S Options History — March 2022

In March 2022, S traded between $29.67 and $42.95. ATM implied volatility averaged 94.2%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded below realized volatility by 8.9% (HV 20d: 103.1%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.46.

Notable Days

2022-03-09: Highest Volume — 26,530 contracts
2022-03-08: Largest IV drop — 26.3% change
2022-03-07: Highest IV Rank — 73.7%
2022-03-11: Largest Expected Move — 42.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.77	$29.67	$42.95	$42.32	$39.06
Max Pain	$39.35	$30.00	$45.00	$45.00	$40.00
ATM IV	94.2%	66.1%	141.8%	111.5%	66.5%
Expected Move	28.1%	19.2%	42.4%	32.0%	19.4%
HV 20d	103.1%	89.1%	119.6%	90.9%	102.0%
HV 60d	84.5%	77.5%	90.1%	80.2%	89.4%
IV Rank	44.1%	26.6%	73.7%	54.9%	26.8%
IV Percentile	67.7%	32.9%	96.8%	90.5%	33.3%
Term Structure	-7.2%	-18.1%	1.1%	-15.1%	0.9%
VWIV	97.3%	67.1%	151.2%	109.4%	67.1%
Skew 25d	6.9%	3.5%	11.6%	9.6%	3.9%
Skew 10d	13.1%	4.6%	19.0%	18.8%	4.6%
Call IV 25d	87.9%	64.6%	118.2%	106.7%	67.1%
Put IV 25d	94.9%	71.0%	124.8%	116.4%	71.1%
Bid-Ask Spread %	36.49	10.66	51.20	41.89	38.17
Gamma HHI	0.28	0.19	0.66	0.23	0.26
Net GEX	1.6M	381.4K	6.9M	786.0K	2.0M
Net DEX	-30.6M	-75.6M	16.7M	-16.0M	-53.2M
Net VEX	-291.7K	-368.3K	-198.5K	-302.2K	-341.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.07	2.57	0.41	2.57
Total Volume	9,065.043	1,921	26,530	3,385	3,417
Total OI	65,358.348	50,478	93,123	54,958	64,990

Daily Data (23 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
2022-03-01	$42.32	$45.00	111.5%	32.0%	90.9%	54.9%	109.4%	9.6%	-15.1%	786.0K	-16.0M	-302.2K	0.41	41.89	N/A	N/A	2,397	988	38,106	16,852
2022-03-02	$42.95	$45.00	106.2%	30.5%	89.5%	51.6%	106.1%	8.8%	-10.0%	864.2K	-19.3M	-311.1K	0.28	37.20	N/A	N/A	2,833	780	38,804	16,884
2022-03-03	$40.63	$45.00	111.9%	32.1%	89.1%	55.1%	109.3%	6.4%	-10.4%	803.3K	-9.2M	-287.4K	0.73	41.15	N/A	N/A	1,109	812	39,588	16,896
2022-03-04	$36.40	$45.00	118.7%	34.0%	94.3%	59.4%	116.5%	5.2%	-11.5%	511.4K	7.5M	-241.5K	0.15	44.86	N/A	N/A	6,949	1,062	39,681	17,001
2022-03-07	$34.19	$45.00	141.8%	40.6%	94.1%	73.7%	142.7%	6.8%	-18.1%	435.7K	12.3M	-215.1K	0.40	46.43	N/A	N/A	4,278	1,715	41,223	16,962
2022-03-08	$32.41	$45.00	104.5%	39.5%	94.7%	50.5%	137.2%	5.0%	-13.2%	381.4K	16.7M	-198.5K	0.43	38.31	N/A	N/A	4,987	2,162	42,754	17,166
2022-03-09	$34.55	$45.00	110.0%	40.8%	98.7%	54.0%	143.6%	3.5%	-16.6%	621.2K	6.9M	-229.2K	0.08	43.15	N/A	N/A	24,638	1,892	44,875	17,345
2022-03-10	$35.26	$40.00	109.4%	41.7%	95.2%	53.5%	147.8%	5.9%	-7.8%	1.1M	-14.8M	-269.8K	0.31	51.20	N/A	N/A	3,663	1,120	53,774	18,049
2022-03-11	$33.16	$40.00	110.0%	42.4%	96.7%	54.0%	151.2%	6.1%	-11.6%	933.1K	-4.3M	-247.5K	0.14	48.03	N/A	N/A	9,970	1,396	54,750	18,229
2022-03-14	$29.67	$30.00	118.7%	30.2%	102.4%	59.4%	104.4%	6.6%	-14.2%	705.1K	8.0M	-213.6K	0.27	11.16	N/A	N/A	12,138	3,250	60,756	18,450
2022-03-15	$30.90	$30.00	120.7%	29.7%	104.6%	60.6%	102.6%	7.0%	-17.8%	1.0M	-5.4M	-234.9K	0.47	10.66	N/A	N/A	14,573	6,900	65,275	18,839
2022-03-16	$34.86	$30.00	91.2%	24.9%	114.5%	42.2%	84.9%	11.6%	-5.1%	2.5M	-26.2M	-262.3K	0.34	14.55	N/A	N/A	17,512	5,956	70,815	22,308
2022-03-17	$37.91	$35.00	82.6%	23.2%	119.6%	36.9%	79.4%	8.9%	-2.1%	2.2M	-52.0M	-303.2K	0.18	30.96	N/A	N/A	10,377	1,837	68,636	20,964
2022-03-18	$40.09	$35.00	74.9%	21.1%	117.9%	32.0%	72.9%	5.9%	-1.0%	6.9M	-75.6M	-325.1K	0.18	41.04	N/A	N/A	13,537	2,417	68,582	20,456
2022-03-21	$38.42	$35.00	79.3%	21.4%	116.9%	34.8%	74.6%	5.3%	-4.6%	1.3M	-41.6M	-304.5K	0.64	38.70	N/A	N/A	2,051	1,307	40,545	9,933
2022-03-22	$41.52	$35.00	75.1%	21.0%	119.4%	32.2%	70.3%	7.2%	-2.8%	1.7M	-65.6M	-337.6K	0.24	33.89	N/A	N/A	5,089	1,246	42,300	10,056
2022-03-23	$41.76	$40.00	75.9%	21.2%	113.4%	32.7%	70.9%	6.9%	-2.1%	1.7M	-67.2M	-343.5K	0.51	42.14	N/A	N/A	2,280	1,172	43,060	10,433
2022-03-24	$42.29	$40.00	75.6%	21.6%	103.7%	32.5%	71.6%	8.5%	-0.2%	1.8M	-70.8M	-351.3K	0.49	42.44	N/A	N/A	2,325	1,134	43,921	10,994
2022-03-25	$40.41	$40.00	75.1%	21.3%	105.1%	32.2%	72.8%	7.9%	-0.9%	1.7M	-56.4M	-336.6K	0.07	41.42	N/A	N/A	14,117	985	44,386	11,411
2022-03-28	$40.32	$40.00	71.8%	20.2%	102.9%	30.1%	68.3%	7.7%	-1.6%	1.8M	-60.0M	-345.0K	0.26	36.01	N/A	N/A	4,852	1,279	47,079	11,484
2022-03-29	$40.75	$40.00	69.5%	19.5%	102.6%	28.7%	67.9%	9.3%	-1.7%	2.2M	-68.1M	-368.3K	0.56	40.65	N/A	N/A	2,601	1,444	51,953	12,057
2022-03-30	$38.80	$40.00	66.1%	19.2%	103.7%	26.6%	67.2%	5.0%	1.1%	2.0M	-50.4M	-338.9K	0.81	25.19	N/A	N/A	1,074	875	52,216	12,404
2022-03-31	$39.06	$40.00	66.5%	19.4%	102.0%	26.8%	67.1%	3.9%	0.9%	2.0M	-53.2M	-341.4K	2.57	38.17	N/A	N/A	957	2,460	52,418	12,572