S Options History — January 2022

In January 2022, S traded between $38.74 and $48.94. ATM implied volatility averaged 83.1%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 18.4% (HV 20d: 64.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2022-01-13: Highest Volume — 11,268 contracts
  • 2022-01-24: Largest IV spike — 16.4% change
  • 2022-01-24: Highest IV Rank — 48.4%
  • 2022-01-24: Largest Expected Move — 29.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.17$38.74$48.94$47.83$44.58
Max Pain$47.00$45.00$50.00$45.00$45.00
ATM IV83.1%72.0%101.1%72.0%84.9%
Expected Move23.8%20.6%29.0%20.6%24.3%
HV 20d64.7%57.7%78.4%67.1%78.4%
HV 60d75.3%72.3%79.2%74.0%79.2%
IV Rank37.1%30.3%48.4%30.3%38.3%
IV Percentile71.3%55.6%86.5%55.6%75.8%
Term Structure1.6%-3.7%5.6%-0.5%5.1%
VWIV83.0%71.6%100.3%73.4%84.7%
Skew 25d5.7%-0.5%11.6%6.6%10.3%
Skew 10d11.5%-2.0%28.3%12.7%23.7%
Call IV 25d81.4%69.4%94.5%71.6%82.6%
Put IV 25d87.1%74.8%106.1%78.2%92.9%
Bid-Ask Spread %36.188.1453.0029.2746.31
Gamma HHI0.170.140.230.190.15
Net GEX956.4K557.0K1.8M1.6M1.1M
Net DEX-9.6M-39.7M3.8M-23.1M-28.7M
Net VEX-330.1K-394.4K-295.4K-339.1K-394.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.170.880.400.57
Total Volume5,309.32,56011,2686,2493,956
Total OI66,690.7552,04880,98261,64361,954

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$47.83$45.0072.0%20.6%67.1%30.3%73.4%6.6%-0.5%1.6M-23.1M-339.1K0.4029.27N/AN/A4,4791,77046,11215,531
2022-01-04$46.51$45.0072.0%20.7%67.1%30.3%71.6%5.5%-0.5%1.3M-13.2M-323.3K0.288.14N/AN/A5,2261,44346,34416,315
2022-01-05$43.90$45.0073.8%21.1%57.9%31.3%75.1%2.5%-0.9%844.1K1.3M-296.3K0.4630.77N/AN/A2,4761,12945,87917,081
2022-01-06$43.29$50.0075.0%21.4%57.9%32.1%75.1%3.5%1.4%753.4K3.3M-295.4K0.8840.19N/AN/A2,2051,93946,12917,654
2022-01-07$44.49$45.0076.3%22.2%58.8%32.9%76.9%3.8%2.8%964.1K-4.7M-318.2K0.1738.80N/AN/A6,0071,01746,72617,420
2022-01-10$45.74$45.0083.1%23.4%57.7%37.2%81.0%5.7%1.0%1.2M-17.2M-345.0K0.2234.99N/AN/A7,2791,57649,54217,645
2022-01-11$48.94$45.0076.6%21.9%60.0%33.1%76.7%8.3%2.4%1.8M-39.7M-384.3K0.4330.81N/AN/A3,2681,41850,06117,896
2022-01-12$47.36$45.0076.5%21.9%60.7%33.1%73.9%6.0%3.2%1.5M-27.9M-360.4K0.6229.16N/AN/A2,7051,66750,37218,139
2022-01-13$42.33$45.0079.8%22.9%66.8%35.1%82.2%-0.5%5.6%856.8K-2.0M-316.4K0.2441.15N/AN/A9,0562,21252,72918,255
2022-01-14$42.87$50.0080.2%23.0%66.1%35.3%81.7%1.1%2.6%1.2M-14.0M-367.3K0.2838.01N/AN/A2,63674861,59219,390
2022-01-18$40.96$50.0083.7%24.0%67.6%37.5%85.6%1.1%2.9%635.0K3.8M-306.3K0.3633.09N/AN/A2,68197257,19719,424
2022-01-19$41.74$50.0080.6%23.1%67.5%35.6%81.5%2.8%4.8%726.9K1.8M-307.0K0.8133.26N/AN/A1,8751,52058,08319,539
2022-01-20$42.30$50.0083.0%23.8%67.0%37.1%82.6%3.2%3.8%893.5K-3.8M-317.6K0.2335.95N/AN/A4,9051,13558,19119,340
2022-01-21$41.00$50.0086.8%24.9%65.1%39.5%86.4%5.7%2.5%597.0K2.1M-296.3K0.8730.12N/AN/A2,1201,85459,15719,314
2022-01-24$41.25$50.00101.1%29.0%65.0%48.4%100.3%11.6%-3.7%607.9K-5.0M-299.5K0.5730.03N/AN/A4,4372,54737,50614,542
2022-01-25$39.37$50.0096.1%27.6%64.9%45.3%95.2%8.8%-0.7%557.0K-2.4M-304.1K0.5240.76N/AN/A4,8892,55840,05815,320
2022-01-26$40.10$45.0094.3%27.0%66.0%44.2%92.4%9.8%0.4%676.9K-10.8M-351.8K0.6148.53N/AN/A3,1691,94043,77316,473
2022-01-27$38.74$45.0094.8%27.2%66.2%44.5%93.0%9.4%-1.6%569.9K-3.6M-329.4K0.4053.00N/AN/A1,82773344,53116,737
2022-01-28$40.10$45.0090.8%26.0%66.6%42.0%90.9%9.2%1.8%682.9K-8.5M-350.0K0.4451.25N/AN/A1,95086245,09016,774
2022-01-31$44.58$45.0084.9%24.3%78.4%38.3%84.7%10.3%5.1%1.1M-28.7M-394.4K0.5746.31N/AN/A2,5151,44145,09916,855