S Options History — September 2022

In September 2022, S traded between $24.79 and $29.14. ATM implied volatility averaged 73.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 10.6% (HV 20d: 63.2%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2022-09-01: Highest Volume — 13,481 contracts
  • 2022-09-13: Largest IV spike — 15.1% change
  • 2022-09-13: Highest IV Rank — 20.2%
  • 2022-09-26: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.43$24.79$29.14$25.05$25.48
Max Pain$29.14$28.00$30.00$30.00$28.00
ATM IV73.8%66.1%82.4%72.9%76.9%
Expected Move21.0%19.0%22.4%20.9%22.0%
HV 20d63.2%54.1%71.7%71.7%54.1%
HV 60d68.9%66.0%74.4%74.4%66.0%
IV Rank13.3%7.1%20.2%12.5%15.7%
IV Percentile29.0%12.3%52.4%23.8%39.7%
Term Structure1.4%-0.8%4.4%-0.0%2.4%
VWIV72.1%66.7%76.6%75.0%75.5%
Skew 25d8.4%3.4%10.7%3.4%8.0%
Skew 10d19.3%9.2%36.2%15.1%17.9%
Call IV 25d69.5%62.5%74.9%72.8%72.4%
Put IV 25d77.9%71.1%82.7%76.2%80.4%
Bid-Ask Spread %19.1610.4328.3920.2028.39
Gamma HHI0.170.140.260.220.14
Net GEX450.2K-236.4K1.1M-43.1K577.9K
Net DEX-15.5M-31.4M1.9M1.9M-18.0M
Net VEX-268.6K-320.4K-199.0K-199.0K-301.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.051.070.960.95
Total Volume4,411.33381913,48113,4813,623
Total OI66,113.47652,47678,03160,43266,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$25.05$30.0072.9%20.9%71.7%12.5%75.0%3.4%-0.0%-43.1K1.9M-199.0K0.9620.20N/AN/A6,8956,58641,39519,037
2022-09-02$25.01$30.0069.8%20.0%71.7%10.1%70.2%7.6%2.8%-213.5K1.7M-217.8K0.7127.26N/AN/A1,6791,19843,48723,150
2022-09-06$24.89$30.0075.8%21.6%70.0%14.9%75.3%6.8%1.4%-236.4K1.4M-209.9K0.5314.21N/AN/A2,2581,20743,24722,715
2022-09-07$25.67$30.0069.8%20.6%65.8%10.0%69.7%8.2%2.2%-189.6K-1.4M-212.3K0.3915.55N/AN/A4,2771,65043,37222,970
2022-09-08$26.47$28.0071.4%20.6%56.2%11.4%67.7%8.8%3.5%68.6K-8.2M-226.7K0.1220.51N/AN/A3,06638145,36022,966
2022-09-09$28.05$30.0066.1%19.6%59.6%7.1%66.7%9.1%4.0%602.0K-19.3M-251.9K0.1221.40N/AN/A8,9081,06846,63622,983
2022-09-12$29.14$30.0071.6%19.0%60.7%11.5%67.0%8.6%4.4%1.1M-31.4M-285.3K0.1014.01N/AN/A7,48273450,76223,223
2022-09-13$27.49$30.0082.4%20.2%63.2%20.2%70.0%7.6%4.0%520.4K-19.2M-271.6K0.3822.42N/AN/A4,3231,66252,22123,419
2022-09-14$28.21$30.0071.0%20.4%64.0%11.1%71.2%8.6%2.8%982.7K-23.8M-285.8K0.6010.43N/AN/A51330653,05024,208
2022-09-15$27.95$30.0070.2%20.1%63.0%10.4%70.1%8.4%0.7%779.9K-22.4M-281.8K1.0714.00N/AN/A55859553,26724,156
2022-09-16$26.50$29.0074.2%21.3%65.8%13.6%71.5%10.1%-0.1%348.6K-15.9M-263.2K0.6315.63N/AN/A2,3841,49853,50824,523
2022-09-19$27.52$29.0072.4%20.7%64.2%12.1%70.7%10.3%-0.4%539.7K-20.6M-272.3K0.1215.92N/AN/A2,58531239,15213,324
2022-09-20$27.12$29.0074.4%21.3%64.1%13.7%72.9%10.7%-0.5%604.6K-21.1M-278.8K0.5317.45N/AN/A1,23965541,49813,526
2022-09-21$26.73$29.0073.3%21.0%59.9%12.8%70.5%8.8%-0.2%591.0K-20.1M-278.6K0.0520.08N/AN/A4,89123142,40014,013
2022-09-22$25.25$29.0076.0%21.8%61.8%15.1%74.8%8.6%-0.2%533.1K-16.0M-289.6K0.3818.72N/AN/A2,06879547,06314,170
2022-09-23$24.79$29.0075.0%21.5%61.7%14.2%74.9%9.9%-0.1%470.8K-13.2M-279.3K0.5521.99N/AN/A1,43979146,80614,700
2022-09-26$25.37$28.0078.3%22.4%61.6%16.8%76.1%6.7%-0.8%540.1K-17.3M-297.1K0.6323.83N/AN/A2,5801,63147,90415,036
2022-09-27$25.66$28.0077.1%22.1%61.7%15.9%76.6%9.8%0.9%570.2K-18.6M-304.2K0.7415.39N/AN/A1,8921,40348,35615,407
2022-09-28$26.60$28.0074.4%21.3%63.3%13.7%74.1%8.2%1.4%675.6K-23.5M-320.4K0.5920.18N/AN/A2,1921,30148,83815,514
2022-09-29$25.98$28.0077.2%22.1%63.7%16.0%74.0%9.1%0.7%618.6K-21.2M-312.5K0.5624.70N/AN/A2,4181,36449,34815,588
2022-09-30$25.48$28.0076.9%22.0%54.1%15.7%75.5%8.0%2.4%577.9K-18.0M-301.9K0.9528.39N/AN/A1,8611,76250,47815,607