S Options History — July 2018

In July 2018, S traded between $5.39 and $5.68. ATM implied volatility averaged 35.5%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 11.8% (HV 20d: 23.6%). 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 8 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2018-07-11: Highest Volume — 15,826 contracts
  • 2018-07-10: Largest IV drop — 23.0% change
  • 2018-07-06: Highest IV Rank — 52.5%
  • 2018-07-31: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.52$5.39$5.68$5.40$5.47
Max Pain$5.10$5.00$5.50$5.00$5.50
ATM IV35.5%30.3%50.8%41.9%31.4%
Expected Move9.0%4.9%11.0%7.9%11.0%
HV 20d23.6%18.7%27.1%24.0%18.7%
HV 60d39.6%19.9%54.3%54.3%19.9%
IV Rank22.3%12.2%52.5%35.1%14.3%
IV Percentile23.2%6.0%84.1%52.8%9.9%
Term Structure0.8%-23.5%25.6%13.5%-1.7%
VWIV32.5%18.7%39.4%27.5%37.9%
Skew 25d3.1%-5.1%24.9%3.5%1.2%
Skew 10d2.4%-12.2%15.3%-12.2%2.0%
Call IV 25d36.0%28.2%61.6%39.2%31.5%
Put IV 25d39.1%27.4%67.1%42.7%32.8%
Bid-Ask Spread %12.136.0888.007.788.78
Gamma HHI0.320.280.370.350.37
Net GEX-102.6K-313.8K107.5K-283.4K-279.0K
Net DEX5.7M-726.5K10.8M10.8M8.6M
Net VEX-184.6K-195.2K-174.0K-186.5K-181.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.193.300.810.40
Total Volume5,501.3812,78115,8262,7818,605
Total OI259,360.286249,696269,118249,696267,447

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$5.40$5.0041.9%7.9%24.0%35.1%27.5%3.5%13.5%-283.4K10.8M-186.5K0.817.78N/AN/A1,5351,246111,109138,587
2018-07-03$5.41$5.0046.4%4.9%23.9%43.8%18.7%24.9%-10.6%-257.5K9.7M-187.1K0.7688.00N/AN/A1,8791,420111,584138,659
2018-07-05$5.48$5.0044.9%10.4%24.3%40.9%31.7%13.9%25.6%-114.2K8.8M-187.9K0.409.81N/AN/A3,4171,364112,434139,001
2018-07-06$5.63$5.0050.8%7.9%25.8%52.5%30.5%8.7%12.0%-49.0K3.1M-182.7K0.378.05N/AN/A3,9601,472114,250139,063
2018-07-09$5.63$5.0042.6%8.5%25.2%36.5%30.4%4.0%-23.5%-2.0K4.7M-180.7K0.688.18N/AN/A2,7901,892113,585138,919
2018-07-10$5.63$5.0032.8%8.9%25.0%17.2%33.1%4.8%-0.9%-3.6K3.7M-177.1K1.039.31N/AN/A1,8181,872114,403139,090
2018-07-11$5.52$5.0032.9%8.3%26.1%17.3%32.6%-3.0%1.3%-30.1K6.0M-184.1K0.197.75N/AN/A13,2892,537114,924139,095
2018-07-12$5.65$5.0032.3%8.4%27.1%16.1%30.7%3.7%-1.6%68.3K1.5M-192.3K0.267.98N/AN/A6,1291,582126,095139,901
2018-07-13$5.68$5.0034.4%8.9%26.4%20.3%32.2%0.8%-3.1%105.7K-726.5K-195.2K0.596.08N/AN/A3,3131,946129,185139,933
2018-07-16$5.66$5.0031.8%8.9%26.5%15.0%31.7%4.5%-0.1%107.5K682.5K-192.9K0.826.91N/AN/A1,9901,630126,958139,188
2018-07-17$5.60$5.0030.6%8.6%26.7%12.7%33.0%2.3%-1.1%50.8K1.7M-192.3K0.748.92N/AN/A2,0551,511126,993139,189
2018-07-18$5.57$5.0032.1%9.2%26.7%15.7%30.7%0.3%-1.6%27.1K2.3M-190.6K0.967.50N/AN/A1,4261,367127,700139,254
2018-07-19$5.47$5.0030.8%8.7%26.9%13.1%28.0%-0.7%7.8%-11.3K4.7M-187.1K1.497.63N/AN/A1,3872,060127,792139,281
2018-07-20$5.47$5.0030.3%8.2%25.6%12.2%39.4%-5.1%11.5%-208.1K5.9M-187.9K0.577.70N/AN/A2,3061,326127,991140,010
2018-07-23$5.41$5.0035.8%10.3%22.9%23.0%34.2%-1.5%-0.5%-313.8K10.0M-179.2K0.388.37N/AN/A3,5581,342117,092135,300
2018-07-24$5.39$5.0034.5%10.7%19.1%20.5%35.3%-0.3%-1.0%-264.0K9.0M-182.1K0.638.29N/AN/A2,2601,422118,895135,415
2018-07-25$5.44$5.0034.6%9.5%18.9%20.6%34.8%1.5%-4.4%-287.9K8.8M-175.0K0.619.72N/AN/A2,4771,519119,473135,646
2018-07-26$5.48$5.5032.0%10.5%18.9%15.5%35.4%2.9%0.6%-162.5K7.4M-179.5K0.637.83N/AN/A1,8101,147121,617137,871
2018-07-27$5.50$5.5030.7%10.0%18.9%12.9%38.1%-4.9%-6.6%-110.3K5.8M-174.0K1.699.25N/AN/A3,7786,391122,050137,936
2018-07-30$5.50$5.5031.3%9.7%18.7%14.1%35.8%3.6%1.8%-136.3K6.7M-180.7K3.3010.96N/AN/A2,4888,213121,777141,874
2018-07-31$5.47$5.5031.4%11.0%18.7%14.3%37.9%1.2%-1.7%-279.0K8.6M-181.7K0.408.78N/AN/A6,1302,475122,632144,815