S Options History — September 2019

In September 2019, S traded between $6.01 and $6.95. ATM implied volatility averaged 41.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 23.9% (HV 20d: 17.2%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 5.64.

Notable Days

  • 2019-09-05: Highest Volume — 43,470 contracts
  • 2019-09-26: Largest IV spike — 181.1% change
  • 2019-09-26: Highest IV Rank — 52.0%
  • 2019-09-26: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.65$6.01$6.95$6.71$6.17
Max Pain$6.85$6.00$7.00$7.00$6.00
ATM IV41.1%26.2%100.3%39.5%71.9%
Expected Move9.1%6.6%11.8%11.2%10.8%
HV 20d17.2%15.5%23.9%16.5%23.9%
HV 60d39.3%36.2%44.4%44.4%36.9%
IV Rank18.3%9.8%52.0%17.4%35.8%
IV Percentile26.4%2.0%94.8%36.9%71.0%
Term Structure14.9%-107.8%138.8%-2.2%13.8%
VWIV31.7%25.9%41.4%30.1%36.2%
Skew 25d5.8%-14.0%14.2%10.0%2.1%
Skew 10d20.3%-2.6%146.6%18.0%28.7%
Call IV 25d32.6%18.3%116.5%30.9%34.4%
Put IV 25d38.5%21.3%102.5%40.8%36.5%
Bid-Ask Spread %9.415.9212.798.029.07
Gamma HHI0.330.250.390.250.35
Net GEX-2.1M-2.7M-1.7M-1.7M-2.5M
Net DEX65.7M46.1M105.5M52.9M90.9M
Net VEX-712.8K-731.9K-655.1K-677.5K-720.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.640.1847.891.521.83
Total Volume11,239.1584943,4702,2452,969
Total OI658,132.65586,682699,994586,682699,994

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$6.71$7.0039.5%11.2%16.5%17.4%30.1%10.0%-2.2%-1.7M52.9M-677.5K1.528.02N/AN/A8911,354156,094430,588
2019-09-04$6.77$7.0031.6%6.6%16.7%12.9%29.0%10.1%-3.3%-1.7M51.9M-655.1K47.899.70N/AN/A60228,830156,457431,673
2019-09-05$6.77$7.0029.5%8.7%16.5%11.7%32.7%13.0%0.6%-1.8M53.0M-691.1K10.418.70N/AN/A3,81139,659159,096459,631
2019-09-06$6.86$7.0030.6%8.9%15.9%12.3%31.2%2.0%2.6%-1.9M53.7M-730.6K0.649.58N/AN/A1,110708162,353484,908
2019-09-09$6.91$7.0029.8%8.4%16.1%11.9%29.2%7.1%-0.6%-1.9M52.8M-728.7K1.096.57N/AN/A1,0501,146161,053488,868
2019-09-10$6.87$7.0030.1%8.9%15.8%12.0%31.1%14.2%1.2%-1.9M52.6M-731.9K0.729.51N/AN/A493356161,817489,767
2019-09-11$6.95$7.0028.1%8.2%16.1%10.9%28.7%6.5%0.8%-1.7M46.1M-706.7K1.7210.29N/AN/A1,4122,435161,890489,644
2019-09-12$6.91$7.0028.4%8.5%16.3%11.1%29.6%11.9%1.8%-1.7M47.9M-697.7K2.319.50N/AN/A3,8228,842162,622492,062
2019-09-13$6.85$7.0028.1%8.8%16.5%10.9%30.6%4.3%3.9%-1.9M55.5M-729.5K1.9210.70N/AN/A2,6375,067165,575498,664
2019-09-16$6.86$7.0031.3%9.1%16.3%12.7%31.7%4.3%-3.5%-2.0M55.1M-711.5K0.1810.83N/AN/A1,339238164,932502,220
2019-09-17$6.80$7.0031.4%9.0%16.2%12.8%31.6%7.6%95.3%-2.0M59.0M-713.0K3.239.39N/AN/A1,4494,686165,767503,835
2019-09-18$6.74$7.0026.2%7.5%15.5%9.8%26.4%7.0%119.2%-2.2M65.2M-717.2K17.077.00N/AN/A1,20220,519166,212508,140
2019-09-19$6.74$7.0028.8%8.1%15.5%11.3%28.2%9.6%-3.0%-2.3M66.4M-724.4K1.0710.15N/AN/A1,3521,445166,186516,941
2019-09-20$6.56$7.0060.8%8.5%17.7%29.5%31.1%3.9%137.0%-2.4M75.7M-717.8K1.965.92N/AN/A3,3836,620165,948517,859
2019-09-23$6.57$6.0035.4%8.6%16.6%15.0%25.9%3.0%138.8%-2.4M71.7M-722.0K0.3110.00N/AN/A2,937921157,552509,051
2019-09-24$6.38$7.0069.6%10.0%18.6%34.5%31.0%8.2%-36.9%-2.4M80.6M-719.6K9.6211.11N/AN/A2,26621,802158,097509,191
2019-09-25$6.35$7.0035.7%10.2%18.3%15.2%37.3%-5.0%-75.2%-2.5M86.3M-725.5K4.449.82N/AN/A1,2145,385158,119517,743
2019-09-26$6.22$6.50100.3%11.8%18.1%52.0%41.4%-14.0%-107.8%-2.6M91.5M-726.3K1.9812.79N/AN/A9771,932158,389523,389
2019-09-27$6.01$6.5054.2%11.1%20.9%25.7%39.9%10.9%13.8%-2.7M105.5M-709.4K2.799.48N/AN/A10,00927,913158,329521,997
2019-09-30$6.17$6.0071.9%10.8%23.9%35.8%36.2%2.1%0.0%-2.5M90.9M-720.0K1.839.07N/AN/A1,0481,921163,207536,787