S Options History — September 2021 In September 2021, S traded between $53.90 and $72.47. ATM implied volatility averaged 70.5%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded below realized volatility by 0.4% (HV 20d: 70.9%). Max pain ranged from $55.00 to $70.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2021-09-09 : Highest Volume — 14,352 contracts2021-09-07 : Largest IV spike — 25.8% change2021-09-07 : Highest IV Rank — 50.4%2021-09-01 : Largest Expected Move — 24.5%Monthly Statistics Metric Avg Min Max Open Close Price $63.54 $53.90 $72.47 $67.15 $53.90 Max Pain $63.57 $55.00 $70.00 $55.00 $60.00 ATM IV 70.5% 62.7% 104.4% 85.6% 65.1% Expected Move 19.6% 18.0% 24.5% 24.5% 18.7% HV 20d 70.9% 60.2% 82.2% 60.2% 76.5% HV 60d 365.1% 364.0% 365.9% 365.7% 365.3% IV Rank 29.3% 24.5% 50.4% 38.7% 25.9% IV Percentile 61.1% 50.8% 87.3% 75.4% 58.3% Term Structure -2.3% -13.1% 2.4% -13.1% -0.6% VWIV 70.0% 63.9% 88.4% 88.4% 65.3% Skew 25d -1.5% -5.6% 3.8% 3.8% -5.6% Skew 10d -1.9% -10.4% 10.0% 10.0% -10.4% Call IV 25d 70.7% 64.9% 86.7% 86.7% 68.5% Put IV 25d 69.2% 62.9% 90.5% 90.5% 62.9% Bid-Ask Spread % 38.15 18.96 63.14 18.96 59.88 Gamma HHI 0.17 0.11 0.35 0.15 0.16 Net GEX 269.5K -429.1K 2.1M 745.7K -145.5K Net DEX -21.9M -66.7M 12.7M -44.7M 10.5M Net VEX -199.0K -242.8K -142.0K -169.2K -236.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.06 2.63 0.55 0.06 Total Volume 6,423.238 2,277 14,352 5,162 9,981 Total OI 28,442.238 20,174 37,547 20,174 35,056
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 2021-09-01 $67.15 $55.00 85.6% 24.5% 60.2% 38.7% 88.4% 3.8% -13.1% 745.7K -44.7M -169.2K 0.55 18.96 N/A N/A 3,330 1,832 13,190 6,984 2021-09-02 $64.54 $60.00 82.5% 20.7% 61.8% 36.8% 72.7% 1.6% -6.4% 613.8K -37.2M -165.6K 0.57 37.88 N/A N/A 1,452 825 13,098 7,466 2021-09-03 $68.69 $60.00 83.0% 20.4% 62.6% 37.1% 71.5% 0.9% -3.1% 694.1K -47.1M -178.1K 0.52 36.05 N/A N/A 2,259 1,184 13,181 8,288 2021-09-07 $71.03 $60.00 104.4% 22.3% 62.2% 50.4% 79.9% 1.6% -8.0% 705.9K -53.8M -177.6K 0.44 32.26 N/A N/A 4,742 2,065 13,446 8,727 2021-09-08 $68.03 $60.00 78.9% 22.6% 64.3% 34.6% 80.5% 1.1% -9.1% 667.0K -46.6M -186.3K 0.77 26.45 N/A N/A 7,286 5,592 14,321 9,326 2021-09-09 $66.04 $65.00 66.9% 19.2% 61.2% 27.0% 68.7% -1.2% 0.6% 699.4K -41.0M -180.9K 0.88 32.48 N/A N/A 7,628 6,724 15,295 10,122 2021-09-10 $63.56 $65.00 65.8% 18.9% 62.2% 26.4% 67.4% -0.2% 1.0% 24.6K -26.7M -195.6K 0.17 33.51 N/A N/A 6,735 1,123 18,549 14,245 2021-09-13 $60.20 $65.00 67.0% 19.2% 66.5% 27.1% 68.9% -1.6% 0.8% -208.2K -13.6M -183.7K 1.15 35.80 N/A N/A 3,415 3,936 18,999 14,441 2021-09-14 $61.99 $65.00 64.6% 18.5% 65.9% 25.6% 71.1% -0.9% 2.1% -273.8K -12.2M -142.0K 0.99 30.28 N/A N/A 2,180 2,164 16,792 14,691 2021-09-15 $67.03 $65.00 62.7% 18.0% 66.2% 24.5% 64.1% -0.8% 2.4% 711.5K -38.0M -162.3K 0.91 35.58 N/A N/A 1,761 1,608 17,874 16,083 2021-09-16 $72.47 $65.00 63.3% 18.1% 69.2% 24.8% 64.4% -1.9% -0.9% 2.1M -66.7M -173.9K 0.85 32.16 N/A N/A 5,792 4,917 19,119 17,611 2021-09-17 $68.97 $65.00 63.6% 18.2% 73.2% 25.0% 65.0% -4.5% 0.5% 436.9K -44.7M -178.7K 0.50 28.14 N/A N/A 2,609 1,315 19,471 18,076 2021-09-20 $63.08 $70.00 67.9% 19.5% 82.2% 27.7% 69.8% -5.1% -3.2% 36.0K -4.2M -235.3K 0.45 33.24 N/A N/A 2,240 1,006 12,343 11,479 2021-09-21 $63.70 $70.00 64.9% 18.6% 81.7% 25.8% 66.9% -2.5% -1.4% 47.6K -5.6M -242.2K 2.63 44.07 N/A N/A 1,800 4,735 12,866 11,807 2021-09-22 $64.31 $65.00 62.8% 18.0% 78.1% 24.5% 63.9% -0.5% 0.2% 34.0K -5.8M -239.9K 0.51 46.96 N/A N/A 2,139 1,084 12,866 12,267 2021-09-23 $60.65 $65.00 63.3% 18.1% 80.1% 24.8% 65.6% -3.9% -0.3% -86.1K -3.6M -206.4K 0.62 42.26 N/A N/A 4,821 2,973 13,750 11,618 2021-09-24 $60.82 $65.00 62.9% 18.0% 79.7% 24.6% 64.2% -3.1% 0.2% -66.2K -4.7M -218.3K 1.51 42.71 N/A N/A 1,130 1,703 14,616 11,922 2021-09-27 $57.52 $65.00 68.1% 19.5% 78.0% 27.8% 68.7% -2.5% -2.6% -295.9K 3.9M -233.6K 0.37 36.74 N/A N/A 4,276 1,590 16,883 14,005 2021-09-28 $55.14 $65.00 68.5% 19.6% 78.8% 28.1% 71.9% -2.3% -1.9% -429.1K 12.7M -229.3K 0.83 52.50 N/A N/A 4,354 3,628 17,224 14,801 2021-09-29 $55.45 $60.00 69.8% 20.0% 78.8% 28.8% 70.4% -3.1% -5.3% -360.2K 9.6M -242.8K 0.75 63.14 N/A N/A 2,831 2,123 18,965 15,424 2021-09-30 $53.90 $60.00 65.1% 18.7% 76.5% 25.9% 65.3% -5.6% -0.6% -145.5K 10.5M -236.8K 0.06 59.88 N/A N/A 9,388 593 20,706 14,350
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