S Options History — July 2021 In July 2021, S traded between $43.49 and $51.05. ATM implied volatility averaged 64.2%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 562.7% (HV 20d: 626.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 12 of 16 trading days. Term structure was in contango for 11 of 16 days. Put/call ratio averaged 0.58.
Notable Days 2021-07-30 : Highest Volume — 4,751 contracts2021-07-14 : Largest IV drop — 21.6% change2021-07-13 : Highest IV Rank — 34.3%2021-07-19 : Largest Expected Move — 19.3%Monthly Statistics Metric Avg Min Max Open Close Price $47.80 $43.49 $51.05 $48.84 $49.00 Max Pain $46.33 $45.00 $50.00 $50.00 $45.00 ATM IV 64.2% 60.0% 78.6% 71.6% 60.7% Expected Move 17.9% 17.2% 19.3% 18.3% 17.4% HV 20d 626.9% 622.8% 631.0% 631.0% 624.6% HV 60d 381.2% 380.7% 381.6% 380.9% 381.2% IV Rank 25.4% 22.8% 34.3% 30.0% 23.2% IV Percentile 43.8% 37.7% 59.1% 50.4% 40.5% Term Structure 0.8% -2.9% 2.8% 1.9% 2.6% VWIV 63.6% 61.1% 68.2% 65.0% 61.6% Skew 25d -2.2% -7.7% 1.8% -7.7% 0.1% Skew 10d -3.9% -10.7% 0.7% -4.7% -0.5% Call IV 25d 65.1% 60.7% 70.4% 69.3% 63.0% Put IV 25d 63.0% 59.6% 68.2% 61.6% 63.1% Bid-Ask Spread % 34.29 22.58 49.14 49.14 36.26 Gamma HHI 0.18 0.15 0.29 0.21 0.17 Net GEX 58.5K -53.3K 179.8K 0 114.1K Net DEX -2.5M -7.8M 1.2M 0 -5.4M Net VEX -28.4K -53.2K 0 0 -53.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.58 0.10 1.26 0.71 0.35 Total Volume 1,700.188 604 4,751 608 4,751 Total OI 4,512.625 0 8,830 0 8,830
Daily Data (16 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 2021-07-09 $48.84 $0.00 71.6% 18.3% 631.0% 30.0% 65.0% -7.7% 1.9% 0 0 0 0.71 49.14 N/A N/A 356 252 0 0 2021-07-12 $50.46 $50.00 74.5% 18.4% 629.6% 31.8% 66.2% -2.3% -0.4% 4.3K -325.2K -2.8K 0.33 40.86 N/A N/A 455 149 291 299 2021-07-13 $48.52 $50.00 78.6% 18.7% 629.8% 34.3% 64.8% -2.7% -1.7% 18.1K -429.7K -5.1K 0.77 34.00 N/A N/A 505 389 629 439 2021-07-14 $46.10 $50.00 61.6% 17.7% 628.9% 23.8% 62.7% -3.7% 2.2% -9.6K 290.4K -8.5K 1.26 38.24 N/A N/A 476 599 1,066 813 2021-07-15 $43.49 $50.00 61.6% 17.7% 630.9% 23.8% 62.6% -3.5% 1.7% -53.3K 1.2M -12.4K 0.36 37.93 N/A N/A 977 349 1,288 1,215 2021-07-16 $44.63 $45.00 60.0% 17.2% 630.9% 22.8% 62.3% -3.9% -0.7% -10.7K 587.8K -19.1K 0.40 31.56 N/A N/A 1,567 629 2,062 1,437 2021-07-19 $46.63 $45.00 67.4% 19.3% 627.2% 27.4% 68.2% -2.3% -2.9% 30.5K -1.6M -29.1K 0.10 22.58 N/A N/A 2,776 267 2,492 1,720 2021-07-20 $47.36 $45.00 62.0% 17.8% 627.6% 24.0% 64.0% -2.5% 0.4% 47.8K -2.2M -29.5K 0.33 28.65 N/A N/A 1,004 332 2,491 1,905 2021-07-21 $47.26 $45.00 61.4% 17.6% 626.3% 23.6% 63.8% -2.4% 1.0% 61.4K -2.7M -36.7K 0.54 29.00 N/A N/A 596 319 3,213 2,108 2021-07-22 $47.60 $45.00 63.4% 18.2% 626.2% 24.9% 63.7% -2.9% -0.8% 80.2K -3.2M -38.0K 0.35 37.82 N/A N/A 495 175 3,560 2,246 2021-07-23 $46.68 $45.00 60.0% 17.2% 624.3% 22.8% 61.7% -2.2% 2.2% 78.7K -2.9M -40.1K 0.90 35.09 N/A N/A 345 310 3,799 2,364 2021-07-26 $49.86 $45.00 62.4% 17.9% 624.3% 24.2% 63.8% -1.2% 0.9% 131.9K -5.3M -41.5K 0.28 37.46 N/A N/A 1,957 544 3,798 2,364 2021-07-27 $47.66 $45.00 62.2% 17.8% 623.6% 24.1% 63.7% 1.7% 1.6% 91.2K -3.5M -40.4K 1.01 22.70 N/A N/A 835 840 3,890 2,484 2021-07-28 $49.60 $45.00 60.5% 17.3% 622.8% 23.1% 61.1% -1.0% 2.8% 171.5K -6.2M -45.0K 1.20 28.21 N/A N/A 571 686 4,582 2,669 2021-07-29 $51.05 $45.00 60.2% 17.3% 623.1% 22.9% 62.1% 1.8% 1.7% 179.8K -7.8M -52.2K 0.45 39.10 N/A N/A 2,545 1,152 4,922 3,226 2021-07-30 $49.00 $45.00 60.7% 17.4% 624.6% 23.2% 61.6% 0.1% 2.6% 114.1K -5.4M -53.2K 0.35 36.26 N/A N/A 3,514 1,237 5,131 3,699
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