S Options History — August 2019

In August 2019, S traded between $6.65 and $7.22. ATM implied volatility averaged 38.9%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 6.1% (HV 20d: 45.0%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.73.

Notable Days

  • 2019-08-02: Highest Volume — 193,936 contracts
  • 2019-08-23: Largest IV spike — 20.7% change
  • 2019-08-05: Highest IV Rank — 24.2%
  • 2019-08-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.82$6.65$7.22$7.22$6.77
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV38.9%31.6%51.4%51.2%31.6%
Expected Move10.8%7.1%16.0%16.0%7.1%
HV 20d45.0%17.7%57.6%52.9%17.7%
HV 60d51.7%44.5%61.3%60.2%44.5%
IV Rank17.0%12.9%24.2%24.0%12.9%
IV Percentile31.6%11.9%56.3%55.2%11.9%
Term Structure0.1%-4.4%2.8%-4.4%2.1%
VWIV38.5%25.6%55.3%55.3%25.6%
Skew 25d7.4%2.1%13.2%7.1%9.6%
Skew 10d12.8%-2.8%25.6%19.9%16.9%
Call IV 25d36.3%25.4%52.1%44.0%25.4%
Put IV 25d43.7%33.0%59.7%51.1%35.0%
Bid-Ask Spread %8.235.0215.029.317.03
Gamma HHI0.250.200.360.230.26
Net GEX-1.1M-1.9M250.7K-155.8K-1.6M
Net DEX37.7M-4.2M53.8M-4.2M47.6M
Net VEX-645.0K-701.5K-437.8K-437.8K-660.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.730.1813.399.373.55
Total Volume27,192.455741193,936125,0493,621
Total OI740,556.364542,077899,007738,600606,962

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$7.22$7.0051.2%16.0%52.9%24.0%55.3%7.1%-4.4%-155.8K-4.2M-437.8K9.379.31N/AN/A12,060112,989214,959523,641
2019-08-02$6.78$7.0049.5%13.9%57.6%23.1%52.7%7.7%-2.3%-1.8M39.9M-503.3K1.1915.02N/AN/A88,759105,177218,073563,292
2019-08-05$6.65$7.0051.4%13.0%57.3%24.2%50.5%12.8%-0.4%-1.9M47.0M-685.2K2.667.26N/AN/A5,36814,297257,659598,008
2019-08-06$6.67$7.0048.6%12.9%57.3%22.6%44.9%6.4%-0.6%-1.8M45.8M-655.6K0.876.66N/AN/A23,60720,543266,991612,688
2019-08-07$6.73$7.0046.1%12.5%54.4%21.1%41.3%9.0%-1.4%-1.9M53.8M-695.2K0.847.64N/AN/A12,35610,378256,361627,674
2019-08-08$6.85$7.0037.5%11.7%53.2%16.3%40.6%5.0%2.2%-999.2K26.2M-675.2K3.9113.00N/AN/A4,58017,908266,653630,439
2019-08-09$6.84$7.0038.0%11.0%52.1%16.5%38.7%4.9%0.9%-810.1K28.8M-658.2K0.548.59N/AN/A4,7512,544268,416630,591
2019-08-12$6.77$7.0038.8%11.4%52.2%17.0%39.7%5.6%1.3%-854.2K33.6M-657.3K0.359.02N/AN/A2,225770260,182628,596
2019-08-13$6.81$7.0038.6%10.8%52.0%16.9%39.7%6.7%-1.0%-261.0K29.7M-649.1K0.929.14N/AN/A1,6691,530261,665627,298
2019-08-14$6.80$7.0039.4%11.0%51.9%17.3%40.8%5.8%-0.4%-40.8K29.8M-643.3K3.616.72N/AN/A2,6049,399262,587626,528
2019-08-15$6.84$7.0039.2%11.5%50.7%17.2%41.6%10.5%1.4%250.7K32.9M-650.2K0.185.02N/AN/A1,747310263,309631,311
2019-08-16$6.89$7.0036.8%10.8%50.8%15.9%37.6%5.7%0.8%-1.0M32.1M-635.3K1.655.34N/AN/A4,9978,260263,958631,788
2019-08-19$6.95$7.0033.3%9.6%50.2%13.8%33.4%6.6%1.7%-1.1M33.3M-621.6K0.266.58N/AN/A5,3061,357156,459385,618
2019-08-20$6.84$7.0034.8%10.0%50.3%14.7%35.0%6.0%0.1%-971.6K36.3M-630.3K9.617.48N/AN/A8,66683,288160,993386,342
2019-08-21$6.81$7.0034.8%10.0%40.8%14.7%34.8%9.2%-1.0%-1.1M44.8M-701.5K1.206.31N/AN/A1,7672,124170,085432,400
2019-08-22$6.87$7.0031.6%9.0%40.4%12.9%31.4%5.5%1.8%-882.3K40.6M-672.0K3.077.05N/AN/A1,8205,594170,368426,369
2019-08-23$6.74$7.0038.2%11.1%31.0%16.7%33.8%13.2%-2.0%-1.4M44.7M-679.1K1.009.04N/AN/A924925171,830431,450
2019-08-26$6.82$7.0033.7%8.8%31.1%14.1%37.8%9.1%-0.6%-1.2M44.3M-663.1K0.309.37N/AN/A1,508447165,494427,836
2019-08-27$6.74$7.0036.5%9.7%28.6%15.7%33.9%6.2%2.4%-1.6M47.5M-665.7K13.399.68N/AN/A6208,304167,833428,280
2019-08-28$6.84$7.0033.5%8.6%28.7%14.0%29.5%8.0%-1.1%-1.0M44.9M-680.4K1.327.85N/AN/A1,0301,364168,209436,376
2019-08-29$6.81$7.0031.6%8.2%28.4%12.9%28.7%2.1%2.8%-1.3M49.0M-670.0K0.247.84N/AN/A598143168,994437,675
2019-08-30$6.77$7.0031.6%7.1%17.7%12.9%25.6%9.6%2.1%-1.6M47.6M-660.6K3.557.03N/AN/A7962,825169,310437,652