S Options History — November 2019

In November 2019, S traded between $5.62 and $6.32. ATM implied volatility averaged 58.2%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 31.5% (HV 20d: 26.7%). 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 16 of 20 days. Put/call ratio averaged 5.04.

Notable Days

  • 2019-11-07: Highest Volume — 71,853 contracts
  • 2019-11-04: Largest IV spike — 20.7% change
  • 2019-11-27: Highest IV Rank — 33.5%
  • 2019-11-27: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.94$5.62$6.32$6.32$5.92
Max Pain$6.05$6.00$7.00$7.00$6.00
ATM IV58.2%46.1%67.8%46.1%66.8%
Expected Move17.4%14.5%20.8%14.7%20.4%
HV 20d26.7%24.1%30.8%25.3%25.6%
HV 60d24.3%23.0%25.5%23.0%25.4%
IV Rank28.0%21.1%33.5%21.1%32.9%
IV Percentile55.0%40.5%65.1%40.5%63.9%
Term Structure2.0%-3.1%12.7%3.3%-1.4%
VWIV60.1%46.2%71.5%57.0%70.9%
Skew 25d11.2%1.7%26.5%22.6%2.7%
Skew 10d13.2%-17.9%47.6%45.2%-0.3%
Call IV 25d52.1%34.7%65.8%39.7%65.6%
Put IV 25d63.4%54.1%71.8%62.2%68.3%
Bid-Ask Spread %9.947.8712.048.578.87
Gamma HHI0.560.320.840.520.32
Net GEX-4.6M-11.9M-1.7M-3.1M-2.1M
Net DEX122.6M96.3M180.6M96.3M101.9M
Net VEX-692.7K-733.7K-648.0K-702.0K-700.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.040.2828.9617.371.00
Total Volume26,725.851,65771,85355,4021,657
Total OI909,109.65767,5461,055,926877,461873,340

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$6.32$7.0046.1%14.7%25.3%21.1%57.0%22.6%3.3%-3.1M96.3M-702.0K17.378.57N/AN/A3,01652,386248,327629,134
2019-11-04$6.15$6.0055.6%17.0%27.3%26.6%49.6%23.1%1.0%-4.8M116.4M-705.4K2.5910.43N/AN/A4,25210,995246,969665,339
2019-11-05$6.12$6.0052.5%16.1%27.4%24.8%59.7%26.5%1.7%-5.3M117.1M-696.6K3.4510.64N/AN/A3,79713,090249,510671,105
2019-11-06$6.11$6.0048.0%15.3%27.4%22.2%46.2%13.1%4.1%-6.2M125.3M-697.7K3.5511.80N/AN/A8,40829,829251,827686,786
2019-11-07$6.18$6.0057.9%18.3%26.2%27.8%54.1%18.5%7.6%-5.5M113.8M-703.6K0.2811.21N/AN/A56,11215,741256,343686,921
2019-11-08$6.10$6.0058.0%18.9%24.1%27.9%61.9%17.5%12.7%-6.3M118.1M-733.7K3.229.61N/AN/A5,79318,652295,677699,055
2019-11-11$5.91$6.0061.6%18.4%25.9%29.9%64.8%17.0%0.2%-7.5M142.4M-681.5K8.1811.31N/AN/A4,19534,304295,997695,832
2019-11-12$5.85$6.0060.4%18.3%25.1%29.3%65.7%13.6%2.0%-9.2M156.9M-693.8K8.7910.45N/AN/A5,47048,074296,055721,755
2019-11-13$5.95$6.0061.4%18.1%26.2%29.9%63.1%14.2%1.4%-11.9M152.3M-719.9K0.398.44N/AN/A8,6133,384300,268748,554
2019-11-14$5.87$6.0062.9%17.9%26.3%30.7%61.8%14.7%0.0%-11.0M170.9M-690.2K2.6010.20N/AN/A2,0785,407305,647748,469
2019-11-15$5.88$6.0064.0%18.3%26.3%31.3%62.1%5.3%0.6%-1.7M180.6M-695.6K2.2812.04N/AN/A6,87515,673306,602749,324
2019-11-18$5.86$6.0050.8%14.5%26.3%23.8%51.1%6.6%4.3%-2.0M98.9M-670.9K1.7910.97N/AN/A9,05216,189228,059539,487
2019-11-19$5.74$6.0053.7%15.3%26.9%25.4%57.7%3.1%4.8%-2.2M107.5M-653.7K4.249.34N/AN/A3,94316,725235,058548,631
2019-11-20$5.64$6.0055.6%15.9%27.0%26.5%56.8%2.8%2.2%-2.3M113.9M-648.0K3.857.87N/AN/A3,06211,778237,864558,944
2019-11-21$5.62$6.0056.8%16.1%27.0%27.2%57.9%2.4%2.1%-2.2M114.5M-653.7K28.968.29N/AN/A1,37839,908239,586561,935
2019-11-22$5.74$6.0054.9%15.8%28.2%26.1%56.9%1.7%-2.7%-2.5M116.0M-689.3K3.019.70N/AN/A4,17712,576240,250594,236
2019-11-25$5.91$6.0061.5%18.0%30.8%29.9%62.5%7.8%-0.3%-2.2M104.5M-693.2K3.497.91N/AN/A8,18028,540240,253594,149
2019-11-26$5.94$6.0067.0%20.2%28.0%33.0%69.7%7.0%0.4%-2.2M102.9M-714.2K1.4811.24N/AN/A6,88210,208245,663619,164
2019-11-27$5.92$6.0067.8%20.8%25.8%33.5%71.5%4.5%-3.1%-2.2M101.3M-711.0K0.319.90N/AN/A3,148970250,461619,617
2019-11-29$5.92$6.0066.8%20.4%25.6%32.9%70.9%2.7%-1.4%-2.1M101.9M-700.7K1.008.87N/AN/A829828253,397619,943