S Options History — March 2019

In March 2019, S traded between $5.62 and $6.46. ATM implied volatility averaged 68.0%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 43.3% (HV 20d: 24.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.61.

Notable Days

  • 2019-03-28: Highest Volume — 32,662 contracts
  • 2019-03-28: Largest IV spike — 339.8% change
  • 2019-03-26: Highest IV Rank — 82.0%
  • 2019-03-29: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.22$5.62$6.46$6.39$5.64
Max Pain$6.71$6.00$7.00$6.00$7.00
ATM IV68.0%20.9%153.1%54.7%61.5%
Expected Move19.4%13.3%26.9%14.8%26.9%
HV 20d24.7%20.5%38.3%27.8%38.1%
HV 60d28.4%25.6%31.7%28.6%30.8%
IV Rank33.6%6.8%82.0%26.0%29.9%
IV Percentile87.5%0.8%98.8%94.0%94.0%
Term Structure12.8%-81.9%143.7%1.4%-63.4%
VWIV66.8%50.6%97.9%50.6%93.6%
Skew 25d18.1%10.4%46.0%18.0%10.5%
Skew 10d33.7%15.1%59.6%53.1%22.1%
Call IV 25d50.8%31.7%118.3%45.5%74.6%
Put IV 25d68.8%45.6%164.3%63.4%85.1%
Bid-Ask Spread %18.8811.1127.0713.6617.95
Gamma HHI0.250.210.290.240.21
Net GEX-79.4K-641.7K577.3K429.8K-401.5K
Net DEX7.4M-2.4M34.0M1.5M29.4M
Net VEX-367.2K-382.4K-351.7K-365.9K-365.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.086.970.771.78
Total Volume11,826.7142,55632,66213,66321,109
Total OI377,682.905335,024421,974335,024421,974

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$6.39$6.0054.7%14.8%27.8%26.0%50.6%18.0%1.4%429.8K1.5M-365.9K0.7713.66N/AN/A7,7035,960166,719168,305
2019-03-04$6.44$6.0061.8%16.9%27.7%30.1%61.4%24.9%4.1%577.3K-2.1M-373.7K0.2014.07N/AN/A6,3031,248166,589171,170
2019-03-05$6.40$6.0058.6%14.0%27.8%28.2%54.7%22.7%4.7%455.7K-2.4M-370.8K0.4527.07N/AN/A6,3582,872172,455172,312
2019-03-06$6.22$6.0069.8%14.6%20.5%34.6%53.2%18.6%3.1%26.2K6.2M-363.8K4.7522.67N/AN/A3,51016,669173,243179,035
2019-03-07$6.29$6.0056.6%13.3%20.5%27.1%69.8%19.5%3.8%-19.4K5.8M-377.2K1.1917.24N/AN/A6,4197,631175,641193,698
2019-03-08$6.13$6.0058.6%18.0%23.0%28.2%63.6%23.9%3.9%-247.9K11.8M-371.9K2.0021.34N/AN/A5,54711,073179,654200,762
2019-03-11$6.13$7.0058.4%19.2%22.9%28.1%59.2%15.2%1.7%-448.3K11.1M-359.4K0.1325.01N/AN/A2,468333179,363198,344
2019-03-12$6.19$7.0055.2%18.9%23.1%26.3%56.0%14.6%-2.5%-430.5K11.5M-355.4K0.0820.41N/AN/A2,371185181,407198,584
2019-03-13$6.29$7.0047.6%18.5%21.1%22.0%54.8%18.2%4.5%-264.3K8.0M-351.7K2.0116.64N/AN/A2,8925,820182,005198,635
2019-03-14$6.23$7.0051.4%18.1%21.4%24.1%59.0%25.7%-0.4%-330.7K9.2M-355.4K2.2514.95N/AN/A2,1814,907183,345204,129
2019-03-15$6.38$7.0047.0%18.7%22.5%21.7%64.6%13.1%10.3%-117.1K3.6M-368.8K0.5316.90N/AN/A2,7971,485184,745208,664
2019-03-18$6.46$7.0040.1%18.0%21.8%17.7%55.7%10.4%-39.1%88.3K-1.4M-364.4K0.6516.61N/AN/A1,6911,105154,730202,807
2019-03-19$6.37$7.0045.7%20.6%22.4%20.9%73.4%13.7%143.7%-13.7K2.3M-363.2K0.1016.09N/AN/A18,8601,863156,183203,685
2019-03-20$6.30$7.0085.3%20.2%22.6%43.4%62.6%12.9%138.2%21.7K4.0M-370.4K0.5514.43N/AN/A11,5926,364171,083204,564
2019-03-21$6.26$7.0078.1%20.6%22.2%39.3%62.8%11.0%27.3%4223.6M-379.0K0.6218.23N/AN/A1,7421,087178,180210,163
2019-03-22$6.21$7.00129.5%21.6%22.2%68.6%74.2%15.2%130.0%-96.2K4.9M-377.4K0.6325.12N/AN/A2,7531,743179,657210,438
2019-03-25$6.27$7.00102.3%21.8%22.4%53.1%73.4%11.2%-16.3%12.7K3.7M-371.7K2.0822.86N/AN/A1,6653,455179,200210,438
2019-03-26$6.36$7.00153.1%22.6%22.1%82.0%80.6%46.0%-81.9%279.4K-1.3M-382.4K3.1222.87N/AN/A1,4364,479180,554212,992
2019-03-27$6.07$7.0020.9%24.2%27.6%6.8%80.9%21.6%5.8%-641.7K12.3M-367.4K2.8921.33N/AN/A7,19820,825182,256216,082
2019-03-28$5.62$7.0092.0%25.9%38.3%47.3%97.9%12.4%-9.5%-548.0K34.0M-356.0K6.9711.11N/AN/A4,10028,562182,873234,678
2019-03-29$5.64$7.0061.5%26.9%38.1%29.9%93.6%10.5%-63.4%-401.5K29.4M-365.3K1.7817.95N/AN/A7,59613,513183,938238,036