S Options History — July 2019 In July 2019, S traded between $6.59 and $7.99. ATM implied volatility averaged 64.7%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 16.7% (HV 20d: 48.1%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.18.
Notable Days 2019-07-11 : Highest Volume — 133,549 contracts2019-07-11 : Largest IV spike — 129.4% change2019-07-11 : Highest IV Rank — 64.3%2019-07-19 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $7.16 $6.59 $7.99 $6.59 $7.32 Max Pain $6.91 $6.00 $7.00 $6.00 $7.00 ATM IV 64.7% 35.5% 122.1% 79.5% 46.2% Expected Move 17.5% 13.2% 22.3% 18.9% 14.2% HV 20d 48.1% 38.1% 54.2% 48.4% 53.1% HV 60d 57.4% 56.0% 60.1% 56.3% 60.1% IV Rank 31.7% 15.1% 64.3% 40.1% 21.2% IV Percentile 66.2% 36.5% 97.6% 79.8% 50.4% Term Structure -9.5% -133.4% 59.3% 26.4% -1.1% VWIV 68.2% 46.5% 105.1% 67.5% 53.5% Skew 25d 19.3% -82.2% 55.5% 55.5% 10.6% Skew 10d 29.1% -120.2% 70.6% -11.4% 22.8% Call IV 25d 56.1% 21.5% 174.3% 55.3% 43.6% Put IV 25d 75.3% 38.5% 167.8% 110.8% 54.2% Bid-Ask Spread % 10.85 5.36 24.27 13.26 12.59 Gamma HHI 0.24 0.15 0.65 0.31 0.23 Net GEX -110.4K -1.6M 6.7M -1.6M 24.5K Net DEX -5.1M -78.1M 35.5M 35.5M -12.1M Net VEX -447.6K -527.6K -323.2K -527.6K -416.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.18 0.37 8.35 0.89 0.95 Total Volume 50,115.636 10,723 133,549 26,674 49,441 Total OI 739,202.227 603,603 864,794 708,646 715,557
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 2019-07-01 $6.59 $6.00 79.5% 18.9% 48.4% 40.1% 67.5% 55.5% 0.0% -1.6M 35.5M -527.6K 0.89 13.26 N/A N/A 14,143 12,531 209,764 498,882 2019-07-02 $6.89 $6.50 50.4% 17.5% 49.6% 23.6% 71.3% 52.9% 26.4% -684.7K 12.4M -521.4K 0.89 10.51 N/A N/A 10,990 9,726 217,403 504,811 2019-07-03 $7.05 $6.50 115.6% 17.6% 50.3% 60.7% 64.3% -6.5% -45.5% -7.0K -818.9K -506.6K 3.01 16.74 N/A N/A 5,757 17,318 221,709 505,334 2019-07-05 $7.05 $7.00 54.5% 18.1% 50.3% 25.9% 61.3% 45.7% 59.3% -213.2K -3.0M -493.5K 1.41 9.44 N/A N/A 14,465 20,330 224,283 506,214 2019-07-08 $6.88 $7.00 83.1% 17.0% 50.6% 42.2% 64.9% 11.4% -63.3% -659.6K 9.6M -460.4K 0.94 10.44 N/A N/A 7,530 7,064 222,882 501,967 2019-07-09 $6.84 $7.00 35.5% 17.0% 50.4% 15.1% 71.4% -82.2% 26.2% -1.2M 15.7M -447.6K 4.30 9.13 N/A N/A 4,271 18,365 227,030 504,905 2019-07-10 $7.18 $7.00 53.2% 17.0% 47.2% 25.2% 75.2% 42.3% 6.5% 624.1K -11.5M -451.5K 8.35 8.84 N/A N/A 6,211 51,881 230,068 516,571 2019-07-11 $6.91 $7.00 122.1% 19.0% 48.4% 64.3% 79.6% 27.5% -133.4% -597.5K 16.5M -474.9K 6.22 7.19 N/A N/A 18,496 115,053 232,411 526,546 2019-07-12 $7.11 $7.00 63.8% 18.3% 49.3% 31.2% 71.6% 28.9% -44.6% -1.4M 3.4M -502.4K 1.22 15.47 N/A N/A 24,955 30,385 242,371 615,019 2019-07-15 $7.11 $7.00 73.9% 18.8% 47.5% 36.9% 56.4% 24.0% -3.4% -1.4M 1.8M -456.0K 0.39 5.57 N/A N/A 8,647 3,409 233,238 626,115 2019-07-16 $7.20 $7.00 62.3% 18.0% 47.6% 30.3% 57.8% 21.9% -2.4% -312.5K -14.0M -436.4K 0.97 5.36 N/A N/A 64,868 63,209 235,855 628,939 2019-07-17 $7.12 $7.00 60.1% 17.2% 47.1% 29.1% 85.3% 21.3% -1.3% -392.3K -7.5M -431.3K 4.34 6.94 N/A N/A 2,008 8,715 180,866 575,003 2019-07-18 $6.89 $7.00 69.8% 20.2% 47.2% 34.6% 87.5% 29.8% -2.1% -1.6M 19.1M -450.9K 3.35 9.68 N/A N/A 14,442 48,323 181,503 585,672 2019-07-19 $6.89 $7.00 76.5% 22.3% 47.2% 38.4% 81.3% 33.1% -4.4% -1.1M 24.1M -464.9K 0.77 11.48 N/A N/A 31,982 24,602 188,973 609,935 2019-07-22 $7.05 $7.00 64.5% 18.5% 38.1% 31.6% 66.8% 26.2% -5.3% -968.3K 15.8M -438.2K 0.37 11.33 N/A N/A 22,921 8,495 158,158 445,445 2019-07-23 $7.10 $7.00 64.3% 20.9% 38.1% 31.5% 105.1% 25.5% -4.3% -776.3K 9.6M -448.9K 4.98 16.87 N/A N/A 9,420 46,914 175,213 456,299 2019-07-24 $7.67 $7.00 52.2% 17.2% 46.5% 24.6% 63.1% 19.9% -0.6% 391.7K -40.9M -404.2K 1.63 10.97 N/A N/A 33,096 54,040 182,332 491,932 2019-07-25 $7.48 $7.00 56.0% 16.2% 45.4% 26.8% 70.8% 18.2% -2.3% 837.8K -28.0M -413.1K 1.43 24.27 N/A N/A 16,240 23,217 197,957 521,913 2019-07-26 $7.99 $7.00 47.7% 14.1% 49.9% 22.0% 48.8% 7.0% -1.0% 6.7M -78.1M -323.2K 0.43 6.54 N/A N/A 80,989 34,979 203,726 539,932 2019-07-29 $7.79 $7.00 44.4% 13.2% 51.3% 20.2% 46.5% 5.3% -0.3% 1.4M -51.6M -372.4K 0.73 8.00 N/A N/A 20,207 14,715 202,231 506,399 2019-07-30 $7.48 $7.00 48.4% 14.7% 54.2% 22.4% 50.9% 5.7% -2.9% 694.5K -28.5M -404.1K 0.48 8.04 N/A N/A 19,027 9,167 205,736 505,350 2019-07-31 $7.32 $7.00 46.2% 14.2% 53.1% 21.2% 53.5% 10.6% -1.1% 24.5K -12.1M -416.8K 0.95 12.59 N/A N/A 25,312 24,129 204,426 511,131
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