S Options History — December 2019

In December 2019, S traded between $5.18 and $5.77. ATM implied volatility averaged 83.1%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded above realized volatility by 51.2% (HV 20d: 31.8%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.79.

Notable Days

  • 2019-12-18: Highest Volume — 138,848 contracts
  • 2019-12-10: Largest IV drop — 17.2% change
  • 2019-12-09: Highest IV Rank — 58.5%
  • 2019-12-02: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.35$5.18$5.77$5.77$5.22
Max Pain$6.86$6.00$7.00$6.00$7.00
ATM IV83.1%76.6%99.7%80.3%93.6%
Expected Move23.9%21.9%26.1%26.1%24.1%
HV 20d31.8%24.6%35.2%25.7%31.8%
HV 60d28.4%25.7%29.7%25.7%27.7%
IV Rank45.7%37.0%58.5%40.6%55.0%
IV Percentile78.9%69.8%93.7%76.6%91.3%
Term Structure1.8%-1.8%13.5%-1.5%0.4%
VWIV86.2%75.8%105.5%92.9%89.5%
Skew 25d0.7%-10.2%9.8%-0.5%-1.6%
Skew 10d8.3%-17.0%45.9%19.4%3.6%
Call IV 25d82.5%75.7%97.0%82.0%97.0%
Put IV 25d83.1%76.2%95.5%81.5%95.5%
Bid-Ask Spread %10.426.4515.458.6613.55
Gamma HHI0.310.260.360.330.32
Net GEX-2.7M-3.5M-1.8M-2.2M-3.0M
Net DEX135.4M108.1M151.2M108.6M141.5M
Net VEX-602.5K-701.2K-532.5K-682.0K-558.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.156.530.291.73
Total Volume33,571.6674,488138,84877,37516,828
Total OI994,231.571869,8111,123,523869,811975,684

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$5.77$6.0080.3%26.1%25.7%40.6%92.9%-0.5%-1.5%-2.2M108.6M-682.0K0.298.66N/AN/A59,88017,495250,830618,981
2019-12-03$5.69$6.0079.6%25.2%24.6%37.0%95.7%4.7%4.6%-1.9M108.1M-693.6K0.888.01N/AN/A27,40624,225305,453628,610
2019-12-04$5.66$6.0082.5%25.9%24.6%38.7%92.3%-0.4%-1.4%-1.8M109.8M-701.2K1.278.04N/AN/A2,0392,581330,620643,114
2019-12-05$5.41$7.0081.4%23.5%28.6%38.0%80.6%1.1%-0.3%-2.3M128.1M-651.3K0.9012.04N/AN/A13,20011,847331,414644,565
2019-12-06$5.64$7.0087.6%23.7%32.7%50.6%81.1%5.4%4.4%-1.8M111.1M-690.0K1.638.53N/AN/A17,48828,591342,284651,823
2019-12-09$5.41$7.0099.7%24.3%35.2%58.5%84.0%9.8%-0.9%-2.3M129.2M-644.2K2.8614.34N/AN/A9,00425,777348,380665,283
2019-12-10$5.35$7.0082.6%24.0%34.0%46.7%81.4%6.8%2.8%-2.4M132.9M-618.4K1.0413.29N/AN/A2,2022,286356,453662,222
2019-12-11$5.26$7.0080.2%24.3%34.2%44.8%84.5%3.2%3.8%-2.9M145.1M-574.7K6.5311.16N/AN/A2,67817,475357,538662,231
2019-12-12$5.19$7.0084.1%24.8%33.2%47.8%84.0%0.2%3.1%-3.3M147.8M-571.4K4.1013.30N/AN/A4,74419,427358,207667,668
2019-12-13$5.20$7.0083.5%24.1%33.3%47.3%83.2%1.6%1.2%-3.1M149.4M-563.2K0.238.10N/AN/A7,2121,688359,557678,944
2019-12-16$5.18$7.0081.8%23.6%33.2%46.1%80.4%1.7%-1.1%-3.3M151.2M-538.4K0.417.77N/AN/A18,9637,754348,858660,703
2019-12-17$5.21$7.0079.6%22.8%33.4%44.4%80.5%5.9%1.6%-3.5M149.5M-532.5K0.156.45N/AN/A8,4981,262366,840662,504
2019-12-18$5.27$7.0080.9%23.2%33.5%45.4%79.4%1.7%-1.8%-3.3M146.2M-547.7K2.927.75N/AN/A35,466103,382373,466662,687
2019-12-19$5.30$7.0076.6%21.9%33.3%42.1%76.7%-4.6%1.4%-3.2M137.2M-609.4K6.186.88N/AN/A6,39439,489389,267707,131
2019-12-20$5.38$7.0077.8%22.3%33.9%43.0%79.3%0.1%0.4%-2.6M136.4M-630.7K2.887.77N/AN/A12,00034,577392,379731,144
2019-12-23$5.22$7.0077.8%22.1%34.1%43.0%75.8%0.5%6.6%-3.0M145.6M-568.8K1.7511.89N/AN/A7,87413,806227,277688,754
2019-12-24$5.28$7.0080.0%23.6%32.3%44.7%88.5%-2.9%1.2%-2.8M144.5M-576.8K0.2014.85N/AN/A32,6106,554231,423698,231
2019-12-26$5.19$7.0082.0%24.1%32.3%46.2%105.5%-5.9%13.5%-2.9M140.9M-571.8K0.2715.45N/AN/A14,6543,988259,023701,054
2019-12-27$5.20$7.0084.6%24.1%32.4%48.2%97.7%-10.2%-0.9%-2.9M142.1M-570.8K0.709.10N/AN/A19,90113,900267,233703,337
2019-12-30$5.22$7.0087.9%24.4%32.5%50.7%97.2%-2.5%1.1%-2.9M139.2M-558.3K0.7411.83N/AN/A5,6654,195267,871699,820
2019-12-31$5.22$7.0093.6%24.1%31.8%55.0%89.5%-1.6%0.4%-3.0M141.5M-558.1K1.7313.55N/AN/A6,16710,661273,751701,933