S Options History — October 2022

In October 2022, S traded between $20.80 and $27.80. ATM implied volatility averaged 77.0%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded above realized volatility by 14.4% (HV 20d: 62.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2022-10-14: Highest Volume — 11,417 contracts
  • 2022-10-10: Largest IV spike — 15.8% change
  • 2022-10-11: Highest IV Rank — 22.8%
  • 2022-10-12: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.76$20.80$27.80$26.03$22.92
Max Pain$27.00$26.00$28.00$28.00$26.00
ATM IV77.0%70.2%85.7%77.6%77.4%
Expected Move21.9%20.1%23.4%22.2%22.2%
HV 20d62.5%54.0%69.9%54.5%67.3%
HV 60d65.2%62.9%67.2%65.8%64.0%
IV Rank15.7%10.4%22.8%16.3%15.7%
IV Percentile34.7%12.7%60.7%42.1%37.7%
Term Structure3.6%-0.6%7.2%-0.6%3.2%
VWIV75.2%68.9%80.0%77.7%76.6%
Skew 25d9.6%5.7%12.4%9.3%7.6%
Skew 10d19.2%11.3%44.4%21.5%12.9%
Call IV 25d71.9%65.8%75.6%72.7%73.7%
Put IV 25d81.5%74.3%86.9%82.1%81.2%
Bid-Ask Spread %28.2717.5445.3530.7324.93
Gamma HHI0.110.090.150.140.09
Net GEX405.0K96.9K944.0K667.0K402.9K
Net DEX-10.3M-31.6M5.9M-21.5M-9.9M
Net VEX-283.4K-341.4K-223.4K-312.5K-274.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.441.571.190.44
Total Volume5,168.3333,05411,4173,2906,924
Total OI75,038.42966,82383,06066,82377,278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$26.03$28.0077.6%22.2%54.5%16.3%77.7%9.3%-0.6%667.0K-21.5M-312.5K1.1930.73N/AN/A1,5001,79050,91515,908
2022-10-04$27.43$28.0072.2%20.7%57.3%12.0%70.9%5.7%-0.4%857.1K-30.2M-332.5K0.9829.84N/AN/A2,5512,49451,12016,001
2022-10-05$27.80$28.0070.2%20.1%56.6%10.4%68.9%9.5%0.4%944.0K-31.6M-341.4K0.9634.60N/AN/A1,5851,51952,58316,899
2022-10-06$27.71$28.0071.4%20.4%55.7%11.4%70.6%9.3%4.1%943.1K-31.5M-339.5K0.5217.55N/AN/A2,9311,51152,84316,950
2022-10-07$26.51$28.0071.2%20.8%54.0%11.2%72.3%9.3%4.4%770.7K-24.1M-325.8K1.2317.67N/AN/A1,3681,68654,38917,115
2022-10-10$24.11$28.0082.4%22.1%60.8%20.2%78.0%9.3%2.1%387.0K-8.7M-276.3K1.4425.81N/AN/A1,7392,49954,44117,490
2022-10-11$22.96$28.0085.7%22.9%59.9%22.8%78.4%12.0%2.3%218.5K-1.2M-255.6K0.8823.85N/AN/A3,1252,76054,41818,411
2022-10-12$22.50$27.0081.6%23.4%58.5%19.5%79.4%10.6%0.3%176.8K-241.5K-251.7K1.5720.73N/AN/A1,7622,76655,03318,691
2022-10-13$21.74$27.0079.1%22.7%59.1%17.5%80.0%11.2%5.6%116.3K3.6M-236.0K1.1217.54N/AN/A2,5412,85655,36619,288
2022-10-14$20.80$27.0080.9%23.2%58.4%19.0%77.9%12.4%3.2%96.9K5.9M-223.4K0.9320.64N/AN/A5,9075,51056,27219,700
2022-10-17$22.43$27.0079.3%22.7%63.9%17.7%77.8%10.7%4.2%184.4K-2.3M-272.3K1.0526.74N/AN/A2,8513,00059,36422,862
2022-10-18$22.81$27.0078.0%22.4%64.6%16.6%76.4%11.1%3.8%203.9K-4.0M-281.0K0.9419.61N/AN/A2,5062,36159,62323,197
2022-10-19$21.51$27.0078.3%22.4%67.0%16.8%77.5%10.1%6.5%154.7K1.9M-256.5K1.1430.55N/AN/A1,9492,21859,73623,324
2022-10-20$22.51$27.0076.5%21.9%67.5%15.4%75.7%9.7%6.5%229.0K-3.2M-275.6K1.0537.80N/AN/A2,2392,36259,76023,027
2022-10-21$22.65$26.0076.2%21.9%67.4%15.2%75.4%9.1%7.2%236.3K-3.8M-271.9K0.6236.44N/AN/A4,1002,52360,02922,968
2022-10-24$22.47$26.0078.7%22.6%66.7%16.8%76.9%9.6%4.1%255.8K-5.5M-259.6K1.0528.08N/AN/A2,1842,28451,26720,111
2022-10-25$23.74$26.0074.6%21.4%69.9%13.5%72.8%11.7%6.0%358.4K-12.2M-283.1K0.7528.96N/AN/A2,6962,01651,75320,361
2022-10-26$23.50$26.0075.1%21.5%68.3%13.8%71.7%8.0%5.4%426.5K-14.0M-299.3K0.4535.84N/AN/A4,6942,13454,07920,455
2022-10-27$23.40$26.0075.5%21.6%68.0%14.2%71.9%8.6%2.9%398.5K-12.1M-289.1K0.6340.36N/AN/A3,1952,00655,09420,553
2022-10-28$23.35$26.0074.1%21.2%67.8%13.1%72.2%7.2%5.4%477.1K-12.8M-293.2K1.1445.35N/AN/A1,8222,07156,51420,619
2022-10-31$22.92$26.0077.4%22.2%67.3%15.7%76.6%7.6%3.2%402.9K-9.9M-274.9K0.4424.93N/AN/A4,8132,11156,62720,651