S Options History — December 2018

In December 2018, S traded between $5.63 and $6.25. ATM implied volatility averaged 60.5%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 34.0% (HV 20d: 26.5%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 4.08.

Notable Days

  • 2018-12-06: Highest Volume — 33,447 contracts
  • 2018-12-07: Largest IV spike — 767.6% change
  • 2018-12-04: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.96$5.63$6.25$6.25$5.80
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV60.5%17.9%184.8%34.4%51.7%
Expected Move10.0%6.9%11.2%6.9%9.8%
HV 20d26.5%23.4%32.3%26.8%30.4%
HV 60d33.3%31.8%35.5%32.6%35.5%
IV Rank30.4%5.1%100.0%27.5%24.3%
IV Percentile65.3%0.4%100.0%35.3%90.5%
Term Structure-15.5%-156.5%37.9%27.1%-3.6%
VWIV35.2%27.7%41.1%27.7%35.3%
Skew 25d6.8%-18.7%74.2%74.2%4.4%
Skew 10d10.7%-18.0%74.1%74.1%8.4%
Call IV 25d48.9%5.1%124.6%5.1%63.7%
Put IV 25d55.8%28.1%106.0%79.2%68.1%
Bid-Ask Spread %11.358.7018.0612.0413.06
Gamma HHI0.270.240.370.250.28
Net GEX427.7K-91.9K763.3K760.9K244.2K
Net DEX4.6M-5.9M13.8M-1.4M11.8M
Net VEX-273.3K-315.9K-234.0K-315.9K-234.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.080.1655.400.165.30
Total Volume4,567.467133,4479825,254
Total OI369,790.5347,145376,892367,697375,762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$6.25$6.0034.4%6.9%26.8%27.5%27.7%74.2%27.1%760.9K-1.4M-315.9K0.1612.04N/AN/A843139194,998172,699
2018-12-04$6.13$6.00168.7%8.9%27.5%100.0%31.6%-9.0%-140.9%763.3K-4.8M-266.8K0.9018.06N/AN/A870781194,475152,670
2018-12-05$6.14$6.00184.8%8.8%26.6%100.0%31.8%-8.9%-148.9%660.3K-1.5M-263.5K0.9015.77N/AN/A870783194,475152,670
2018-12-06$6.12$6.0017.9%10.7%24.2%5.1%37.4%2.9%37.9%640.3K-5.9M-275.2K55.4011.18N/AN/A59332,854194,985152,996
2018-12-07$6.08$6.00155.7%10.7%23.5%83.5%33.6%-18.7%-156.5%548.9K-875.9K-310.3K3.8510.49N/AN/A7502,888195,173174,710
2018-12-10$5.93$6.0039.3%10.9%24.7%17.3%39.6%16.0%-1.5%373.2K5.4M-297.9K0.4110.40N/AN/A492203195,196176,521
2018-12-11$5.94$6.0039.4%10.5%24.3%17.3%36.4%-1.9%-2.5%399.0K4.3M-289.4K0.349.39N/AN/A502169195,319176,552
2018-12-12$6.10$6.0034.8%10.4%25.4%14.7%34.8%1.3%-0.6%588.5K2.1M-293.4K0.3112.25N/AN/A1,006312195,342176,536
2018-12-13$6.09$6.0032.6%9.7%25.2%13.4%31.6%0.8%2.5%680.5K1.0M-288.2K1.059.82N/AN/A776812196,223177,217
2018-12-14$5.97$6.0034.8%9.8%26.0%14.7%32.6%14.2%-1.0%451.7K4.7M-282.6K3.5710.75N/AN/A1,5895,673196,237177,334
2018-12-17$5.82$6.0036.2%10.3%24.4%15.5%35.9%-9.8%15.5%182.3K9.5M-263.8K0.528.77N/AN/A3,9772,063195,940176,688
2018-12-18$5.88$6.0034.8%10.1%24.9%14.7%35.2%-11.3%16.7%312.0K7.4M-265.8K0.779.47N/AN/A1,7581,351198,399176,803
2018-12-19$5.93$6.0034.1%9.8%23.4%14.3%34.8%-4.7%18.1%521.4K3.6M-272.8K1.6213.54N/AN/A1,3812,234199,137176,767
2018-12-20$6.02$6.0039.4%10.4%23.7%17.3%37.1%-5.1%15.3%558.1K4.1M-273.8K1.2810.11N/AN/A1,7652,259199,054177,729
2018-12-21$5.79$6.0044.1%11.0%27.3%20.0%39.3%6.9%15.1%196.7K9.8M-264.2K0.238.70N/AN/A2,465575199,166177,726
2018-12-24$5.63$6.0055.1%11.2%28.1%26.3%41.1%30.6%-2.9%-91.9K13.8M-254.8K1.5812.23N/AN/A1,1781,862196,706176,631
2018-12-26$5.86$6.0056.5%10.3%32.3%27.0%35.9%18.9%-0.2%263.2K10.0M-249.8K0.709.53N/AN/A3,0092,121196,555177,973
2018-12-27$5.81$6.0057.7%9.9%30.4%27.8%34.6%17.8%2.4%226.4K10.0M-251.2K1.5110.28N/AN/A1,0161,533197,329178,803
2018-12-28$5.84$6.0057.4%10.5%30.5%27.5%37.4%18.2%-1.2%274.1K8.7M-253.4K1.1411.13N/AN/A1,2331,409197,359178,955
2018-12-31$5.80$6.0051.7%9.8%30.4%24.3%35.3%4.4%-3.6%244.2K11.8M-234.0K5.3013.06N/AN/A8344,420197,058178,704