S Options History — April 2022

In April 2022, S traded between $32.76 and $41.41. ATM implied volatility averaged 77.1%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 7.7% (HV 20d: 84.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2022-04-11: Highest Volume — 18,810 contracts
  • 2022-04-13: Largest IV drop — 19.2% change
  • 2022-04-12: Highest IV Rank — 40.1%
  • 2022-04-26: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.82$32.76$41.41$38.80$33.37
Max Pain$37.75$35.00$40.00$40.00$35.00
ATM IV77.1%65.8%87.8%65.8%81.6%
Expected Move21.6%19.0%24.4%19.2%23.4%
HV 20d84.7%71.9%97.0%93.8%82.6%
HV 60d90.8%87.9%93.3%88.6%90.1%
IV Rank33.4%26.4%40.1%26.4%36.2%
IV Percentile54.3%32.9%70.2%32.9%64.7%
Term Structure3.7%0.6%6.0%0.6%4.6%
VWIV75.0%63.3%85.4%69.3%82.7%
Skew 25d6.3%2.2%7.8%5.1%5.0%
Skew 10d12.2%4.9%17.6%10.2%10.6%
Call IV 25d73.1%62.4%81.5%66.1%81.5%
Put IV 25d79.4%70.1%88.9%71.2%86.5%
Bid-Ask Spread %33.8520.2143.6743.4233.73
Gamma HHI0.220.150.360.260.15
Net GEX1.3M671.7K2.4M1.9M723.8K
Net DEX-32.1M-72.2M-11.4M-48.3M-18.7M
Net VEX-341.0K-397.8K-285.1K-345.6K-323.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.092.302.301.22
Total Volume4,961.272318,8103,1981,672
Total OI67,546.9558,14083,39866,57563,542

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$38.80$40.0065.8%19.2%93.8%26.4%69.3%5.1%0.6%1.9M-48.3M-345.6K2.3043.42N/AN/A9682,23052,53414,041
2022-04-04$41.41$40.0068.1%19.0%92.8%27.8%63.3%7.8%5.0%2.4M-72.2M-369.1K1.1927.59N/AN/A3,5804,27252,49614,201
2022-04-05$38.16$40.0070.5%19.6%95.9%29.3%67.6%6.5%3.2%1.8M-43.1M-341.6K0.9020.21N/AN/A2,2051,98653,54715,053
2022-04-06$35.71$40.0080.1%21.2%97.0%35.3%73.1%6.6%1.8%1.4M-23.2M-301.6K0.5133.05N/AN/A4,1992,12852,60015,539
2022-04-07$35.87$40.0077.1%21.7%96.7%33.5%74.1%5.7%2.4%1.5M-25.7M-307.4K0.3637.63N/AN/A2,8971,05752,78615,864
2022-04-08$34.27$40.0073.6%21.1%95.5%31.2%74.2%3.2%3.5%1.3M-13.9M-285.1K1.0333.52N/AN/A4,0514,16152,99715,857
2022-04-11$33.90$40.0087.6%22.0%86.0%40.0%76.8%2.2%4.3%1.4M-11.4M-291.7K0.0943.67N/AN/A17,2551,55555,49718,828
2022-04-12$34.24$35.0087.8%21.6%85.0%40.1%76.1%6.7%4.9%1.7M-22.0M-319.9K0.4841.18N/AN/A4,9432,39660,55518,782
2022-04-13$38.55$35.0071.0%20.3%84.7%29.6%70.9%7.5%4.1%1.8M-65.4M-397.8K0.8741.46N/AN/A3,0322,63664,03519,361
2022-04-14$37.23$35.0073.5%21.1%80.4%31.2%72.3%6.2%3.5%1.2M-55.9M-379.2K0.4936.25N/AN/A3,5821,75164,39019,008
2022-04-18$36.75$40.0076.1%21.8%77.6%32.8%72.7%7.5%3.4%1.0M-33.9M-358.9K0.2840.24N/AN/A3,25191642,84715,293
2022-04-19$37.73$40.0071.0%20.3%77.0%29.6%70.6%6.3%5.3%1.2M-41.7M-392.6K0.1834.32N/AN/A4,99088244,91815,564
2022-04-20$36.48$40.0073.6%21.1%71.9%31.3%72.4%5.9%6.0%1.1M-35.6M-379.9K0.2724.84N/AN/A3,46992746,88215,673
2022-04-21$33.42$40.0076.3%21.9%77.2%33.0%76.2%7.8%5.0%736.8K-18.8M-335.1K0.7631.78N/AN/A1,3641,03946,68515,904
2022-04-22$32.76$35.0078.0%22.4%76.7%34.0%78.5%7.5%2.9%671.7K-16.1M-325.4K0.6231.54N/AN/A1,13971146,59016,035
2022-04-25$35.00$35.0081.2%23.3%80.6%36.0%80.6%7.1%4.8%902.4K-27.2M-352.7K0.7721.15N/AN/A1,4051,08546,70916,074
2022-04-26$34.46$35.0085.0%24.4%80.6%38.4%85.4%7.4%0.9%846.8K-24.9M-343.6K1.0339.80N/AN/A1,0701,10747,05016,249
2022-04-27$33.33$35.0082.7%23.7%80.8%36.9%82.9%7.7%3.5%718.8K-18.3M-328.4K0.6424.42N/AN/A44128247,06416,509
2022-04-28$34.87$35.0080.4%23.1%81.7%35.5%79.8%5.5%3.8%876.7K-25.1M-341.2K0.5037.12N/AN/A1,72486646,93916,441
2022-04-29$33.37$35.0081.6%23.4%82.6%36.2%82.7%5.0%4.6%723.8K-18.7M-323.1K1.2233.73N/AN/A75491847,09316,449