S Options History — October 2018

In October 2018, S traded between $5.72 and $6.58. ATM implied volatility averaged 38.8%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 14.7% (HV 20d: 24.1%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 1.67.

Notable Days

2018-10-15: Highest Volume — 81,385 contracts
2018-10-04: Largest IV spike — 70.8% change
2018-10-11: Highest IV Rank — 37.6%
2018-10-30: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.29	$5.72	$6.58	$6.54	$6.21
Max Pain	$6.00	$6.00	$6.00	$6.00	$6.00
ATM IV	38.8%	23.0%	51.8%	35.8%	37.1%
Expected Move	9.9%	6.5%	17.1%	7.5%	10.5%
HV 20d	24.1%	17.3%	47.0%	19.6%	47.0%
HV 60d	28.2%	25.2%	31.9%	26.9%	30.3%
IV Rank	21.3%	1.4%	37.6%	17.5%	19.2%
IV Percentile	50.7%	0.8%	93.3%	35.7%	46.8%
Term Structure	-2.5%	-26.6%	17.5%	4.4%	-0.9%
VWIV	34.3%	22.8%	55.7%	26.1%	39.5%
Skew 25d	1.7%	-19.5%	34.5%	0.4%	3.4%
Skew 10d	5.3%	-10.7%	17.9%	10.7%	6.8%
Call IV 25d	41.5%	24.9%	59.7%	45.4%	36.4%
Put IV 25d	43.1%	28.2%	74.2%	45.8%	39.7%
Bid-Ask Spread %	12.38	8.73	18.29	10.72	14.00
Gamma HHI	0.40	0.23	0.55	0.44	0.23
Net GEX	723.2K	261.9K	1.2M	1.1M	261.9K
Net DEX	-20.3M	-36.2M	-7.7M	-22.8M	-9.9M
Net VEX	-257.2K	-333.9K	-192.7K	-199.1K	-333.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.67	0.03	8.49	8.49	0.98
Total Volume	15,953.261	5,089	81,385	22,238	8,916
Total OI	316,444.087	262,426	373,669	262,426	373,669

Daily Data (23 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
2018-10-01	$6.54	$6.00	35.8%	7.5%	19.6%	17.5%	26.1%	0.4%	4.4%	1.1M	-22.8M	-199.1K	8.49	10.72	N/A	N/A	2,344	19,894	144,935	117,491
2018-10-02	$6.58	$6.00	37.6%	6.8%	19.6%	19.7%	23.7%	-4.7%	-0.5%	922.1K	-22.2M	-200.4K	6.35	12.50	N/A	N/A	1,544	9,811	145,184	123,728
2018-10-03	$6.50	$6.00	23.0%	6.5%	20.2%	1.4%	22.8%	9.1%	17.5%	980.7K	-21.7M	-192.7K	3.97	15.67	N/A	N/A	1,319	5,241	145,279	123,738
2018-10-04	$6.48	$6.00	39.3%	9.7%	20.3%	21.9%	34.2%	4.4%	8.6%	837.4K	-18.9M	-204.2K	3.86	11.50	N/A	N/A	3,576	13,794	145,300	124,852
2018-10-05	$6.41	$6.00	43.0%	9.3%	17.5%	26.6%	29.9%	3.3%	6.2%	627.5K	-16.3M	-205.5K	2.57	12.15	N/A	N/A	1,427	3,662	147,411	134,873
2018-10-08	$6.54	$6.00	46.0%	8.0%	17.3%	30.4%	31.2%	-16.0%	-16.3%	680.0K	-18.6M	-195.5K	3.72	8.98	N/A	N/A	1,313	4,887	144,193	134,666
2018-10-09	$6.43	$6.00	48.5%	9.7%	18.8%	33.5%	33.6%	-17.8%	-12.9%	609.2K	-16.5M	-203.7K	0.79	10.99	N/A	N/A	6,162	4,873	144,295	136,026
2018-10-10	$6.27	$6.00	51.3%	9.4%	17.8%	37.0%	31.8%	-19.5%	-13.9%	355.9K	-14.9M	-211.5K	1.02	11.12	N/A	N/A	6,400	6,548	143,708	131,265
2018-10-11	$6.22	$6.00	51.8%	10.1%	17.5%	37.6%	38.9%	34.5%	-14.4%	276.1K	-14.0M	-217.7K	0.90	14.03	N/A	N/A	5,984	5,408	143,988	132,780
2018-10-12	$6.40	$6.00	46.3%	9.4%	20.4%	30.7%	37.9%	5.3%	-26.6%	456.4K	-16.2M	-195.5K	0.85	14.69	N/A	N/A	6,519	5,539	144,017	132,724
2018-10-15	$6.31	$6.00	37.2%	9.9%	21.0%	19.3%	32.1%	3.2%	-5.7%	396.6K	-17.0M	-203.8K	0.03	10.31	N/A	N/A	79,209	2,176	143,713	131,464
2018-10-16	$6.39	$6.00	26.8%	7.3%	20.7%	6.2%	27.3%	0.7%	4.6%	1.1M	-32.4M	-316.2K	0.39	10.15	N/A	N/A	4,805	1,851	218,914	131,634
2018-10-17	$6.40	$6.00	28.6%	8.2%	20.4%	8.5%	29.0%	1.2%	3.7%	1.2M	-34.4M	-325.0K	0.36	10.35	N/A	N/A	4,443	1,621	218,841	131,589
2018-10-18	$6.38	$6.00	34.7%	10.2%	20.3%	16.1%	34.6%	0.9%	-6.8%	1.1M	-31.8M	-320.3K	0.38	9.26	N/A	N/A	4,376	1,676	218,867	132,634
2018-10-19	$6.49	$6.00	30.8%	8.9%	21.2%	11.2%	30.3%	11.2%	3.9%	1.2M	-36.2M	-313.6K	0.21	8.73	N/A	N/A	7,857	1,658	218,938	132,698
2018-10-22	$6.48	$6.00	31.8%	9.8%	21.2%	12.5%	33.4%	2.7%	-3.1%	1.2M	-35.6M	-314.8K	0.24	8.74	N/A	N/A	7,113	1,674	217,739	132,334
2018-10-23	$6.41	$6.00	31.8%	10.2%	21.3%	12.5%	31.6%	0.3%	-0.4%	1.2M	-32.8M	-310.7K	0.35	18.29	N/A	N/A	9,757	3,464	218,007	132,401
2018-10-24	$5.97	$6.00	36.9%	10.7%	32.9%	18.9%	36.3%	5.5%	-4.3%	548.7K	-13.2M	-273.0K	0.38	13.99	N/A	N/A	7,371	2,784	219,439	134,249
2018-10-25	$6.07	$6.00	34.7%	10.4%	33.5%	16.1%	36.5%	5.4%	-1.0%	524.1K	-16.0M	-293.5K	0.22	13.87	N/A	N/A	7,123	1,580	219,468	134,973
2018-10-26	$5.85	$6.00	44.4%	13.0%	35.2%	28.4%	45.5%	0.7%	-0.6%	449.4K	-9.8M	-283.3K	0.23	17.85	N/A	N/A	12,079	2,734	219,785	135,004
2018-10-29	$5.72	$6.00	43.8%	14.8%	35.7%	27.5%	46.2%	5.0%	0.7%	349.2K	-7.7M	-283.4K	0.97	14.55	N/A	N/A	5,118	4,969	223,960	134,607
2018-10-30	$5.73	$6.00	51.3%	17.1%	35.5%	37.0%	55.7%	-0.6%	-0.1%	291.7K	-9.1M	-318.0K	1.16	12.35	N/A	N/A	30,647	35,679	224,371	138,463
2018-10-31	$6.21	$6.00	37.1%	10.5%	47.0%	19.2%	39.5%	3.4%	-0.9%	261.9K	-9.9M	-333.9K	0.98	14.00	N/A	N/A	4,497	4,419	205,063	168,606