S Options History — December 2021 In December 2021, S traded between $44.61 and $53.17. ATM implied volatility averaged 94.3%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 7.6% (HV 20d: 86.7%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.41.
Notable Days 2021-12-07 : Highest Volume — 32,154 contracts2021-12-08 : Largest IV drop — 44.0% change2021-12-07 : Highest IV Rank — 98.9%2021-12-03 : Largest Expected Move — 37.3%Monthly Statistics Metric Avg Min Max Open Close Price $49.43 $44.61 $53.17 $48.92 $50.62 Max Pain $47.05 $45.00 $60.00 $60.00 $45.00 ATM IV 94.3% 69.5% 182.1% 100.9% 70.7% Expected Move 24.8% 19.9% 37.3% 28.9% 20.3% HV 20d 86.7% 74.2% 97.5% 86.7% 74.2% HV 60d 76.7% 74.2% 80.6% 75.5% 74.3% IV Rank 44.2% 28.7% 98.9% 48.2% 29.4% IV Percentile 74.9% 52.8% 99.6% 87.3% 54.0% Term Structure -3.0% -25.8% 3.8% -14.4% -1.5% VWIV 87.4% 68.3% 139.3% 108.2% 71.0% Skew 25d 3.9% -9.9% 10.0% -8.7% 4.2% Skew 10d 7.3% -29.1% 16.3% -29.1% 10.7% Call IV 25d 85.7% 65.1% 141.2% 106.6% 68.9% Put IV 25d 89.6% 73.0% 131.3% 97.9% 73.1% Bid-Ask Spread % 29.53 10.35 45.94 45.94 10.35 Gamma HHI 0.15 0.11 0.22 0.11 0.22 Net GEX 1.1M 73.6K 2.2M 376.9K 2.0M Net DEX -22.4M -63.9M 13.1M 854.3K -43.5M Net VEX -374.6K -453.2K -277.3K -288.6K -414.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.41 0.13 1.09 0.30 0.53 Total Volume 9,485.636 3,031 32,154 6,894 7,476 Total OI 64,823.773 43,183 84,893 43,183 63,157
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 2021-12-01 $48.92 $60.00 100.9% 28.9% 86.7% 48.2% 108.2% -8.7% -14.4% 376.9K 854.3K -288.6K 0.30 45.94 N/A N/A 5,303 1,591 29,231 13,952 2021-12-02 $50.87 $60.00 121.8% 34.9% 87.3% 61.3% 126.1% -8.3% -25.8% 508.4K -11.4M -327.1K 0.13 39.93 N/A N/A 10,689 1,442 30,266 14,755 2021-12-03 $45.87 $55.00 130.1% 37.3% 88.8% 66.5% 139.3% -9.9% -24.2% 620.5K -4.7M -307.5K 0.35 38.27 N/A N/A 5,454 1,912 37,320 15,045 2021-12-06 $44.61 $50.00 132.2% 28.6% 88.5% 67.8% 101.2% 2.0% -5.1% 540.7K 4.4M -277.3K 0.39 23.36 N/A N/A 14,154 5,476 38,948 15,472 2021-12-07 $49.62 $45.00 182.1% 31.8% 97.5% 98.9% 112.7% 4.6% -12.6% 1.1M -33.8M -370.8K 0.67 21.76 N/A N/A 19,234 12,920 43,991 19,218 2021-12-08 $49.02 $45.00 101.9% 24.8% 91.4% 48.9% 87.2% 5.1% 1.6% 818.6K -10.7M -388.8K 0.69 34.36 N/A N/A 18,417 12,746 51,727 26,952 2021-12-09 $48.06 $45.00 94.2% 23.8% 90.1% 44.1% 85.0% 4.5% 3.3% 413.2K -2.5M -375.7K 0.56 37.13 N/A N/A 4,325 2,409 49,922 29,002 2021-12-10 $50.05 $45.00 80.5% 22.7% 90.2% 35.5% 80.1% 5.3% 3.8% 637.9K -14.7M -384.2K 0.36 38.68 N/A N/A 4,468 1,601 50,397 28,934 2021-12-13 $47.42 $45.00 102.6% 22.9% 87.1% 49.3% 78.6% 4.7% 2.9% 277.5K 4.0M -344.0K 0.65 35.97 N/A N/A 2,996 1,959 50,921 29,130 2021-12-14 $46.46 $45.00 99.8% 23.1% 85.5% 47.6% 79.2% 5.0% 3.0% 73.6K 13.1M -327.3K 1.09 42.38 N/A N/A 1,805 1,974 50,869 29,565 2021-12-15 $50.01 $45.00 83.7% 24.0% 89.3% 37.6% 84.3% 4.7% 1.3% 458.8K -14.1M -366.6K 0.22 40.02 N/A N/A 7,977 1,725 50,997 29,730 2021-12-16 $48.02 $45.00 83.5% 23.9% 89.6% 37.4% 85.0% 3.6% -0.1% 761.4K -3.6M -356.8K 0.40 28.59 N/A N/A 4,670 1,848 55,253 29,640 2021-12-17 $47.61 $45.00 86.0% 24.6% 89.7% 39.0% 86.2% 3.3% 0.3% 743.6K 5.8M -348.6K 0.41 35.88 N/A N/A 6,879 2,818 55,333 29,386 2021-12-20 $48.53 $45.00 84.6% 24.3% 90.8% 38.1% 86.5% 7.9% -2.6% 924.5K -26.8M -359.5K 0.31 26.25 N/A N/A 6,412 1,996 33,327 14,574 2021-12-21 $49.70 $45.00 79.0% 22.7% 88.2% 34.6% 78.3% 6.9% 0.3% 1.2M -34.1M -378.5K 0.18 27.21 N/A N/A 5,603 1,032 36,037 14,153 2021-12-22 $51.67 $45.00 77.1% 22.1% 83.7% 33.4% 74.9% 8.1% 0.3% 1.5M -47.8M -425.6K 0.16 17.36 N/A N/A 8,253 1,304 38,841 14,833 2021-12-23 $52.04 $45.00 76.0% 21.8% 83.8% 32.7% 74.6% 7.6% 1.1% 1.9M -56.9M -453.2K 0.45 11.05 N/A N/A 2,131 953 43,926 15,310 2021-12-27 $53.17 $45.00 72.8% 20.9% 84.3% 30.8% 76.3% 8.6% 0.2% 2.1M -63.9M -451.4K 0.14 22.43 N/A N/A 5,496 789 44,502 15,608 2021-12-28 $52.24 $45.00 73.7% 21.1% 84.5% 31.3% 68.3% 10.0% 0.5% 2.1M -56.5M -445.5K 0.34 11.94 N/A N/A 2,930 997 45,681 15,835 2021-12-29 $50.68 $45.00 72.8% 20.9% 82.1% 30.7% 72.0% 8.6% -0.6% 1.9M -43.1M -419.1K 0.26 21.79 N/A N/A 2,400 631 45,795 16,284 2021-12-30 $52.20 $45.00 69.5% 19.9% 74.5% 28.7% 68.7% 8.0% 2.2% 2.2M -53.8M -431.5K 0.34 39.01 N/A N/A 2,605 884 45,953 16,351 2021-12-31 $50.62 $45.00 70.7% 20.3% 74.2% 29.4% 71.0% 4.2% -1.5% 2.0M -43.5M -414.5K 0.53 10.35 N/A N/A 4,883 2,593 46,748 16,409
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