S Options History — August 2021

In August 2021, S traded between $46.70 and $65.37. ATM implied volatility averaged 65.9%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 97.9% (HV 20d: 163.8%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2021-08-27: Highest Volume — 5,027 contracts
  • 2021-08-30: Largest IV spike — 9.0% change
  • 2021-08-30: Highest IV Rank — 41.2%
  • 2021-08-30: Largest Expected Move — 25.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.34$46.70$65.37$51.76$64.11
Max Pain$46.59$45.00$55.00$45.00$55.00
ATM IV65.9%55.8%89.6%62.8%86.2%
Expected Move19.1%16.9%25.7%18.0%24.7%
HV 20d163.8%58.8%625.0%624.3%61.4%
HV 60d372.2%365.7%381.8%381.0%365.7%
IV Rank26.4%20.1%41.2%24.5%39.1%
IV Percentile50.5%34.9%79.0%46.4%75.8%
Term Structure-2.5%-12.3%4.9%2.1%-11.8%
VWIV67.9%60.5%93.0%63.4%88.8%
Skew 25d-0.4%-4.0%2.5%-1.5%2.0%
Skew 10d0.2%-7.1%4.4%-2.2%4.4%
Call IV 25d68.3%60.6%94.1%65.3%89.2%
Put IV 25d67.9%61.1%92.1%63.8%91.2%
Bid-Ask Spread %33.6312.3052.3333.2112.30
Gamma HHI0.180.160.230.200.17
Net GEX273.5K10.5K642.4K337.3K569.5K
Net DEX-15.5M-38.2M-3.1M-13.4M-33.7M
Net VEX-97.4K-137.4K-78.1K-78.1K-137.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.102.900.650.58
Total Volume2,1055165,0273,1862,633
Total OI13,21310,07917,48810,14017,488

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$51.76$45.0062.8%18.0%624.3%24.5%63.4%-1.5%2.1%337.3K-13.4M-78.1K0.6533.21N/AN/A1,9341,2526,9713,169
2021-08-03$51.84$50.0062.9%18.0%624.1%24.6%63.9%-0.4%0.7%307.2K-14.2M-92.6K0.2228.36N/AN/A7161567,9103,758
2021-08-04$50.04$50.0058.9%16.9%625.0%22.1%62.0%-2.1%4.9%182.4K-10.2M-94.0K0.2147.86N/AN/A1,0312178,3564,472
2021-08-05$52.48$45.0057.9%17.6%624.4%21.5%62.0%1.6%0.0%298.4K-14.7M-99.5K0.1036.21N/AN/A921888,6494,494
2021-08-06$51.01$45.0055.8%17.5%62.7%20.1%61.7%0.2%0.9%213.1K-12.2M-98.5K0.2630.85N/AN/A5491428,5864,568
2021-08-09$50.47$45.0059.8%17.9%61.7%22.6%62.7%-0.3%-0.7%167.0K-10.8M-92.1K0.1937.75N/AN/A433838,2144,558
2021-08-10$49.35$45.0056.5%17.7%60.6%20.6%61.6%-0.4%-0.7%100.8K-8.4M-89.9K2.9036.66N/AN/A5211,5118,4484,599
2021-08-11$46.70$45.0061.6%17.7%61.1%23.8%62.4%0.4%-1.2%10.5K-3.1M-82.0K0.5040.89N/AN/A6243108,5354,619
2021-08-12$49.51$45.0060.9%17.5%60.2%23.3%60.9%0.5%-0.4%167.1K-9.0M-86.4K1.0844.23N/AN/A5075468,4704,423
2021-08-13$50.28$45.0060.1%17.2%59.9%22.8%61.0%0.7%-0.6%195.5K-11.0M-90.6K0.5142.32N/AN/A6833498,7334,632
2021-08-16$49.27$45.0059.9%17.2%58.8%22.7%60.5%-0.3%0.4%119.8K-8.3M-86.7K0.4742.78N/AN/A7953758,7894,964
2021-08-17$47.00$45.0063.0%18.1%61.2%24.7%62.5%1.3%-0.8%26.1K-3.2M-80.5K0.2636.87N/AN/A4821278,9644,990
2021-08-18$48.83$45.0060.9%17.5%62.7%23.4%61.7%1.8%-0.8%204.1K-7.4M-86.0K0.6044.22N/AN/A8805319,2664,976
2021-08-19$50.41$45.0063.2%18.1%63.6%24.8%64.2%2.5%-2.4%279.4K-12.5M-88.4K0.3552.33N/AN/A1,1674129,3925,022
2021-08-20$50.95$45.0060.6%17.4%63.0%23.1%62.2%1.3%-0.4%202.8K-17.1M-89.9K1.0548.73N/AN/A6136449,6005,360
2021-08-23$52.75$45.0065.7%18.8%59.9%26.3%67.3%-4.0%-4.2%230.0K-12.5M-91.8K0.2826.10N/AN/A3,2398946,7903,289
2021-08-24$56.79$45.0069.8%20.0%62.1%28.8%71.4%-2.3%-5.1%287.0K-17.4M-97.0K0.2120.84N/AN/A2,7515896,8623,593
2021-08-25$59.27$45.0073.1%21.0%62.3%30.9%74.9%-2.3%-6.7%445.9K-23.5M-107.8K0.2719.90N/AN/A2,6146998,1144,006
2021-08-26$60.51$50.0077.9%22.3%62.0%33.9%80.5%-3.2%-8.5%481.8K-27.1M-119.2K0.4024.29N/AN/A3,2921,3108,9924,412
2021-08-27$64.69$50.0082.2%23.6%62.4%36.6%86.1%-2.3%-8.3%549.4K-34.2M-121.8K0.8518.34N/AN/A2,7212,3069,4454,549
2021-08-30$65.37$50.0089.6%25.7%60.5%41.2%93.0%-2.0%-12.3%642.4K-38.2M-133.1K0.2814.85N/AN/A3,6431,02010,6984,961
2021-08-31$64.11$55.0086.2%24.7%61.4%39.1%88.8%2.0%-11.8%569.5K-33.7M-137.4K0.5812.30N/AN/A1,66896511,1396,349