S Options History — September 2018

In September 2018, S traded between $5.93 and $6.56. ATM implied volatility averaged 32.6%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 14.2% (HV 20d: 18.5%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-09-21: Highest Volume — 29,290 contracts
  • 2018-09-25: Largest IV spike — 162.8% change
  • 2018-09-25: Highest IV Rank — 100.0%
  • 2018-09-18: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.30$5.93$6.56$6.12$6.56
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV32.6%21.9%101.4%24.3%41.4%
Expected Move7.0%5.9%7.9%7.3%7.3%
HV 20d18.5%12.8%20.9%13.5%19.7%
HV 60d28.3%27.4%29.7%28.4%27.4%
IV Rank14.9%0.0%100.0%2.6%24.6%
IV Percentile22.0%0.0%100.0%2.0%61.9%
Term Structure7.3%-6.8%32.2%3.5%-6.8%
VWIV23.2%17.0%27.3%25.4%22.5%
Skew 25d4.1%-7.9%31.0%-5.9%4.0%
Skew 10d17.4%-25.5%83.4%-2.3%1.4%
Call IV 25d28.0%16.3%51.2%30.0%32.7%
Put IV 25d32.1%22.7%65.8%24.2%36.7%
Bid-Ask Spread %11.186.3820.236.5511.83
Gamma HHI0.320.270.460.280.46
Net GEX681.8K296.7K1.2M390.7K1.2M
Net DEX-13.9M-24.0M-4.1M-8.5M-24.0M
Net VEX-189.5K-201.5K-175.3K-194.3K-200.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.062.120.841.21
Total Volume6,118.5261,67529,2907,69810,139
Total OI244,449.579238,061261,952238,061261,952

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$6.12$6.0024.3%7.3%13.5%2.6%25.4%-5.9%3.5%390.7K-8.5M-194.3K0.846.55N/AN/A4,1743,524122,931115,130
2018-09-05$6.09$6.0023.3%7.3%13.6%0.6%24.1%8.5%4.5%356.6K-7.6M-192.1K0.818.48N/AN/A1,051855122,605115,654
2018-09-06$6.10$6.0023.5%7.1%12.8%1.0%25.0%11.0%2.4%341.3K-7.3M-188.2K0.7615.17N/AN/A1,078824123,433116,385
2018-09-07$5.93$6.0028.2%7.8%16.3%10.0%27.1%7.5%-0.1%296.7K-4.1M-194.7K1.2311.83N/AN/A2,6643,269123,562116,419
2018-09-10$6.06$6.0027.2%6.9%18.0%8.1%24.1%-7.9%-2.3%320.8K-5.7M-199.5K1.399.32N/AN/A1,0931,521123,593116,628
2018-09-11$6.09$6.0027.6%7.7%18.0%9.0%27.1%-2.9%-0.9%344.8K-7.4M-182.9K1.5813.25N/AN/A6491,026122,966116,589
2018-09-12$6.29$6.0025.0%6.6%20.9%3.9%22.0%0.2%-4.1%513.3K-13.0M-189.0K0.4320.23N/AN/A5,5662,389123,607116,505
2018-09-13$6.36$6.0026.1%7.9%20.1%6.0%26.6%2.7%1.6%665.7K-14.9M-191.4K0.768.85N/AN/A2,8762,182124,871116,204
2018-09-14$6.37$6.0023.5%7.1%19.2%1.0%23.4%1.8%-1.2%649.9K-14.7M-183.3K0.6912.39N/AN/A1,6501,142125,639116,484
2018-09-17$6.33$6.0021.9%5.9%19.4%0.0%18.9%-2.6%32.2%631.6K-13.6M-182.3K1.1610.03N/AN/A9551,107124,968115,317
2018-09-18$6.43$6.0027.4%7.9%19.8%10.4%27.3%2.1%7.7%721.5K-15.3M-180.7K0.687.63N/AN/A1,5361,041125,422115,400
2018-09-19$6.37$6.0024.7%7.1%20.2%5.3%25.0%2.1%24.8%705.1K-14.6M-182.6K0.998.40N/AN/A1,1301,114124,265115,124
2018-09-20$6.41$6.0027.2%6.2%20.0%10.0%21.6%2.6%30.7%860.8K-16.6M-179.4K0.446.38N/AN/A2,242995124,546115,195
2018-09-21$6.40$6.0030.0%7.2%19.9%15.3%20.2%3.8%14.3%754.9K-17.3M-175.3K0.0611.90N/AN/A27,6161,674125,482115,279
2018-09-24$6.39$6.0038.6%6.5%20.0%31.5%21.5%16.0%0.7%942.2K-18.6M-196.3K0.0713.05N/AN/A12,121798137,488114,152
2018-09-25$6.45$6.00101.4%6.6%20.1%100.0%21.4%31.0%22.6%1.0M-19.1M-191.5K0.089.42N/AN/A7,970649137,783114,175
2018-09-26$6.46$6.0041.3%6.1%19.8%24.4%20.9%-2.4%-0.8%1.1M-20.5M-201.5K0.5711.47N/AN/A1,391786146,602114,190
2018-09-27$6.51$6.0037.8%6.1%19.7%20.0%17.0%6.1%9.5%1.2M-21.6M-194.8K2.1216.29N/AN/A1,7483,707143,719114,278
2018-09-28$6.56$6.0041.4%7.3%19.7%24.6%22.5%4.0%-6.8%1.2M-24.0M-200.3K1.2111.83N/AN/A4,5835,556144,364117,588