S Options History — May 2019 In May 2019, S traded between $5.52 and $7.33. ATM implied volatility averaged 81.8%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 27.1% (HV 20d: 54.7%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.06.
Notable Days 2019-05-20 : Highest Volume — 183,352 contracts2019-05-20 : Largest IV drop — 20.6% change2019-05-31 : Highest IV Rank — 49.7%2019-05-31 : Largest Expected Move — 27.7%Monthly Statistics Metric Avg Min Max Open Close Price $6.34 $5.52 $7.33 $5.57 $6.89 Max Pain $6.14 $6.00 $7.00 $7.00 $6.00 ATM IV 81.8% 72.2% 96.3% 82.6% 96.3% Expected Move 23.5% 20.1% 27.7% 21.0% 27.7% HV 20d 54.7% 37.1% 76.1% 37.8% 76.1% HV 60d 42.5% 32.7% 53.9% 34.7% 53.8% IV Rank 41.4% 36.0% 49.7% 41.9% 49.7% IV Percentile 89.8% 82.5% 95.6% 92.5% 95.6% Term Structure 3.1% -5.4% 11.6% 4.1% 1.7% VWIV 93.8% 70.4% 118.0% 72.2% 117.7% Skew 25d 24.1% 6.6% 48.1% 16.8% 48.1% Skew 10d 53.2% 8.0% 112.3% 39.3% 112.3% Call IV 25d 68.7% 59.4% 78.7% 70.6% 78.7% Put IV 25d 92.7% 75.2% 126.9% 87.3% 126.9% Bid-Ask Spread % 14.70 8.65 24.61 10.58 24.61 Gamma HHI 0.26 0.21 0.39 0.31 0.24 Net GEX -1.2M -2.4M -333.9K -922.7K -1.2M Net DEX 25.6M -21.0M 59.1M 40.1M 27.2M Net VEX -428.1K -581.7K -318.7K -332.8K -581.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.06 0.73 21.01 1.11 1.07 Total Volume 44,827.091 6,596 183,352 6,596 52,448 Total OI 621,866.045 501,207 717,907 529,813 717,907
Daily Data (22 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 2019-05-01 $5.57 $7.00 82.6% 21.0% 37.8% 41.9% 72.2% 16.8% 4.1% -922.7K 40.1M -332.8K 1.11 10.58 N/A N/A 3,133 3,463 210,249 319,564 2019-05-02 $5.52 $7.00 77.3% 20.1% 37.7% 38.9% 70.4% 6.6% 8.4% -1.1M 43.3M -318.7K 9.40 10.90 N/A N/A 2,420 22,737 211,164 318,881 2019-05-03 $5.78 $7.00 74.7% 20.1% 40.7% 37.4% 70.7% 9.3% 10.0% -1.0M 37.2M -340.8K 0.73 10.08 N/A N/A 4,160 3,030 211,953 337,878 2019-05-06 $5.71 $6.00 83.0% 24.0% 41.0% 42.1% 90.3% 16.0% 3.6% -1.0M 41.0M -332.9K 7.93 13.55 N/A N/A 3,257 25,829 209,306 336,802 2019-05-07 $5.76 $6.00 85.3% 25.0% 40.1% 43.4% 93.3% 16.6% -0.5% -1.0M 38.2M -333.1K 21.01 20.13 N/A N/A 2,883 60,567 211,937 339,042 2019-05-08 $5.59 $6.00 86.7% 25.4% 41.3% 44.2% 89.7% 17.6% 0.2% -1.6M 59.1M -389.1K 7.38 12.92 N/A N/A 3,503 25,861 213,364 410,314 2019-05-09 $5.94 $6.00 74.8% 24.1% 46.5% 37.4% 84.2% 10.8% -1.4% -1.5M 42.7M -370.9K 1.33 8.65 N/A N/A 22,339 29,602 215,358 397,380 2019-05-10 $6.10 $6.00 73.3% 22.5% 47.4% 36.6% 90.8% 15.8% 0.6% -1.4M 33.8M -393.6K 1.51 12.24 N/A N/A 13,717 20,731 224,497 420,577 2019-05-13 $6.10 $6.00 80.6% 24.3% 46.2% 40.7% 97.4% 21.4% 0.3% -1.4M 33.8M -379.7K 2.10 17.95 N/A N/A 3,147 6,613 221,497 419,277 2019-05-14 $5.99 $6.00 85.7% 26.0% 43.9% 43.6% 95.4% 19.0% 1.6% -1.7M 41.4M -395.2K 2.12 14.38 N/A N/A 8,854 18,800 228,282 435,676 2019-05-15 $6.05 $6.00 81.4% 24.9% 43.0% 41.2% 87.9% 17.6% 3.8% -1.9M 35.9M -408.6K 3.85 11.69 N/A N/A 5,024 19,321 232,150 448,792 2019-05-16 $6.05 $6.00 80.8% 25.4% 37.1% 40.9% 95.5% 23.7% 9.2% -2.4M 38.1M -405.3K 2.57 14.23 N/A N/A 7,867 20,254 230,514 460,990 2019-05-17 $6.16 $6.00 91.0% 27.4% 37.3% 46.6% 99.4% 19.3% 7.0% -716.8K 21.9M -412.5K 4.74 15.41 N/A N/A 13,091 62,062 237,336 471,575 2019-05-20 $7.33 $6.00 72.2% 20.4% 71.1% 36.0% 93.3% 29.3% 3.7% -333.9K -21.0M -410.1K 3.01 15.05 N/A N/A 45,734 137,618 119,757 381,450 2019-05-21 $7.16 $6.00 74.2% 21.2% 70.6% 37.1% 93.9% 27.1% 2.4% -467.4K -15.6M -462.0K 1.76 15.98 N/A N/A 27,355 48,268 147,296 431,524 2019-05-22 $6.79 $6.00 74.6% 21.4% 73.6% 37.3% 101.0% 29.9% 11.6% -1.2M 16.6M -502.8K 4.03 20.69 N/A N/A 16,697 67,265 135,845 465,077 2019-05-23 $6.94 $6.00 79.2% 22.4% 73.5% 39.9% 87.3% 38.2% 7.0% -1.1M 14.5M -530.8K 2.71 12.84 N/A N/A 18,715 50,725 145,958 496,716 2019-05-24 $7.14 $6.00 75.6% 21.2% 73.7% 37.9% 97.6% 33.2% 4.4% -929.4K 374.0K -537.3K 2.32 17.56 N/A N/A 11,031 25,602 151,400 514,575 2019-05-28 $7.03 $6.00 87.2% 23.2% 73.8% 44.5% 118.0% 35.9% -0.2% -1.0M 7.0M -522.0K 2.10 13.40 N/A N/A 8,517 17,910 144,008 508,039 2019-05-29 $6.80 $6.00 90.4% 23.9% 75.5% 46.3% 108.6% 39.3% -5.4% -1.2M 17.5M -536.7K 4.86 9.86 N/A N/A 3,008 14,630 148,510 524,589 2019-05-30 $7.03 $6.00 92.5% 25.3% 75.6% 47.5% 109.3% 38.0% -5.0% -1.1M 9.2M -522.1K 1.74 20.67 N/A N/A 10,375 18,033 149,670 524,377 2019-05-31 $6.89 $6.00 96.3% 27.7% 76.1% 49.7% 117.7% 48.1% 1.7% -1.2M 27.2M -581.7K 1.07 24.61 N/A N/A 25,304 27,144 162,105 555,802
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