S Options History — October 2021

In October 2021, S traded between $51.05 and $67.12. ATM implied volatility averaged 63.3%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 8.7% (HV 20d: 72.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2021-10-07: Highest Volume — 8,217 contracts
  • 2021-10-11: Largest IV spike — 17.6% change
  • 2021-10-11: Highest IV Rank — 32.9%
  • 2021-10-04: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.74$51.05$67.12$55.49$67.12
Max Pain$55.24$55.00$60.00$60.00$55.00
ATM IV63.3%57.2%76.3%64.8%57.9%
Expected Move17.7%16.4%18.9%18.6%16.6%
HV 20d72.1%62.1%81.3%77.0%63.5%
HV 60d83.3%67.9%365.3%365.3%67.9%
IV Rank24.8%21.0%32.9%25.8%21.5%
IV Percentile49.5%35.3%70.2%57.9%35.7%
Term Structure3.4%-0.5%5.5%-0.5%5.4%
VWIV62.2%57.5%67.7%66.5%57.5%
Skew 25d0.7%-2.5%2.7%-2.5%2.1%
Skew 10d1.7%-6.5%5.8%-6.5%5.6%
Call IV 25d62.2%57.0%69.1%69.1%57.0%
Put IV 25d62.9%58.9%66.6%66.6%59.1%
Bid-Ask Spread %27.9811.1844.2344.2341.64
Gamma HHI0.160.120.250.130.17
Net GEX872.6K123.7K1.4M123.7K1.4M
Net DEX-31.0M-65.0M10.3M2.0M-65.0M
Net VEX-307.2K-351.5K-245.0K-255.7K-336.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.071.790.071.41
Total Volume4,569.0952,2038,2176,6944,241
Total OI39,905.71434,50346,72736,02236,196

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$55.49$60.0064.8%18.6%77.0%25.8%66.5%-2.5%-0.5%123.7K2.0M-255.7K0.0744.23N/AN/A6,23046421,63214,390
2021-10-04$51.05$55.0071.0%18.9%76.8%29.6%67.7%-1.3%1.9%572.5K3.6M-249.5K0.3523.89N/AN/A2,8701,00628,70414,592
2021-10-05$51.50$55.0067.9%18.7%75.3%27.7%65.9%-1.3%1.6%173.5K10.3M-245.0K0.2930.34N/AN/A1,83652826,92814,635
2021-10-06$53.48$55.0068.2%18.9%76.9%27.9%65.8%-0.2%1.2%352.5K1.1M-262.2K0.2831.66N/AN/A2,11460227,37514,954
2021-10-07$56.94$55.0067.8%18.5%80.9%27.6%65.0%-0.6%2.7%675.4K-18.7M-293.4K0.4516.84N/AN/A5,6742,54328,15715,246
2021-10-08$55.07$55.0064.9%18.5%80.7%25.8%64.5%-1.5%3.4%526.4K-9.0M-279.8K0.5528.96N/AN/A1,41878528,50515,612
2021-10-11$52.66$55.0076.3%18.5%80.0%32.9%64.5%0.8%1.7%173.9K7.3M-259.5K0.3339.52N/AN/A2,66788329,40516,511
2021-10-12$55.18$55.0072.5%18.1%81.3%30.5%63.6%-0.3%2.1%488.2K-8.1M-277.3K0.1036.89N/AN/A4,17140829,78116,407
2021-10-13$59.03$55.0063.3%18.2%79.9%24.9%64.3%1.0%2.6%1.2M-35.9M-295.5K0.2229.08N/AN/A6,1801,38830,10316,624
2021-10-14$60.35$55.0064.7%18.5%74.3%25.7%65.1%0.6%2.6%853.7K-41.4M-294.5K0.1630.80N/AN/A6,7081,05428,20216,761
2021-10-15$59.61$55.0060.5%17.3%72.8%23.1%61.3%1.5%4.4%1.1M-31.5M-290.6K0.6125.14N/AN/A1,47989528,92416,839
2021-10-18$62.74$55.0060.4%17.3%68.8%23.0%61.1%1.9%4.5%1.1M-47.8M-342.8K0.1924.43N/AN/A3,52765522,24412,259
2021-10-19$62.49$55.0059.8%17.1%68.7%22.6%59.6%0.9%4.1%1.1M-48.1M-342.3K0.2411.18N/AN/A1,99747522,50512,531
2021-10-20$62.97$55.0059.4%17.0%68.7%22.4%60.2%1.8%4.0%1.0M-45.6M-347.6K1.0722.58N/AN/A1,9902,12622,41412,955
2021-10-21$65.81$55.0057.2%16.4%66.9%21.0%58.0%1.9%5.5%1.3M-60.3M-351.5K0.7728.94N/AN/A4,5723,54222,65412,990
2021-10-22$63.86$55.0058.0%16.6%68.0%21.5%58.7%2.7%4.1%1.1M-48.4M-347.6K1.5014.57N/AN/A1,5212,28922,73112,894
2021-10-25$65.33$55.0059.4%17.0%64.7%22.4%60.2%2.4%4.7%1.2M-56.8M-347.6K1.0611.38N/AN/A2,1682,30723,24012,957
2021-10-26$65.96$55.0059.1%16.9%62.1%22.2%59.6%2.2%4.8%1.3M-59.1M-346.9K1.3032.27N/AN/A1,7792,30823,18512,982
2021-10-27$63.90$55.0058.4%16.8%63.8%21.8%58.9%0.6%5.1%1.2M-49.4M-342.0K1.7929.59N/AN/A1,2472,22723,39913,017
2021-10-28$64.09$55.0058.7%16.8%62.4%21.9%59.1%1.3%5.4%1.3M-50.1M-342.8K0.6633.57N/AN/A3,0602,01723,52813,052
2021-10-29$67.12$55.0057.9%16.6%63.5%21.5%57.5%2.1%5.4%1.4M-65.0M-336.6K1.4141.64N/AN/A1,7622,47923,01913,177