S Options History — November 2022

In November 2022, S traded between $14.25 and $22.26. ATM implied volatility averaged 90.7%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded above realized volatility by 0.5% (HV 20d: 90.3%). Max pain ranged from $20.00 to $26.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2022-11-04: Highest Volume — 18,682 contracts
  • 2022-11-09: Largest IV spike — 6.4% change
  • 2022-11-30: Highest IV Rank — 33.3%
  • 2022-11-30: Largest Expected Move — 30.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.45$14.25$22.26$22.26$14.25
Max Pain$21.74$20.00$26.00$26.00$20.00
ATM IV90.7%75.8%104.6%75.8%104.6%
Expected Move26.3%21.7%30.0%21.7%30.0%
HV 20d90.3%64.0%102.6%64.0%100.2%
HV 60d72.7%59.9%77.7%63.7%77.0%
IV Rank22.0%11.9%33.3%11.9%33.3%
IV Percentile68.1%27.0%86.1%27.0%86.1%
Term Structure-8.8%-17.4%4.0%4.0%-17.4%
VWIV91.2%76.1%106.1%76.1%102.6%
Skew 25d7.7%5.0%9.9%8.4%5.0%
Skew 10d14.1%-1.1%37.7%10.5%15.2%
Call IV 25d87.9%72.3%101.6%72.3%101.6%
Put IV 25d95.5%80.7%106.5%80.7%106.5%
Bid-Ask Spread %46.7031.9162.2441.7240.54
Gamma HHI0.120.090.190.090.17
Net GEX48.6K-298.0K407.3K396.9K-252.5K
Net DEX8.6M-8.2M23.8M-8.2M23.8M
Net VEX-192.0K-273.8K-136.6K-273.8K-136.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.187.100.360.75
Total Volume9,490.42963018,6826,67311,919
Total OI90,738.28679,731106,30580,42198,728

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$22.26$26.0075.8%21.7%64.0%11.9%76.1%8.4%4.0%396.9K-8.2M-273.8K0.3641.72N/AN/A4,9191,75459,67020,751
2022-11-02$20.78$26.0077.9%22.3%66.5%13.1%78.2%6.8%4.0%273.1K-935.3K-248.6K0.3842.39N/AN/A5,3482,04859,52220,848
2022-11-03$20.18$24.0079.7%23.7%66.6%14.6%80.2%8.8%-5.1%175.1K3.3M-222.6K0.2440.49N/AN/A8,8382,15258,81520,916
2022-11-04$17.71$24.0079.3%24.8%77.6%14.3%87.7%9.0%-3.9%83.5K10.9M-177.5K0.1831.91N/AN/A15,8642,81860,11820,946
2022-11-07$16.54$24.0082.3%25.4%74.7%15.8%87.0%8.3%-8.4%136.5K11.2M-160.4K0.6549.74N/AN/A5,4493,54362,99120,859
2022-11-08$17.06$22.5084.5%24.7%75.8%16.1%83.7%7.1%-6.0%206.3K6.9M-176.2K0.7049.87N/AN/A4,5923,22664,16420,311
2022-11-09$15.51$22.5089.9%25.8%81.0%20.7%91.3%6.9%-8.5%96.1K11.8M-143.1K0.9542.49N/AN/A3,9493,75464,33920,232
2022-11-10$17.74$22.5088.4%25.3%97.2%19.4%85.0%9.0%-7.8%208.4K3.9M-192.7K0.3350.37N/AN/A7,9162,57564,92421,802
2022-11-11$19.32$21.0088.2%25.3%101.9%19.2%84.7%9.9%-7.3%407.3K-6.3M-227.6K0.6149.69N/AN/A5,3953,28067,38722,105
2022-11-14$18.34$21.0090.3%25.9%98.8%21.1%106.1%7.5%-10.7%316.2K142.1K-204.5K0.7651.05N/AN/A4,6893,56367,44623,109
2022-11-15$19.01$21.0092.0%26.4%99.7%22.5%93.2%5.9%-10.1%282.8K-3.8M-221.8K2.8345.64N/AN/A4,71513,33067,62225,769
2022-11-16$17.34$21.0094.3%27.0%102.6%24.5%94.1%7.8%-10.4%-193.9K14.1M-205.9K2.3845.27N/AN/A4,0899,73670,12733,215
2022-11-17$16.93$21.0094.6%27.1%100.5%24.7%94.3%7.4%-8.8%-298.0K18.2M-200.8K1.2050.60N/AN/A3,6704,40470,71734,800
2022-11-18$16.69$20.0097.8%28.0%100.2%27.5%97.1%6.5%-9.5%-281.8K18.8M-194.0K2.6043.44N/AN/A4,55211,82371,90334,402
2022-11-21$16.17$20.0098.3%28.2%100.3%28.0%97.8%6.1%-9.5%-53.9K12.1M-181.8K1.1041.41N/AN/A3,0893,40263,03028,519
2022-11-22$16.24$20.0094.7%27.1%97.1%24.8%92.7%8.8%-10.1%-70.0K12.5M-180.2K1.7346.29N/AN/A3,3155,72263,62128,550
2022-11-23$16.50$20.0095.2%27.3%97.8%25.3%91.6%7.3%-12.6%-52.8K10.7M-183.7K1.1651.94N/AN/A2,6693,09964,03128,282
2022-11-25$16.41$20.0099.3%28.5%97.8%28.8%93.6%9.2%-16.9%-67.6K11.8M-177.0K0.1862.24N/AN/A5359564,27228,404
2022-11-28$15.95$20.0099.1%28.4%97.7%28.6%99.6%8.4%-16.3%-106.7K13.6M-164.3K1.6250.46N/AN/A1,6342,65464,67728,184
2022-11-29$15.46$20.0099.0%28.4%97.8%28.5%97.8%7.3%-13.4%-183.5K16.6M-158.5K7.1053.09N/AN/A1,1338,04264,70230,694
2022-11-30$14.25$20.00104.6%30.0%100.2%33.3%102.6%5.0%-17.4%-252.5K23.8M-136.6K0.7540.54N/AN/A6,8115,10865,09833,630