S Options History — February 2020

In February 2020, S traded between $4.30 and $10.03. ATM implied volatility averaged 78.7%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded below realized volatility by 72.7% (HV 20d: 151.4%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2020-02-11: Highest Volume — 417,626 contracts
  • 2020-02-04: Largest IV spike — 92.1% change
  • 2020-02-04: Highest IV Rank — 100.0%
  • 2020-02-07: Largest Expected Move — 45.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.79$4.30$10.03$4.30$9.11
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV78.7%35.3%183.9%79.8%43.3%
Expected Move22.7%9.7%45.7%40.0%13.6%
HV 20d151.4%32.3%204.3%32.3%201.6%
HV 60d93.0%29.5%121.5%29.5%121.5%
IV Rank38.5%8.8%100.0%44.5%13.7%
IV Percentile44.0%8.3%100.0%63.1%17.1%
Term Structure0.7%-72.9%132.3%132.3%1.0%
VWIV84.3%33.0%170.0%148.3%52.7%
Skew 25d4.0%-26.7%26.3%-24.6%14.8%
Skew 10d12.5%-34.2%44.4%-34.2%10.7%
Call IV 25d79.1%30.3%172.9%156.3%42.8%
Put IV 25d83.1%37.8%168.2%131.7%57.6%
Bid-Ask Spread %12.363.9936.1413.6436.14
Gamma HHI0.260.170.580.300.19
Net GEX1.0M-1.5M3.8M-1.5M37.9K
Net DEX-216.9M-478.8M88.8M88.8M-243.6M
Net VEX-501.8K-692.1K-320.6K-580.4K-366.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.151.140.931.00
Total Volume73,854.57910,484417,62650,14429,233
Total OI1,317,851.316982,2481,621,9601,240,8421,019,530

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$4.30$6.0079.8%40.0%32.3%44.5%148.3%-24.6%132.3%-1.5M88.8M-580.4K0.9313.64N/AN/A25,92424,220430,674810,168
2020-02-04$4.55$6.00153.2%41.3%39.6%100.0%152.7%-26.7%-37.4%-1.2M63.3M-640.0K0.4313.24N/AN/A22,6299,793450,625825,514
2020-02-05$4.62$6.00158.1%44.4%40.2%100.0%170.0%-18.3%17.0%-1.1M53.0M-658.9K0.2519.90N/AN/A18,4324,561469,740830,348
2020-02-06$4.67$6.00153.9%43.1%40.6%97.0%148.9%0.7%4.9%-1.0M45.1M-659.3K0.8716.16N/AN/A9,6818,422481,937832,971
2020-02-07$4.92$6.00183.9%45.7%44.0%100.0%152.8%26.3%-72.9%-849.7K29.2M-692.1K1.0610.93N/AN/A23,29524,685488,349834,042
2020-02-10$4.83$6.00167.2%45.6%43.8%89.8%157.0%9.8%-3.0%-947.2K38.1M-661.3K0.1510.97N/AN/A85,48013,136486,273844,432
2020-02-11$8.47$6.0060.7%17.0%204.3%24.4%68.4%10.1%-1.0%1.8M-366.7M-490.8K0.789.90N/AN/A234,076183,550526,457854,712
2020-02-12$8.62$6.0058.0%15.8%204.1%22.8%68.7%9.4%-3.0%1.1M-319.4M-525.3K0.744.89N/AN/A75,75156,175509,602974,479
2020-02-13$8.65$6.0049.6%13.5%204.0%17.6%67.9%11.7%-3.6%1.8M-334.4M-525.0K0.453.99N/AN/A53,90024,381530,415987,001
2020-02-14$8.70$6.0046.6%12.4%204.1%15.7%54.6%9.5%-4.7%1.5M-329.9M-505.8K0.776.28N/AN/A64,39349,867521,775998,331
2020-02-18$9.19$6.0053.2%15.2%203.0%19.8%58.1%9.4%-4.1%2.4M-380.1M-463.3K0.404.93N/AN/A77,68230,805537,2981,011,938
2020-02-19$9.47$6.0054.8%15.7%202.9%20.8%54.4%9.8%-4.3%3.2M-414.5M-564.3K0.354.29N/AN/A42,45014,941574,0901,028,551
2020-02-20$9.48$6.0051.0%15.0%203.0%18.4%56.8%10.9%-9.2%3.8M-427.1M-500.4K0.6314.70N/AN/A18,86711,964582,9821,038,978
2020-02-21$10.03$6.0035.3%10.0%202.9%8.8%38.1%2.1%0.5%3.8M-478.8M-320.6K0.725.67N/AN/A47,65234,132549,5771,012,937
2020-02-24$9.86$6.0036.3%9.7%201.9%9.4%35.6%2.5%0.1%1.9M-296.8M-377.9K0.2912.58N/AN/A25,6167,366400,230582,018
2020-02-25$9.69$6.0037.3%10.8%201.3%10.0%35.2%2.0%1.6%1.6M-293.5M-321.4K0.2914.41N/AN/A8,1262,358415,806585,034
2020-02-26$9.57$6.0035.9%10.5%201.5%9.2%33.0%6.5%0.0%1.5M-283.7M-329.7K0.6712.53N/AN/A10,1116,778418,040585,621
2020-02-27$9.36$6.0036.5%12.3%201.6%9.6%48.6%10.4%-1.0%929.3K-270.2M-350.9K1.1419.66N/AN/A10,63712,168420,234588,466
2020-02-28$9.11$6.0043.3%13.6%201.6%13.7%52.7%14.8%1.0%37.9K-243.6M-366.1K1.0036.14N/AN/A14,65214,581422,428597,102