S Options History — August 2018

In August 2018, S traded between $5.40 and $6.19. ATM implied volatility averaged 26.4%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 10.7% (HV 20d: 37.1%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.54.

Notable Days

  • 2018-08-06: Highest Volume — 35,897 contracts
  • 2018-08-06: Largest IV spike — 42.0% change
  • 2018-08-06: Highest IV Rank — 19.5%
  • 2018-08-06: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.04$5.40$6.19$5.40$6.11
Max Pain$5.89$5.00$6.00$5.50$6.00
ATM IV26.4%22.9%33.7%24.0%24.6%
Expected Move7.4%5.4%9.9%7.0%6.3%
HV 20d37.1%19.3%40.7%19.3%35.9%
HV 60d27.7%20.1%29.1%20.1%28.6%
IV Rank5.6%0.0%19.5%0.0%3.1%
IV Percentile3.8%0.0%16.7%0.0%2.4%
Term Structure0.4%-2.8%4.0%2.2%1.7%
VWIV26.2%18.1%34.6%24.5%20.8%
Skew 25d-0.2%-5.7%11.7%-2.1%-2.7%
Skew 10d-1.7%-13.3%13.5%-1.8%-1.6%
Call IV 25d26.3%18.9%31.7%23.3%26.1%
Put IV 25d26.0%21.1%35.6%21.1%23.3%
Bid-Ask Spread %11.196.5616.909.1610.19
Gamma HHI0.340.270.440.400.29
Net GEX540.8K-357.3K1.2M-357.3K386.4K
Net DEX-9.5M-18.8M10.2M10.2M-8.3M
Net VEX-196.4K-222.4K-161.2K-171.2K-194.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.131.460.360.84
Total Volume6,968.4782,16035,8976,0382,160
Total OI262,819.217233,448295,079271,668240,219

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$5.40$5.5024.0%7.0%19.3%0.0%24.5%-2.1%2.2%-357.3K10.2M-171.2K0.369.16N/AN/A4,4521,586125,632146,036
2018-08-02$5.66$5.5024.9%6.7%25.3%1.7%23.4%-0.3%-0.5%209.4K2.0M-180.8K0.386.56N/AN/A4,9511,872127,673146,169
2018-08-03$5.63$5.5023.7%6.4%23.5%0.0%24.3%-2.6%-1.9%157.7K1.4M-174.0K0.189.37N/AN/A6,8471,261128,628145,995
2018-08-06$6.18$5.0033.7%9.9%40.6%19.5%34.6%6.1%1.3%639.4K-13.9M-161.2K0.2814.47N/AN/A27,9977,900124,663141,325
2018-08-07$6.16$6.0029.6%7.5%40.7%11.5%27.4%-2.0%0.5%650.8K-14.5M-199.5K0.7313.26N/AN/A5,2483,856129,300144,831
2018-08-08$6.08$6.0028.5%8.7%40.2%9.2%30.9%-1.5%0.7%623.3K-11.7M-186.2K0.138.28N/AN/A15,1861,926130,094145,094
2018-08-09$6.09$6.0027.9%8.2%39.6%8.1%28.4%4.7%-2.8%841.6K-12.2M-200.9K0.258.22N/AN/A5,6191,423141,315145,587
2018-08-10$6.04$6.0027.8%8.6%39.8%8.0%30.0%-2.2%-0.6%949.3K-12.5M-202.4K0.2011.54N/AN/A7,9101,549143,521145,567
2018-08-13$6.05$6.0026.9%7.7%39.8%6.2%27.0%4.4%0.2%1.1M-11.6M-205.9K0.4916.36N/AN/A3,2241,573145,013142,899
2018-08-14$6.13$6.0030.9%8.5%39.5%14.0%29.4%0.7%-2.4%1.0M-18.1M-195.6K0.2514.43N/AN/A7,6351,903146,703142,796
2018-08-15$6.03$6.0026.7%8.5%40.1%5.7%29.3%-1.1%2.0%1.2M-14.1M-222.4K1.2113.67N/AN/A1,6441,997152,174142,387
2018-08-16$6.14$6.0029.3%8.3%39.5%10.8%28.8%1.3%-0.6%933.8K-17.6M-221.9K0.3012.96N/AN/A2,912866152,266142,813
2018-08-17$6.13$6.0026.1%7.3%39.5%4.6%25.4%2.6%-0.2%393.3K-18.8M-215.1K0.1616.90N/AN/A6,4011,009151,847142,884
2018-08-20$6.19$6.0025.3%7.5%39.1%3.1%27.7%0.9%-0.2%413.3K-8.2M-209.6K0.399.08N/AN/A2,9081,130121,265112,183
2018-08-21$6.17$6.0024.5%7.0%39.0%1.4%24.0%-0.7%2.6%450.0K-9.6M-206.3K0.9710.32N/AN/A2,7322,649121,413113,001
2018-08-22$6.13$6.0023.3%6.7%39.3%0.0%24.1%-5.7%3.1%390.5K-8.7M-203.8K0.268.44N/AN/A2,225580122,422114,392
2018-08-23$6.11$6.0024.9%7.1%39.4%3.1%24.0%-1.9%-0.0%398.7K-9.3M-205.7K0.5810.80N/AN/A1,421821122,618114,493
2018-08-24$6.11$6.0025.3%7.3%39.5%3.9%26.7%-0.9%-0.9%426.0K-9.6M-200.1K0.8010.26N/AN/A1,4021,115122,853114,732
2018-08-27$6.11$6.0027.5%7.6%39.5%8.1%29.4%11.7%-1.6%448.8K-9.2M-187.8K0.8412.25N/AN/A1,3831,166122,375114,437
2018-08-28$6.07$6.0022.9%5.8%39.5%0.0%20.3%-5.5%4.0%360.3K-7.5M-194.1K0.4511.43N/AN/A2,3131,049122,531114,719
2018-08-29$6.14$6.0024.9%5.4%39.0%3.7%18.1%-2.8%-0.9%402.7K-9.0M-190.6K0.9711.16N/AN/A1,9721,906123,036114,911
2018-08-30$6.14$6.0024.6%7.1%36.0%3.2%24.2%-5.4%2.2%382.4K-8.2M-188.6K1.468.17N/AN/A1,0561,540124,161115,869
2018-08-31$6.11$6.0024.6%6.3%35.9%3.1%20.8%-2.7%1.7%386.4K-8.3M-194.2K0.8410.19N/AN/A1,176984124,339115,880