S Options History — June 2019

In June 2019, S traded between $6.58 and $7.47. ATM implied volatility averaged 88.1%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 24.3% (HV 20d: 63.8%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 2.42.

Notable Days

  • 2019-06-21: Highest Volume — 104,843 contracts
  • 2019-06-28: Largest IV spike — 93.9% change
  • 2019-06-28: Highest IV Rank — 67.9%
  • 2019-06-03: Largest Expected Move — 30.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.93$6.58$7.47$6.74$6.58
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV88.1%66.2%128.4%104.4%128.4%
Expected Move23.1%19.2%30.8%30.8%20.7%
HV 20d63.8%43.1%78.0%75.8%49.0%
HV 60d55.7%54.0%58.3%54.0%56.4%
IV Rank45.0%32.6%67.9%54.3%67.9%
IV Percentile87.3%71.0%98.0%97.6%98.0%
Term Structure28.2%-72.8%150.6%-4.1%80.3%
VWIV95.3%62.2%136.1%112.9%84.9%
Skew 25d33.1%-131.8%58.3%46.3%31.7%
Skew 10d78.8%-95.5%126.1%104.0%46.6%
Call IV 25d67.8%45.1%182.3%75.2%53.4%
Put IV 25d101.0%50.5%137.9%121.4%85.1%
Bid-Ask Spread %13.459.0523.0816.6911.69
Gamma HHI0.220.190.280.220.28
Net GEX-617.8K-1.6M1.6M-1.2M-1.4M
Net DEX7.9M-57.3M41.6M25.4M34.9M
Net VEX-570.3K-628.9K-531.8K-590.0K-534.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.469.920.615.87
Total Volume42,756.0512,596104,84320,05835,201
Total OI842,319.5716,799969,598749,246767,950

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$6.74$6.00104.4%30.8%75.8%54.3%112.9%46.3%-4.1%-1.2M25.4M-590.0K0.6116.69N/AN/A12,4837,575183,169566,077
2019-06-04$6.97$6.0088.2%25.2%76.0%45.1%131.9%40.5%-2.5%-839.5K9.8M-581.3K1.8115.76N/AN/A5,2709,564192,338571,896
2019-06-05$7.01$6.0087.7%24.9%76.0%44.8%95.4%43.3%-3.1%-748.3K6.6M-571.8K1.5613.96N/AN/A13,23520,614194,850578,183
2019-06-06$7.01$6.0092.8%26.3%74.6%47.7%107.5%47.1%1.6%-716.1K7.3M-592.0K9.9218.95N/AN/A5,69756,525199,710586,995
2019-06-07$7.13$6.0089.8%24.1%72.4%45.9%93.2%47.4%-2.4%-1.1M2.2M-587.3K2.6413.67N/AN/A9,54025,157204,880610,842
2019-06-10$7.03$6.0091.8%25.9%72.5%47.1%88.4%50.8%-1.6%-1.1M7.5M-575.2K1.2513.36N/AN/A27,24734,143197,809612,161
2019-06-11$6.58$6.00111.1%27.7%77.0%58.1%114.8%56.4%-14.2%-1.4M40.1M-624.3K3.7312.91N/AN/A16,64262,011222,445639,246
2019-06-12$6.79$6.0093.9%27.1%77.2%48.3%136.1%58.3%0.5%-1.4M26.6M-617.9K2.3319.74N/AN/A18,66843,442233,338655,247
2019-06-13$6.78$6.0088.9%25.4%77.2%45.5%110.6%54.8%-2.5%-1.5M29.0M-628.9K2.7023.08N/AN/A18,53750,132245,343674,499
2019-06-14$7.04$6.0068.0%19.2%78.0%33.6%70.3%42.2%-1.5%-843.0K-2.6M-579.4K2.509.05N/AN/A18,65046,689255,281683,787
2019-06-17$7.12$6.0066.6%19.3%77.9%32.8%84.8%37.8%120.6%118.8K-13.6M-566.5K1.179.05N/AN/A17,12320,023249,109696,231
2019-06-18$7.27$6.0067.7%19.6%47.5%33.4%85.0%34.8%126.9%631.5K-31.1M-565.0K2.059.83N/AN/A13,84028,322257,746705,451
2019-06-19$7.47$6.0070.6%20.2%47.6%35.1%87.4%34.3%1.2%1.6M-57.3M-531.8K1.0910.97N/AN/A8,8359,636265,025690,003
2019-06-20$7.42$6.0084.4%21.3%43.1%42.9%89.1%35.5%6.2%1.5M-53.0M-532.5K1.6911.54N/AN/A8,90315,010267,627696,004
2019-06-21$6.84$6.00118.9%22.1%52.2%62.5%100.4%37.1%95.6%-533.6K9.9M-546.7K1.1211.90N/AN/A49,46655,377268,554701,044
2019-06-24$6.86$6.0089.4%19.3%51.1%45.7%62.2%-131.8%-11.4%-383.8K18.1M-547.1K0.4613.13N/AN/A19,4788,871229,118487,681
2019-06-25$6.84$6.0085.1%20.2%50.8%43.3%74.9%30.6%-72.8%-207.9K18.1M-556.6K1.0113.95N/AN/A6,9257,019241,030497,698
2019-06-26$6.60$6.0068.9%21.3%51.0%34.1%80.1%38.0%96.2%-1.3M37.7M-533.8K1.6810.31N/AN/A13,68522,990246,708502,543
2019-06-27$6.58$6.0066.2%21.2%49.4%32.6%96.3%27.9%150.6%-1.6M41.6M-543.2K3.189.55N/AN/A3,0109,586257,162511,610
2019-06-28$6.58$6.00128.4%20.7%49.0%67.9%84.9%31.7%80.3%-1.4M34.9M-534.0K5.8711.69N/AN/A5,12530,076258,208509,742