S Options History — October 2019 In October 2019, S traded between $5.96 and $6.47. ATM implied volatility averaged 66.9%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 40.3% (HV 20d: 26.5%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.92.
Notable Days 2019-10-17 : Highest Volume — 41,873 contracts2019-10-03 : Largest IV spike — 166.3% change2019-10-04 : Highest IV Rank — 72.3%2019-10-29 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $6.27 $5.96 $6.47 $6.13 $6.21 Max Pain $6.91 $6.00 $7.00 $6.00 $7.00 ATM IV 66.9% 38.4% 136.1% 93.2% 55.9% Expected Move 15.8% 12.2% 20.7% 12.7% 17.1% HV 20d 26.5% 21.2% 30.4% 23.9% 25.5% HV 60d 30.3% 21.1% 37.0% 36.6% 23.0% IV Rank 32.9% 16.7% 72.3% 47.9% 26.7% IV Percentile 62.5% 31.7% 98.4% 92.1% 55.2% Term Structure 5.0% -15.5% 56.5% 56.5% -0.4% VWIV 55.4% 43.3% 71.3% 43.5% 60.1% Skew 25d 33.5% -47.6% 130.5% 83.6% 25.3% Skew 10d 38.3% -19.2% 85.4% 40.5% 41.6% Call IV 25d 48.6% 32.1% 157.1% 38.5% 32.1% Put IV 25d 82.1% 50.0% 186.4% 122.1% 57.4% Bid-Ask Spread % 9.47 6.23 12.60 8.89 12.38 Gamma HHI 0.41 0.32 0.51 0.32 0.49 Net GEX -2.6M -3.2M -2.3M -2.4M -3.2M Net DEX 92.5M 77.4M 114.8M 92.2M 98.7M Net VEX -722.2K -764.7K -682.6K -728.8K -742.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.92 0.27 6.76 5.09 1.95 Total Volume 14,565.826 1,381 41,873 9,196 8,698 Total OI 773,092.261 694,193 873,041 697,059 873,041
Daily Data (23 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 2019-10-01 $6.13 $6.00 93.2% 12.7% 23.9% 47.9% 43.5% 83.6% 56.5% -2.4M 92.2M -728.8K 5.09 8.89 N/A N/A 1,510 7,686 161,485 535,574 2019-10-02 $5.96 $6.00 38.4% 12.2% 24.7% 16.7% 43.3% 10.4% 0.0% -2.4M 98.6M -708.2K 0.62 7.67 N/A N/A 853 528 162,206 531,987 2019-10-03 $5.97 $7.00 102.1% 15.7% 24.8% 53.0% 50.2% 107.8% 56.4% -2.4M 101.4M -707.1K 3.73 8.11 N/A N/A 975 3,634 162,713 533,114 2019-10-04 $6.09 $7.00 136.1% 15.0% 25.6% 72.3% 51.5% 130.5% 13.6% -2.3M 92.9M -719.1K 0.47 8.83 N/A N/A 7,778 3,691 162,858 533,738 2019-10-07 $6.12 $7.00 102.7% 15.0% 25.4% 53.3% 44.1% 17.0% 20.1% -2.5M 95.2M -703.6K 0.27 11.93 N/A N/A 3,568 970 169,026 534,684 2019-10-08 $6.13 $7.00 40.3% 15.2% 25.6% 17.8% 49.9% 12.2% 14.1% -2.5M 91.8M -701.1K 3.22 8.08 N/A N/A 2,777 8,948 170,806 535,432 2019-10-09 $6.14 $7.00 41.6% 15.1% 24.9% 18.6% 55.3% 11.5% 13.7% -2.5M 91.1M -702.1K 2.17 10.76 N/A N/A 569 1,237 171,955 541,971 2019-10-10 $6.29 $7.00 102.9% 14.4% 27.1% 53.4% 52.5% 69.6% -6.1% -2.4M 81.0M -721.8K 1.61 8.70 N/A N/A 3,280 5,291 172,536 542,767 2019-10-11 $6.47 $7.00 92.8% 14.9% 29.5% 47.7% 49.4% -47.6% 11.1% -2.4M 79.5M -700.5K 0.37 9.12 N/A N/A 5,303 1,971 172,870 546,855 2019-10-14 $6.37 $7.00 71.4% 15.2% 29.8% 35.5% 49.9% 15.6% -5.7% -2.5M 82.8M -693.6K 1.23 9.67 N/A N/A 1,054 1,294 172,169 546,709 2019-10-15 $6.46 $7.00 54.3% 15.8% 30.3% 25.8% 45.9% 22.6% -11.6% -2.6M 79.6M -682.6K 1.24 7.70 N/A N/A 16,159 20,057 172,557 547,040 2019-10-16 $6.47 $7.00 55.8% 16.0% 30.3% 26.6% 52.7% 22.1% -8.7% -2.4M 77.4M -700.0K 1.67 7.03 N/A N/A 7,878 13,126 185,509 554,426 2019-10-17 $6.41 $7.00 62.1% 18.4% 30.4% 30.2% 56.0% 28.5% -12.5% -2.4M 82.5M -733.4K 2.09 6.23 N/A N/A 13,540 28,333 191,693 568,325 2019-10-18 $6.42 $7.00 62.5% 19.4% 29.0% 30.4% 55.9% 31.7% -15.5% -2.5M 82.3M -764.7K 2.88 10.57 N/A N/A 10,710 30,791 205,057 592,325 2019-10-21 $6.40 $7.00 52.1% 15.4% 29.0% 24.5% 57.5% 30.8% -2.9% -2.6M 95.5M -756.5K 0.89 8.83 N/A N/A 11,083 9,910 207,367 622,529 2019-10-22 $6.35 $7.00 52.8% 15.3% 27.2% 24.9% 58.2% 27.6% -4.0% -2.8M 97.6M -760.9K 2.81 11.16 N/A N/A 8,071 22,705 217,091 631,517 2019-10-23 $6.38 $7.00 52.8% 15.4% 27.2% 25.0% 58.5% 31.5% -2.6% -2.8M 96.3M -742.8K 0.64 10.19 N/A N/A 982 624 224,056 627,857 2019-10-24 $6.34 $7.00 52.9% 16.1% 26.2% 25.0% 68.5% 30.9% -4.0% -2.7M 99.4M -741.1K 2.09 10.29 N/A N/A 1,477 3,094 224,691 628,190 2019-10-25 $6.40 $7.00 50.9% 15.8% 22.7% 23.9% 71.3% 28.3% -5.3% -2.7M 96.2M -744.0K 0.73 9.79 N/A N/A 2,215 1,612 225,133 630,170 2019-10-28 $6.36 $7.00 53.0% 16.6% 21.2% 25.1% 66.7% 26.2% 0.4% -2.8M 99.3M -723.9K 0.52 9.94 N/A N/A 5,470 2,858 225,257 630,845 2019-10-29 $6.12 $7.00 64.3% 20.7% 25.4% 31.5% 71.3% 29.9% -0.7% -3.2M 114.8M -717.1K 1.15 12.60 N/A N/A 18,422 21,115 230,198 632,276 2019-10-30 $6.29 $7.00 47.5% 16.0% 24.9% 22.0% 61.8% 24.5% 3.0% -2.9M 101.5M -714.3K 6.76 9.40 N/A N/A 1,697 11,470 245,707 626,810 2019-10-31 $6.21 $7.00 55.9% 17.1% 25.5% 26.7% 60.1% 25.3% -0.4% -3.2M 98.7M -742.9K 1.95 12.38 N/A N/A 2,944 5,754 245,555 627,486
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