S Options History — January 2020

In January 2020, S traded between $4.35 and $5.22. ATM implied volatility averaged 122.6%, placing in the 76.9% IV rank vs the trailing year. The 30-day expected move averaged 35.1%. IV traded above realized volatility by 96.1% (HV 20d: 26.5%). 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 15 of 21 days. Put/call ratio averaged 1.38.

Notable Days

2020-01-09: Highest Volume — 357,114 contracts
2020-01-30: Largest IV spike — 10.1% change
2020-01-30: Highest IV Rank — 94.3%
2020-01-30: Largest Expected Move — 40.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.89	$4.35	$5.22	$5.21	$4.35
Max Pain	$6.10	$6.00	$7.00	$7.00	$6.00
ATM IV	122.6%	98.5%	145.6%	98.5%	142.1%
Expected Move	35.1%	24.7%	40.6%	24.7%	37.9%
HV 20d	26.5%	18.4%	32.3%	31.6%	32.3%
HV 60d	28.3%	26.5%	30.5%	27.7%	29.4%
IV Rank	76.9%	58.7%	94.3%	58.7%	91.7%
IV Percentile	97.4%	92.5%	99.6%	92.5%	99.2%
Term Structure	-6.7%	-83.8%	14.3%	2.1%	-0.1%
VWIV	124.5%	99.3%	142.7%	109.8%	142.7%
Skew 25d	-4.3%	-20.4%	11.4%	-0.8%	-20.4%
Skew 10d	2.8%	-25.8%	60.6%	-25.8%	-10.3%
Call IV 25d	120.9%	98.8%	147.3%	98.8%	147.3%
Put IV 25d	116.5%	94.0%	136.4%	98.1%	126.9%
Bid-Ask Spread %	15.22	9.10	26.20	13.03	17.79
Gamma HHI	0.32	0.20	0.48	0.33	0.29
Net GEX	-2.8M	-5.2M	-1.1M	-2.9M	-1.5M
Net DEX	129.5M	41.6M	200.8M	141.7M	91.1M
Net VEX	-576.8K	-722.7K	-455.1K	-542.4K	-607.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.38	0.09	6.82	1.01	0.18
Total Volume	61,452.095	9,512	357,114	15,717	28,383
Total OI	1,191,955.143	983,725	1,484,215	990,584	1,242,040

Daily Data (21 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
2020-01-02	$5.21	$7.00	98.5%	24.7%	31.6%	58.7%	109.8%	-0.8%	2.1%	-2.9M	141.7M	-542.4K	1.01	13.03	N/A	N/A	7,809	7,908	281,271	709,313
2020-01-03	$5.19	$7.00	99.8%	25.9%	31.6%	59.7%	100.3%	-10.1%	3.5%	-3.0M	144.6M	-529.1K	1.01	9.10	N/A	N/A	9,627	9,695	285,433	714,725
2020-01-06	$5.22	$6.00	101.8%	29.3%	27.8%	61.2%	111.5%	-0.8%	2.9%	-3.7M	157.8M	-490.9K	6.82	12.59	N/A	N/A	2,847	19,422	289,719	720,733
2020-01-07	$5.14	$6.00	108.7%	31.0%	23.0%	66.4%	99.3%	-6.3%	0.9%	-3.7M	152.6M	-508.8K	0.45	17.47	N/A	N/A	46,751	20,875	292,135	729,460
2020-01-08	$5.15	$6.00	108.0%	30.9%	18.4%	65.9%	116.9%	-8.3%	2.5%	-3.8M	154.5M	-494.9K	1.26	16.44	N/A	N/A	4,477	5,652	309,479	736,690
2020-01-09	$4.99	$6.00	107.4%	35.2%	21.0%	65.4%	120.6%	-6.3%	8.4%	-3.9M	170.9M	-455.1K	5.29	11.74	N/A	N/A	56,761	300,353	308,959	740,374
2020-01-10	$4.88	$6.00	107.6%	35.5%	21.5%	65.6%	124.6%	-11.8%	14.3%	-4.4M	199.1M	-548.9K	2.51	10.15	N/A	N/A	15,386	38,679	361,039	1,014,133
2020-01-13	$4.88	$6.00	113.5%	35.1%	21.2%	70.0%	120.5%	-12.2%	4.9%	-4.4M	198.3M	-535.7K	1.06	12.83	N/A	N/A	13,080	13,918	370,204	1,035,630
2020-01-14	$4.88	$6.00	109.6%	34.9%	21.2%	67.1%	123.0%	-14.0%	10.1%	-4.6M	199.9M	-518.3K	0.36	19.04	N/A	N/A	14,632	5,229	377,987	1,028,036
2020-01-15	$4.87	$6.00	117.1%	34.8%	21.2%	72.8%	118.7%	-4.3%	2.4%	-4.9M	200.0M	-523.8K	2.81	18.51	N/A	N/A	19,771	55,525	391,495	1,030,828
2020-01-16	$4.93	$6.00	123.9%	35.1%	21.6%	77.9%	121.1%	-1.5%	0.1%	-5.2M	186.0M	-524.4K	0.09	11.32	N/A	N/A	63,854	5,465	406,865	1,028,699
2020-01-17	$4.77	$6.00	130.0%	38.5%	23.4%	82.5%	133.0%	3.9%	8.9%	-1.7M	200.8M	-539.2K	0.60	13.16	N/A	N/A	86,820	52,122	463,229	1,020,986
2020-01-21	$4.99	$6.00	138.2%	39.8%	29.3%	88.7%	133.0%	-1.2%	6.2%	-1.6M	70.4M	-595.8K	0.21	20.89	N/A	N/A	138,486	28,965	232,201	751,524
2020-01-22	$5.01	$6.00	136.3%	39.1%	28.6%	87.3%	138.5%	7.0%	12.4%	-1.1M	44.8M	-705.3K	1.49	21.42	N/A	N/A	16,537	24,647	356,492	757,477
2020-01-23	$5.04	$6.00	138.8%	39.2%	27.0%	89.2%	136.0%	11.4%	11.0%	-1.1M	41.6M	-722.7K	0.13	19.25	N/A	N/A	8,396	1,116	372,036	779,829
2020-01-24	$4.84	$6.00	136.2%	38.6%	29.8%	87.2%	132.8%	-8.1%	-0.2%	-1.1M	56.4M	-688.5K	1.46	26.20	N/A	N/A	16,291	23,797	372,825	780,267
2020-01-27	$4.68	$6.00	138.0%	38.1%	31.3%	88.6%	133.5%	4.3%	-79.7%	-1.3M	68.6M	-665.4K	0.40	12.51	N/A	N/A	12,951	5,183	368,895	789,445
2020-01-28	$4.66	$6.00	140.5%	38.4%	31.2%	90.5%	131.4%	-1.3%	-61.5%	-1.4M	71.3M	-656.5K	1.22	12.96	N/A	N/A	14,011	17,123	377,441	792,216
2020-01-29	$4.57	$6.00	132.2%	35.1%	31.3%	84.2%	127.4%	-5.2%	-83.8%	-1.5M	81.5M	-635.2K	0.37	9.66	N/A	N/A	24,567	9,067	386,774	806,403
2020-01-30	$4.45	$6.00	145.6%	40.6%	32.0%	94.3%	140.9%	-4.8%	-6.5%	-1.5M	87.4M	-624.1K	0.17	13.67	N/A	N/A	37,881	6,435	404,328	813,443
2020-01-31	$4.35	$6.00	142.1%	37.9%	32.3%	91.7%	142.7%	-20.4%	-0.1%	-1.5M	91.1M	-607.2K	0.18	17.79	N/A	N/A	24,053	4,330	427,893	814,147