S Options History — March 2020 In March 2020, S traded between $7.24 and $9.51. ATM implied volatility averaged 64.2%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 55.0% (HV 20d: 119.2%). Max pain ranged from $6.00 to $8.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.56.
Notable Days 2020-03-17 : Highest Volume — 31,092 contracts2020-03-24 : Largest IV spike — 241.9% change2020-03-24 : Highest IV Rank — 70.3%2020-03-18 : Largest Expected Move — 28.6%Monthly Statistics Metric Avg Min Max Open Close Price $8.35 $7.24 $9.51 $9.39 $8.45 Max Pain $7.73 $6.00 $8.00 $6.00 $8.00 ATM IV 64.2% 23.5% 135.5% 37.0% 35.2% Expected Move 17.2% 10.0% 28.6% 10.0% 15.1% HV 20d 119.2% 56.7% 207.4% 200.5% 88.4% HV 60d 126.2% 121.4% 130.4% 121.5% 130.4% IV Rank 26.4% 1.6% 70.3% 9.8% 7.3% IV Percentile 41.5% 0.4% 94.0% 11.9% 8.3% Term Structure -16.1% -113.2% 74.5% -1.5% -8.0% VWIV 66.9% 31.5% 118.6% 31.5% 51.9% Skew 25d 37.1% -35.8% 137.3% 13.4% 62.2% Skew 10d 60.1% 16.0% 137.1% 38.4% 112.8% Call IV 25d 47.5% 27.9% 101.1% 31.3% 48.2% Put IV 25d 84.5% 41.6% 177.0% 44.8% 110.4% Bid-Ask Spread % 61.31 23.32 110.47 37.38 40.42 Gamma HHI 0.16 0.11 0.20 0.16 0.17 Net GEX 442.2K -103.0K 994.3K 675.6K 790.5K Net DEX -149.8M -261.0M -60.5M -251.1M -110.6M Net VEX -421.2K -513.7K -358.5K -370.0K -360.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.15 9.53 0.38 0.48 Total Volume 12,120.545 4,577 31,092 11,017 6,533 Total OI 823,545.727 480,180 993,544 981,258 481,966
Daily Data (22 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 2020-03-02 $9.39 $6.00 37.0% 10.0% 200.5% 9.8% 31.5% 13.4% -1.5% 675.6K -251.1M -370.0K 0.38 37.38 N/A N/A 7,964 3,053 398,172 583,086 2020-03-03 $9.14 $6.00 41.6% 13.0% 201.0% 12.7% 49.6% 17.3% -1.0% 470.5K -234.1M -394.0K 1.24 30.25 N/A N/A 4,662 5,785 400,222 583,589 2020-03-04 $9.51 $6.00 35.9% 11.4% 200.9% 9.2% 36.6% 11.6% -4.5% 994.3K -261.0M -358.5K 0.29 23.50 N/A N/A 6,615 1,924 401,465 586,411 2020-03-05 $9.14 $8.00 39.3% 11.3% 202.6% 11.3% 37.9% 3.4% -1.8% 404.7K -236.2M -380.7K 1.11 25.69 N/A N/A 2,397 2,660 405,557 586,744 2020-03-06 $8.86 $8.00 41.3% 11.3% 203.8% 12.5% 40.8% 26.7% -5.5% -103.0K -205.4M -360.4K 1.03 23.32 N/A N/A 4,624 4,777 406,784 586,760 2020-03-09 $8.18 $8.00 58.2% 16.4% 207.4% 22.9% 47.7% 18.2% 0.1% 91.1K -165.0M -437.8K 2.31 35.09 N/A N/A 4,720 10,885 399,228 577,017 2020-03-10 $8.53 $8.00 49.6% 13.1% 206.9% 17.6% 48.8% 14.7% -5.3% 123.4K -182.6M -418.4K 1.21 24.60 N/A N/A 6,537 7,902 401,062 575,723 2020-03-11 $8.80 $8.00 45.9% 14.9% 56.7% 15.3% 48.6% 9.1% -6.1% 465.8K -204.3M -426.1K 1.40 33.77 N/A N/A 8,125 11,334 404,783 577,383 2020-03-12 $7.91 $8.00 73.8% 19.0% 68.1% 32.4% 68.1% 16.9% -18.1% -62.3K -124.6M -513.7K 1.32 61.31 N/A N/A 8,118 10,716 407,522 584,307 2020-03-13 $8.32 $8.00 90.5% 18.7% 70.8% 42.7% 67.5% 67.8% -53.9% 230.9K -165.6M -451.9K 1.03 109.18 N/A N/A 5,895 6,048 407,579 581,812 2020-03-16 $7.87 $8.00 79.2% 21.4% 73.2% 35.8% 94.5% 33.1% -65.5% 147.9K -128.8M -467.9K 1.91 82.39 N/A N/A 4,920 9,382 400,744 574,202 2020-03-17 $7.86 $8.00 80.1% 23.1% 69.8% 36.3% 80.4% 58.2% -37.9% 153.6K -128.3M -473.9K 9.53 74.71 N/A N/A 2,952 28,140 401,255 579,195 2020-03-18 $7.24 $8.00 99.6% 28.6% 73.0% 48.3% 118.6% 71.1% -5.1% 58.5K -80.0M -465.6K 2.41 77.25 N/A N/A 5,264 12,708 397,950 573,197 2020-03-19 $8.09 $8.00 69.0% 19.8% 85.3% 29.5% 112.0% 40.4% -5.6% -9.3K -140.4M -471.8K 2.97 85.70 N/A N/A 5,444 16,154 398,996 570,237 2020-03-20 $7.56 $8.00 61.5% 17.6% 84.3% 24.9% 85.2% 55.9% 66.7% 775.8K -123.9M -455.7K 1.45 91.40 N/A N/A 2,223 3,225 400,813 577,113 2020-03-23 $7.49 $8.00 39.6% 23.2% 84.3% 11.5% 86.3% 16.0% -58.1% 596.2K -60.5M -420.0K 1.07 96.70 N/A N/A 2,446 2,623 260,612 219,568 2020-03-24 $7.91 $8.00 135.5% 19.1% 87.7% 70.3% 91.6% 34.8% 0.0% 744.1K -86.2M -423.2K 0.67 110.47 N/A N/A 3,668 2,446 261,824 220,243 2020-03-25 $8.18 $8.00 23.5% 21.0% 89.0% 1.6% 65.1% 112.3% -32.2% 754.9K -96.3M -411.6K 0.62 107.11 N/A N/A 8,859 5,536 262,700 221,833 2020-03-26 $8.44 $8.00 67.3% 21.7% 89.9% 28.4% 80.4% -35.8% -57.1% 810.3K -107.6M -409.5K 0.50 74.10 N/A N/A 3,045 1,532 266,118 222,919 2020-03-27 $8.36 $8.00 92.0% 15.7% 89.5% 42.7% 69.9% 30.8% 74.5% 817.7K -100.4M -411.0K 1.24 53.79 N/A N/A 4,539 5,621 267,229 223,465 2020-03-30 $8.40 $8.00 116.1% 13.4% 88.7% 57.7% 58.8% 137.3% -113.2% 798.1K -103.0M -384.0K 0.15 50.67 N/A N/A 4,052 599 263,468 217,153 2020-03-31 $8.45 $8.00 35.2% 15.1% 88.4% 7.3% 51.9% 62.2% -8.0% 790.5K -110.6M -360.7K 0.48 40.42 N/A N/A 4,427 2,106 264,657 217,309
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