S Options History — November 2018

In November 2018, S traded between $6.08 and $6.40. ATM implied volatility averaged 37.2%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 6.4% (HV 20d: 43.5%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2018-11-30: Highest Volume — 25,027 contracts
  • 2018-11-30: Largest IV drop — 88.6% change
  • 2018-11-29: Highest IV Rank — 70.6%
  • 2018-11-23: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.24$6.08$6.40$6.29$6.30
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV37.2%8.9%78.0%36.1%8.9%
Expected Move10.1%7.3%11.6%9.4%7.3%
HV 20d43.5%26.7%48.8%47.3%26.7%
HV 60d31.7%30.2%33.1%30.3%33.1%
IV Rank20.0%0.0%70.6%17.9%0.0%
IV Percentile45.3%0.0%99.6%40.1%0.0%
Term Structure11.3%-6.7%161.3%-6.7%-3.3%
VWIV35.0%27.1%41.6%35.5%27.1%
Skew 25d1.7%-17.9%8.3%2.3%-0.4%
Skew 10d9.0%-6.3%21.7%16.1%-6.3%
Call IV 25d36.3%27.9%61.0%36.2%29.4%
Put IV 25d38.0%28.9%53.0%38.5%28.9%
Bid-Ask Spread %21.499.68141.509.6813.21
Gamma HHI0.270.230.330.230.29
Net GEX469.9K-622.5K997.5K420.9K974.6K
Net DEX-11.5M-18.5M-5.8M-15.3M-12.1M
Net VEX-300.6K-339.2K-270.8K-339.2K-290.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.4215.891.6315.89
Total Volume5,336.811,90125,0277,01825,027
Total OI359,199.048338,085374,203374,203345,739

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$6.29$6.0036.1%9.4%47.3%17.9%35.5%2.3%-6.7%420.9K-15.3M-339.2K1.639.68N/AN/A2,6644,354205,413168,790
2018-11-02$6.32$6.0030.2%8.6%47.3%10.5%30.3%-0.7%4.3%309.3K-15.2M-334.0K1.9715.06N/AN/A1,9123,764205,334168,856
2018-11-05$6.35$6.0031.4%10.8%46.7%12.0%36.4%2.1%4.6%466.9K-17.9M-332.4K0.4219.43N/AN/A7,1163,008203,184169,677
2018-11-06$6.22$6.0035.6%10.6%46.9%17.3%37.4%4.8%1.7%239.0K-11.1M-316.5K1.0017.33N/AN/A1,9661,961202,317169,723
2018-11-07$6.40$6.0028.3%10.2%47.2%8.1%37.6%4.1%4.7%395.4K-18.5M-322.4K0.8819.32N/AN/A2,2231,956202,324169,796
2018-11-08$6.28$6.0032.8%10.2%47.6%13.7%33.7%2.5%1.1%282.2K-12.6M-313.5K1.0816.43N/AN/A1,5361,657203,163169,987
2018-11-09$6.21$6.0033.6%10.8%46.6%14.8%34.7%2.2%4.9%185.2K-9.5M-311.1K2.2113.08N/AN/A1,1812,610202,895169,995
2018-11-12$6.12$6.0035.4%10.2%46.6%17.0%39.4%3.2%0.2%-156.6K-7.0M-306.3K1.4814.96N/AN/A1,9552,903201,781169,955
2018-11-13$6.23$6.0034.4%10.6%46.8%15.8%41.6%3.1%2.8%133.6K-9.1M-295.6K0.5118.06N/AN/A2,4551,251202,037170,417
2018-11-14$6.17$6.0035.5%10.4%46.9%17.1%36.0%4.5%-0.3%-112.5K-9.2M-295.2K0.9314.28N/AN/A1,3571,267203,206170,416
2018-11-15$6.11$6.0036.2%10.1%47.0%18.1%37.9%8.1%-1.3%-622.5K-5.8M-299.2K0.6714.71N/AN/A1,6961,132203,181170,376
2018-11-16$6.30$6.0034.8%10.3%48.0%16.3%34.5%3.3%0.7%854.5K-17.3M-303.9K1.4714.83N/AN/A1,8312,696203,062170,394
2018-11-19$6.25$6.0035.3%10.3%48.0%16.9%33.3%3.7%18.2%852.2K-12.9M-296.2K0.5314.94N/AN/A2,8371,496192,909145,176
2018-11-20$6.08$6.0037.4%10.9%48.8%19.6%37.4%0.3%13.0%679.4K-5.9M-270.9K1.3111.55N/AN/A1,8082,362193,979145,306
2018-11-21$6.15$6.0035.2%10.1%41.7%16.8%32.3%4.1%13.4%713.8K-7.9M-288.3K1.0017.67N/AN/A2,1912,196194,016146,075
2018-11-23$6.12$6.0039.9%11.6%41.4%22.7%33.3%8.3%2.0%821.9K-9.2M-270.8K1.38141.50N/AN/A1,2591,742194,265146,735
2018-11-26$6.19$6.0045.7%11.2%39.1%29.9%36.6%5.5%7.3%766.5K-9.4M-280.0K0.6917.43N/AN/A1,123778194,039146,289
2018-11-27$6.18$6.0041.0%10.8%38.0%24.1%37.1%-17.9%8.1%765.7K-8.0M-275.9K0.6315.05N/AN/A1,458914194,283146,296
2018-11-28$6.35$6.0054.5%9.2%38.9%41.1%31.3%-8.0%0.9%900.2K-13.5M-288.0K0.4819.49N/AN/A2,3171,101194,264146,454
2018-11-29$6.36$6.0078.0%9.0%26.8%70.6%30.7%1.0%161.3%997.5K-13.9M-282.2K2.4613.18N/AN/A2,0254,988194,838146,238
2018-11-30$6.30$6.008.9%7.3%26.7%0.0%27.1%-0.4%-3.3%974.6K-12.1M-290.1K15.8913.21N/AN/A1,48223,545195,269150,470