S Options History — December 2022

In December 2022, S traded between $13.05 and $15.80. ATM implied volatility averaged 86.9%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 13.2% (HV 20d: 73.6%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2022-12-07: Highest Volume — 15,634 contracts
2022-12-07: Largest IV drop — 33.3% change
2022-12-06: Highest IV Rank — 57.1%
2022-12-01: Largest Expected Move — 31.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.30	$13.05	$15.80	$15.07	$14.57
Max Pain	$17.36	$16.00	$20.00	$17.50	$16.00
ATM IV	86.9%	69.3%	132.2%	109.1%	74.3%
Expected Move	22.7%	19.9%	31.3%	31.3%	21.3%
HV 20d	73.6%	59.0%	102.3%	102.3%	64.0%
HV 60d	77.2%	74.8%	78.9%	77.7%	78.9%
IV Rank	22.7%	4.5%	57.1%	37.2%	11.1%
IV Percentile	45.3%	2.0%	99.2%	88.9%	18.3%
Term Structure	0.6%	-24.0%	7.1%	-24.0%	2.4%
VWIV	79.1%	69.0%	108.7%	107.3%	72.9%
Skew 25d	6.7%	3.9%	9.9%	8.5%	9.3%
Skew 10d	10.8%	-8.3%	17.2%	16.8%	12.7%
Call IV 25d	77.3%	68.3%	109.6%	104.6%	70.8%
Put IV 25d	84.1%	74.6%	113.7%	113.1%	80.0%
Bid-Ask Spread %	56.42	37.69	68.81	49.49	58.47
Gamma HHI	0.14	0.08	0.56	0.14	0.11
Net GEX	20.2K	-433.0K	199.2K	-168.4K	199.2K
Net DEX	8.0M	-7.5M	25.6M	15.4M	-7.5M
Net VEX	-149.2K	-178.9K	-113.7K	-159.3K	-171.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.06	1.82	0.12	0.63
Total Volume	4,842.524	610	15,634	4,012	2,636
Total OI	99,872.095	67,633	128,673	101,832	80,049

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2022-12-01	$15.07	$17.50	109.1%	31.3%	102.3%	37.2%	107.3%	8.5%	-24.0%	-168.4K	15.4M	-159.3K	0.12	49.49	N/A	N/A	3,584	428	68,893	32,939
2022-12-02	$14.75	$17.50	108.5%	31.1%	102.2%	36.7%	108.7%	4.2%	-21.3%	-126.4K	15.8M	-157.9K	0.33	44.54	N/A	N/A	2,147	711	70,996	33,076
2022-12-05	$14.34	$20.00	120.1%	25.4%	93.0%	46.7%	86.3%	8.6%	-0.8%	-77.9K	16.2M	-151.0K	0.87	59.39	N/A	N/A	2,181	1,906	73,430	33,346
2022-12-06	$14.07	$20.00	132.2%	26.2%	90.5%	57.1%	91.2%	7.4%	-5.1%	-37.7K	16.0M	-146.5K	0.30	57.24	N/A	N/A	11,370	3,412	74,753	33,169
2022-12-07	$14.02	$20.00	88.2%	22.0%	89.3%	19.3%	78.8%	3.9%	3.9%	61.3K	18.1M	-141.7K	0.53	64.82	N/A	N/A	10,194	5,440	83,105	35,473
2022-12-08	$15.27	$19.00	91.5%	23.0%	89.4%	33.9%	83.6%	7.3%	3.0%	90.5K	7.3M	-172.8K	1.54	63.59	N/A	N/A	5,176	7,963	85,183	38,531
2022-12-09	$15.36	$17.50	89.2%	22.1%	74.0%	30.8%	76.2%	5.7%	4.6%	-51.0K	10.2M	-178.9K	1.82	62.21	N/A	N/A	1,633	2,971	86,585	42,088
2022-12-12	$15.80	$17.50	104.6%	21.6%	67.0%	51.1%	77.8%	6.5%	4.6%	55.8K	1.9M	-174.9K	0.38	54.09	N/A	N/A	2,074	787	86,669	39,702
2022-12-13	$15.80	$17.50	96.3%	21.2%	65.2%	40.1%	74.7%	5.4%	4.8%	56.0K	3.2M	-169.3K	0.32	68.81	N/A	N/A	2,535	803	86,722	39,929
2022-12-14	$15.14	$17.50	73.1%	21.0%	64.2%	9.6%	73.1%	5.7%	7.1%	57.7K	12.6M	-155.3K	0.71	60.49	N/A	N/A	1,089	769	86,337	39,931
2022-12-15	$14.34	$17.50	72.9%	20.9%	59.1%	9.4%	73.1%	4.6%	5.9%	-4.7K	24.6M	-137.1K	0.49	37.69	N/A	N/A	1,979	975	86,801	39,956
2022-12-16	$14.07	$17.50	72.1%	20.7%	59.0%	8.3%	75.3%	5.6%	3.7%	-433.0K	25.6M	-131.2K	0.65	56.65	N/A	N/A	2,734	1,785	87,395	38,836
2022-12-19	$13.05	$17.50	78.0%	22.4%	63.5%	16.1%	77.3%	4.5%	-0.6%	36.6K	5.5M	-113.7K	0.63	42.08	N/A	N/A	1,430	900	50,086	17,547
2022-12-20	$13.71	$16.00	72.0%	20.7%	66.6%	8.2%	72.2%	9.4%	4.2%	52.1K	3.6M	-121.2K	0.12	46.35	N/A	N/A	8,036	937	50,770	17,483
2022-12-21	$13.68	$16.00	69.3%	19.9%	66.5%	4.5%	69.0%	5.4%	5.0%	123.3K	-310.9K	-146.8K	0.36	57.37	N/A	N/A	1,070	385	58,525	17,469
2022-12-22	$13.41	$16.00	71.7%	20.6%	66.0%	7.7%	70.5%	9.6%	6.0%	115.0K	333.8K	-144.0K	0.16	65.28	N/A	N/A	1,036	161	58,805	17,407
2022-12-23	$13.18	$16.00	72.1%	20.7%	66.0%	8.2%	70.4%	4.8%	3.4%	104.0K	1.1M	-136.2K	0.14	61.21	N/A	N/A	3,665	499	58,946	17,443
2022-12-27	$13.09	$16.00	75.8%	21.7%	65.7%	13.1%	74.2%	6.7%	3.5%	103.8K	1.1M	-134.7K	0.22	57.36	N/A	N/A	500	110	58,428	17,645
2022-12-28	$13.23	$16.00	77.0%	22.1%	65.6%	14.7%	74.1%	8.3%	1.6%	109.3K	815.9K	-135.8K	0.06	57.69	N/A	N/A	790	48	58,571	17,654
2022-12-29	$14.38	$16.00	75.7%	21.7%	67.1%	13.0%	75.2%	9.9%	0.8%	159.3K	-3.8M	-153.0K	0.24	59.93	N/A	N/A	3,897	947	59,100	17,541
2022-12-30	$14.57	$16.00	74.3%	21.3%	64.0%	11.1%	72.9%	9.3%	2.4%	199.2K	-7.5M	-171.2K	0.63	58.47	N/A	N/A	1,613	1,023	62,115	17,934