59.2M -244.4K 0.77 19.27 N/A N/A 4,126 3,170 276,736 258,132 2018-05-09 $5.20 $5.00 31.3% 10.5% 71.4% 6.0% 34.3% -4.0% 7.2% -1.5M 57.9M -233.5K 0.26 17.83 N/A N/A 8,083 2,091 277,616 259,425 2018-05-10 $5.17 $5.00 33.8% 9.7% 71.2% 11.4% 34.1% 3.6% 3.6% -1.4M 58.1M -234.6K 0.64 13.69 N/A N/A 3,103 1,983 282,091 259,255 2018-05-11 $5.17 $5.00 38.8% 9.7% 71.1% 22.2% 34.1% -5.1% -6.1% -1.5M 56.3M -237.7K 0.61 11.66 N/A N/A 3,563 2,164 282,315 255,699 2018-05-14 $5.15 $5.00 33.0% 9.0% 70.7% 9.7% 32.4% -2.6% 8.4% -1.9M 55.7M -227.0K 0.75 11.12 N/A N/A 3,357 2,527 274,244 251,057 2018-05-15 $5.12 $5.00 34.1% 9.5% 69.8% 12.0% 33.4% -7.3% 6.5% -2.1M 55.6M -232.4K 0.76 9.98 N/A N/A 3,538 2,702 275,561 251,547 2018-05-16 $5.07 $5.00 38.1% 10.9% 69.8% 20.8% 37.6% -0.9% 1.0% -2.5M 58.1M -227.5K 1.39 10.71 N/A N/A 3,384 4,687 276,407 252,051 2018-05-17 $5.09 $5.00 35.3% 10.1% 69.9% 14.6% 35.7% -0.9% 1.1% -5.0M 54.0M -220.9K 0.95 9.17 N/A N/A 4,025 3,819 277,766 255,034 2018-05-18 $5.10 $5.00 30.2% 8.2% 69.9% 3.7% 28.7% -6.0% 4.2% -299.5K 51.5M -218.8K 0.83 11.14 N/A N/A 3,128 2,593 279,835 258,013 2018-05-21 $5.17 $5.00 32.8% 7.3% 70.2% 9.3% 27.5% 1.4% -1.3% -310.7K 14.8M -207.1K 0.66 18.22 N/A N/A 2,848 1,870 117,862 136,510 2018-05-22 $5.21 $5.00 36.6% 9.0% 70.3% 17.5% 28.0% -0.1% -9.9% -312.0K 13.8M -211.2K 0.69 11.90 N/A N/A 2,450 1,698 118,978 137,334 2018-05-23 $5.13 $5.50 38.5% 6.1% 69.6% 21.4% 26.3% 3.5% -2.3% -349.8K 16.0M -220.8K 1.11 15.23 N/A N/A 1,703 1,889 119,953 137,886 2018-05-24 $5.18 $5.50 31.5% 6.9% 69.8% 6.4% 28.3% -3.0% -3.8% -342.8K 15.3M -221.6K 0.98 15.19 N/A N/A 1,703 1,677 120,436 138,154 2018-05-25 $5.15 $5.50 28.2% 8.3% 60.2% 0.0% 31.4% -2.2% -3.5% -358.3K 15.1M -219.9K 0.48 16.10 N/A N/A 2,933 1,401 120,632 137,766 2018-05-29 $5.14 $5.50 26.7% 8.3% 28.8% 0.0% 28.8% -3.5% 13.9% -356.8K 16.2M -221.7K 0.58 10.72 N/A N/A 2,826 1,628 111,202 135,759 2018-05-30 $5.23 $5.50 28.9% 8.9% 28.0% 4.8% 31.2% 0.3% 1.0% -306.2K 15.2M -228.3K 0.49 12.15 N/A N/A 2,525 1,242 112,309 136,398 2018-05-31 $5.14 $5.50 26.6% 8.0% 19.4% 0.0% 29.0% -8.1% 3.8% -385.5K 16.4M -224.8K 0.97 11.15 N/A N/A 2,064 2,006 112,942 136,507
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