S Options History — July 2022

In July 2022, S traded between $22.56 and $26.84. ATM implied volatility averaged 83.2%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 7.7% (HV 20d: 75.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2022-07-18: Highest Volume — 7,662 contracts
  • 2022-07-13: Largest IV drop — 21.9% change
  • 2022-07-12: Highest IV Rank — 44.0%
  • 2022-07-06: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.80$22.56$26.84$23.41$25.06
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV83.2%72.0%111.4%86.7%72.0%
Expected Move23.3%20.7%25.1%24.9%20.7%
HV 20d75.5%67.0%82.3%80.6%71.9%
HV 60d98.7%97.4%99.7%99.1%98.9%
IV Rank24.6%12.9%44.0%39.9%12.9%
IV Percentile54.9%29.0%92.1%65.5%29.0%
Term Structure3.8%-0.3%9.6%-0.3%9.6%
VWIV79.9%70.6%89.2%85.0%70.6%
Skew 25d10.5%6.9%12.6%12.6%7.2%
Skew 10d19.2%10.7%26.9%22.9%26.9%
Call IV 25d75.3%68.4%80.8%78.4%68.4%
Put IV 25d85.8%75.7%93.2%91.0%75.7%
Bid-Ask Spread %21.189.5837.089.5817.32
Gamma HHI0.150.120.170.120.15
Net GEX315.1K84.3K586.1K246.2K296.4K
Net DEX-7.6M-17.7M-562.1K-5.5M-6.3M
Net VEX-199.4K-227.9K-165.0K-184.7K-205.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.452.421.290.53
Total Volume3,332.151,9457,6622,3372,100
Total OI48,577.142,26151,40947,18950,583

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$23.41$25.0086.7%24.9%80.6%39.9%85.0%12.6%-0.3%246.2K-5.5M-184.7K1.299.58N/AN/A1,0201,31734,18113,008
2022-07-05$24.91$25.0091.8%25.0%82.3%38.5%82.1%12.4%0.8%350.5K-9.7M-198.0K0.7411.93N/AN/A1,8571,38134,22613,265
2022-07-06$25.27$25.0087.8%25.1%81.3%35.8%87.0%11.6%0.9%401.4K-11.3M-201.6K1.0612.96N/AN/A9631,01934,60413,407
2022-07-07$26.07$25.0082.5%23.9%81.0%32.2%77.9%12.3%1.3%448.1K-13.4M-208.5K0.6120.78N/AN/A1,7471,07334,58513,504
2022-07-08$26.84$25.0079.9%23.5%78.1%30.4%80.2%10.4%3.4%586.1K-17.7M-221.0K0.5134.93N/AN/A2,5351,28135,34113,696
2022-07-11$26.14$25.0094.9%24.1%75.7%30.9%82.9%12.4%1.7%508.1K-14.5M-211.6K0.6118.51N/AN/A1,9471,19735,45313,859
2022-07-12$23.66$25.00111.4%24.7%80.7%44.0%85.5%10.6%2.7%264.8K-4.6M-178.9K1.2029.21N/AN/A1,6531,98135,53813,939
2022-07-13$23.74$25.0087.0%25.0%74.1%24.7%85.5%9.8%2.1%300.3K-4.8M-180.2K0.9712.71N/AN/A1,6381,58935,42514,003
2022-07-14$22.56$25.0087.1%25.0%75.5%24.8%89.2%11.9%1.2%84.3K-562.1K-165.0K1.1714.86N/AN/A1,4471,68635,65114,111
2022-07-15$23.84$25.0078.8%22.6%77.6%18.2%79.9%12.5%4.1%193.4K-3.5M-179.2K0.6817.15N/AN/A1,9981,36435,79714,611
2022-07-18$24.41$25.0079.5%22.8%76.6%18.8%76.9%11.5%2.7%215.8K-4.7M-179.9K0.4513.43N/AN/A5,2992,36331,13011,131
2022-07-19$25.15$25.0078.6%22.5%73.3%18.0%76.8%10.5%4.0%294.7K-7.5M-212.4K1.9712.13N/AN/A1,2972,54934,21412,599
2022-07-20$26.28$25.0078.7%22.6%74.4%18.1%74.8%10.4%4.8%360.5K-11.5M-226.6K1.4627.67N/AN/A2,2143,23334,40212,804
2022-07-21$26.39$25.0078.3%22.4%73.9%17.8%74.1%10.0%4.1%419.4K-12.2M-227.9K0.8223.64N/AN/A1,20898735,61012,606
2022-07-22$25.39$25.0075.3%21.6%67.5%15.5%74.4%9.4%7.5%358.0K-8.6M-214.8K0.9337.08N/AN/A1,1211,03735,90712,655
2022-07-25$24.45$25.0077.7%22.3%67.0%17.3%79.2%8.7%8.1%301.3K-5.8M-201.9K1.0834.38N/AN/A1,0901,17335,95512,664
2022-07-26$22.82$25.0083.4%23.9%69.2%21.9%80.9%6.9%4.8%192.9K-1.2M-176.3K1.6216.63N/AN/A1,6472,66936,07512,813
2022-07-27$24.58$25.0076.4%21.9%74.5%16.3%79.2%9.2%6.4%236.5K-4.3M-204.6K0.8335.88N/AN/A1,06388236,40414,377
2022-07-28$25.11$25.0075.9%21.8%74.7%15.9%76.4%8.7%6.7%243.2K-5.3M-209.0K2.4222.89N/AN/A1,1752,84336,54814,861
2022-07-29$25.06$25.0072.0%20.7%71.9%12.9%70.6%7.2%9.6%296.4K-6.3M-205.0K0.5317.32N/AN/A1,37472636,73513,848