S Options History — June 2018

In June 2018, S traded between $5.18 and $5.55. ATM implied volatility averaged 31.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 12.9% (HV 20d: 18.8%). Max pain ranged from $5.00 to $5.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2018-06-04: Highest Volume — 11,189 contracts
  • 2018-06-28: Largest IV spike — 99.3% change
  • 2018-06-28: Highest IV Rank — 55.8%
  • 2018-06-13: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.36$5.18$5.55$5.20$5.43
Max Pain$5.02$5.00$5.50$5.50$5.00
ATM IV31.7%24.1%52.5%26.9%37.2%
Expected Move8.9%6.9%11.1%8.6%7.8%
HV 20d18.8%14.6%25.6%19.8%23.9%
HV 60d54.4%53.8%54.8%54.5%54.3%
IV Rank14.4%0.0%55.8%0.7%25.7%
IV Percentile11.6%0.0%88.5%0.8%26.6%
Term Structure4.9%-8.1%29.5%13.7%3.0%
VWIV32.1%25.0%44.4%31.0%27.1%
Skew 25d-0.3%-15.8%19.9%1.1%19.9%
Skew 10d-2.9%-27.0%20.7%-12.8%20.7%
Call IV 25d33.5%29.0%42.8%31.8%31.9%
Put IV 25d33.2%26.4%51.8%33.0%51.8%
Bid-Ask Spread %12.977.6123.1323.139.30
Gamma HHI0.320.250.380.380.32
Net GEX-149.2K-430.0K556.3K-386.6K-214.4K
Net DEX11.2M6.1M16.3M16.3M10.0M
Net VEX-205.6K-227.9K-189.9K-214.6K-193.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.333.190.621.44
Total Volume5,987.9523,59611,1893,6164,534
Total OI253,355245,304263,316250,706255,151

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$5.20$5.5026.9%8.6%19.8%0.7%31.0%1.1%13.7%-386.6K16.3M-214.6K0.6223.13N/AN/A2,2321,384113,336137,370
2018-06-04$5.24$5.0025.8%7.6%17.5%0.0%26.3%-1.1%6.3%-430.0K15.3M-203.9K0.9816.50N/AN/A5,6425,547108,821136,483
2018-06-05$5.23$5.0032.5%10.2%17.3%13.5%36.0%1.0%-3.1%-339.3K13.9M-226.8K1.9814.66N/AN/A2,0664,082113,044140,612
2018-06-06$5.24$5.0024.1%8.1%15.4%0.0%37.0%-4.6%5.8%-349.3K14.2M-227.9K1.9919.17N/AN/A2,1974,377113,971140,680
2018-06-07$5.24$5.0030.6%9.5%14.6%12.8%33.1%3.7%0.9%-347.3K14.0M-223.7K1.9111.64N/AN/A2,6325,035114,231140,659
2018-06-08$5.18$5.0032.4%8.8%15.1%16.3%36.8%-1.8%-5.7%-380.1K15.3M-211.7K0.8910.81N/AN/A2,6472,363115,233141,256
2018-06-11$5.25$5.0028.0%6.9%15.8%7.7%26.0%0.2%-1.1%-412.8K15.4M-205.6K1.1712.80N/AN/A2,6963,149112,796140,403
2018-06-12$5.31$5.0031.2%9.9%16.1%13.8%37.0%0.2%0.0%-372.2K13.6M-198.9K0.4016.50N/AN/A4,2141,670114,233142,050
2018-06-13$5.36$5.0028.8%11.1%16.1%9.2%37.5%-8.2%9.9%-171.0K10.7M-211.2K0.3316.05N/AN/A5,9541,939116,132142,149
2018-06-14$5.46$5.0028.2%6.9%16.4%7.9%29.0%-12.0%-8.1%78.8K9.4M-204.7K0.609.17N/AN/A4,1122,470118,860142,297
2018-06-15$5.49$5.0029.6%8.9%16.4%10.9%27.4%-15.8%0.9%556.3K6.4M-206.1K0.8210.80N/AN/A3,1442,569121,017142,299
2018-06-18$5.54$5.0031.2%9.6%16.5%13.9%31.8%0.6%6.0%-16.9K7.2M-201.1K0.4112.10N/AN/A4,9542,030108,321138,120
2018-06-19$5.55$5.0030.7%9.0%16.2%12.9%33.0%-2.4%-4.9%91.3K6.1M-200.7K0.7214.10N/AN/A3,5672,556110,941138,218
2018-06-20$5.46$5.0035.7%10.2%17.5%22.9%33.4%-2.3%5.9%38.3K7.1M-209.1K1.0315.29N/AN/A2,1752,244112,464139,004
2018-06-21$5.34$5.0039.8%10.9%18.6%30.9%44.4%-10.2%7.7%-149.8K11.3M-205.9K0.8914.01N/AN/A2,0771,858112,937139,575
2018-06-22$5.52$5.0032.0%8.8%21.5%15.6%31.0%1.2%1.4%444.1K6.9M-197.1K0.437.61N/AN/A3,7921,643113,678139,700
2018-06-25$5.33$5.0026.0%9.8%25.3%3.6%33.1%10.8%10.3%-235.9K12.3M-195.3K0.888.64N/AN/A3,6973,259109,929136,961
2018-06-26$5.40$5.0036.8%8.9%25.6%25.1%30.1%-1.3%8.6%-238.6K11.0M-198.1K0.439.77N/AN/A2,5231,073112,127138,901
2018-06-27$5.43$5.0026.3%8.1%25.0%4.3%28.2%6.7%15.7%-188.0K9.6M-191.8K3.1910.14N/AN/A1,9206,128113,549139,094
2018-06-28$5.46$5.0052.5%7.8%23.9%55.8%25.0%8.0%29.5%-110.9K9.9M-189.9K0.4310.09N/AN/A2,5161,080114,303139,550
2018-06-29$5.43$5.0037.2%7.8%23.9%25.7%27.1%19.9%3.0%-214.4K10.0M-193.3K1.449.30N/AN/A1,8572,677115,496139,655