S Options History — January 2019

In January 2019, S traded between $6.01 and $6.37. ATM implied volatility averaged 45.6%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 14.2% (HV 20d: 31.3%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.84.

Notable Days

  • 2019-01-22: Highest Volume — 27,836 contracts
  • 2019-01-10: Largest IV spike — 32.3% change
  • 2019-01-02: Highest IV Rank — 32.0%
  • 2019-01-30: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.16$6.01$6.37$6.02$6.26
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV45.6%30.4%65.1%65.1%30.4%
Expected Move12.2%9.8%14.4%9.8%10.4%
HV 20d31.3%24.7%35.4%33.7%24.7%
HV 60d34.0%27.6%36.4%36.3%28.3%
IV Rank20.8%12.2%32.0%32.0%12.2%
IV Percentile72.3%23.0%98.0%98.0%23.0%
Term Structure-2.0%-27.0%25.0%-15.8%-0.6%
VWIV39.6%33.4%47.2%33.9%34.5%
Skew 25d7.6%-4.6%19.1%12.4%13.3%
Skew 10d8.5%-7.7%19.5%8.3%19.5%
Call IV 25d42.9%26.6%64.1%56.0%26.6%
Put IV 25d50.5%35.4%68.3%68.3%39.9%
Bid-Ask Spread %11.828.8816.008.8814.19
Gamma HHI0.320.240.490.280.31
Net GEX414.5K-194.1K1.4M607.7K-108.5K
Net DEX4.8M-4.9M12.3M7.1M5.9M
Net VEX-261.2K-292.5K-232.6K-253.6K-292.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.840.0914.454.711.81
Total Volume8,421.3811,11027,8365,4356,868
Total OI329,858.81208,177402,982380,093240,219

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$6.02$6.0065.1%9.8%33.7%32.0%33.9%12.4%-15.8%607.7K7.1M-253.6K4.718.88N/AN/A9514,484197,152182,941
2019-01-03$6.01$6.0059.0%12.6%33.1%28.4%41.2%13.9%-3.4%624.7K6.0M-247.7K5.6115.22N/AN/A8384,701197,511182,015
2019-01-04$6.19$6.0049.6%12.9%34.8%23.1%38.6%3.9%25.0%743.2K290.5K-263.1K4.7011.07N/AN/A1,0244,816197,735182,252
2019-01-07$6.31$6.0049.4%13.4%35.4%23.0%42.3%4.8%2.5%890.9K-2.6M-260.8K0.0911.73N/AN/A1,337126196,863182,265
2019-01-08$6.28$6.0048.8%12.9%35.4%22.7%37.5%6.4%2.8%901.9K-635.2K-259.4K4.7714.01N/AN/A1,1255,367198,117182,293
2019-01-09$6.27$6.0046.0%11.5%34.0%21.1%39.9%19.1%5.8%768.3K-76.0K-251.0K0.2010.96N/AN/A15,7953,237198,236182,316
2019-01-10$6.31$6.0060.8%12.4%34.0%29.5%41.8%2.9%-27.0%980.6K-3.3M-268.5K0.139.55N/AN/A16,0892,133213,502185,000
2019-01-11$6.37$6.0051.1%11.6%33.0%24.0%33.4%3.9%-11.1%476.2K-4.9M-270.8K0.1216.00N/AN/A16,3582,003213,764189,218
2019-01-14$6.27$6.0043.8%12.0%33.6%19.8%35.8%2.6%-7.0%634.3K117.4K-268.5K1.9911.56N/AN/A371739212,746188,413
2019-01-15$6.13$6.0044.7%12.5%33.8%20.4%43.5%-0.0%-4.7%667.1K3.2M-258.0K2.8111.26N/AN/A4801,348212,764189,014
2019-01-16$6.03$6.0042.1%12.1%33.0%18.9%42.1%-4.6%-4.0%1.2M7.6M-253.7K1.2314.02N/AN/A612754212,845189,779
2019-01-17$6.02$6.0041.6%12.0%32.9%18.6%40.8%-1.2%-1.2%1.4M8.8M-242.5K2.2112.05N/AN/A4821,067212,919189,833
2019-01-18$6.06$6.0038.8%11.0%32.8%17.0%38.3%-1.7%1.5%-136.4K2.4M-247.2K0.2312.47N/AN/A6,1091,405213,048189,907
2019-01-22$6.01$6.0040.8%12.4%32.5%18.1%39.1%11.8%-1.1%-194.1K11.1M-232.6K14.4510.84N/AN/A1,80226,034107,399100,778
2019-01-23$6.16$6.0041.0%11.7%30.2%18.2%36.2%12.9%-0.9%-115.9K8.9M-258.1K3.0910.62N/AN/A4,55414,067108,997107,997
2019-01-24$6.22$6.0040.5%11.8%27.9%18.0%39.1%13.2%-0.7%-102.0K8.5M-273.4K1.2011.45N/AN/A7,2928,770112,297116,291
2019-01-25$6.19$6.0038.1%11.8%24.8%16.6%37.4%10.8%-0.1%-57.4K7.4M-278.0K0.7211.22N/AN/A1,200865116,281116,348
2019-01-28$6.05$6.0041.3%13.6%26.2%18.4%44.2%10.7%1.2%-171.6K12.3M-265.1K3.2111.04N/AN/A6902,213116,594116,353
2019-01-29$6.05$6.0040.5%13.4%26.2%18.0%45.4%10.4%-0.6%-181.7K11.9M-269.0K2.849.79N/AN/A7802,218117,164119,916
2019-01-30$6.08$6.0043.6%14.4%26.0%19.7%47.2%14.9%-1.9%-155.6K11.0M-271.8K3.4710.35N/AN/A1,2864,459117,465120,488
2019-01-31$6.26$6.0030.4%10.4%24.7%12.2%34.5%13.3%-0.6%-108.5K5.9M-292.5K1.8114.19N/AN/A2,4454,423118,029122,190