S Options History — January 2023

In January 2023, S traded between $13.25 and $15.14. ATM implied volatility averaged 73.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 9.2% (HV 20d: 64.1%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2023-01-20: Highest Volume — 17,518 contracts
  • 2023-01-24: Largest IV spike — 5.3% change
  • 2023-01-09: Highest IV Rank — 17.3%
  • 2023-01-05: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.29$13.25$15.14$14.61$14.89
Max Pain$14.50$14.00$16.00$16.00$15.00
ATM IV73.3%68.3%78.9%76.7%74.8%
Expected Move21.0%19.6%22.8%22.0%21.4%
HV 20d64.1%56.0%74.8%63.6%56.2%
HV 60d77.8%76.3%79.9%78.9%76.5%
IV Rank9.9%3.2%17.3%14.4%11.8%
IV Percentile16.6%2.0%40.1%31.0%22.6%
Term Structure5.2%-0.5%7.5%-0.5%3.8%
VWIV73.6%68.6%79.8%76.2%74.9%
Skew 25d6.4%0.4%11.5%0.4%8.6%
Skew 10d12.6%-2.6%22.0%5.6%12.0%
Call IV 25d71.5%64.9%77.0%76.5%71.8%
Put IV 25d77.9%71.1%84.0%76.9%80.4%
Bid-Ask Spread %30.9612.6752.0450.8916.13
Gamma HHI0.150.110.200.110.20
Net GEX364.2K188.8K627.9K228.4K627.9K
Net DEX-11.3M-23.8M-3.1M-8.1M-22.5M
Net VEX-182.0K-214.5K-156.2K-171.7K-214.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.052.010.372.01
Total Volume3,343.771917,5184,3923,779
Total OI88,140.581,75294,28581,75290,004

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$14.61$16.0076.7%22.0%63.6%14.4%76.2%0.4%-0.5%228.4K-8.1M-171.7K0.3750.89N/AN/A3,2151,17763,34618,406
2023-01-04$14.88$16.0078.0%22.4%63.1%16.1%77.5%6.6%-0.4%273.2K-10.0M-179.9K0.1719.09N/AN/A1,88831664,78318,745
2023-01-05$13.30$14.0075.3%22.8%74.8%12.5%79.8%7.2%3.3%188.8K-3.1M-160.0K0.5339.16N/AN/A2,1041,11466,41418,906
2023-01-06$13.25$14.0078.4%22.6%74.8%16.6%78.1%7.2%5.0%189.1K-3.2M-156.2K0.7846.77N/AN/A1,3341,03667,47019,229
2023-01-09$13.54$14.0078.9%21.9%67.9%17.3%77.6%5.6%6.2%204.6K-4.4M-161.6K0.6635.48N/AN/A1,28785267,80819,527
2023-01-10$14.07$14.0076.8%21.9%69.6%14.5%76.3%7.8%3.8%256.7K-7.1M-170.0K0.4421.28N/AN/A88038768,25419,808
2023-01-11$14.25$14.0075.2%21.6%68.8%12.3%75.1%7.2%6.2%277.4K-8.0M-174.2K0.9923.16N/AN/A36235768,77020,037
2023-01-12$14.07$14.0072.6%20.8%68.9%8.9%73.4%9.2%6.5%258.5K-6.5M-169.1K0.5236.70N/AN/A3,1281,63168,92320,100
2023-01-13$14.36$14.0071.6%20.5%68.0%7.6%70.2%6.2%7.5%316.7K-8.6M-174.5K0.2424.27N/AN/A1,64439970,55421,112
2023-01-17$14.54$14.0072.3%20.7%65.4%8.6%73.5%5.8%5.6%371.4K-9.5M-175.1K0.3233.76N/AN/A2,03265371,26821,422
2023-01-18$14.07$14.0073.2%21.0%66.1%9.8%72.4%5.6%4.6%282.2K-6.3M-172.4K0.2145.75N/AN/A1,99742471,87521,776
2023-01-19$13.91$14.0070.9%20.3%60.1%6.7%71.5%6.5%7.3%263.7K-6.1M-164.3K0.6522.28N/AN/A1,02566272,06021,223
2023-01-20$14.55$14.0070.6%20.2%59.7%6.3%72.7%6.5%6.9%253.9K-9.8M-174.8K0.2018.50N/AN/A14,5632,95572,61421,671
2023-01-23$14.71$14.0068.3%19.6%59.7%3.2%68.6%11.5%7.2%494.3K-18.5M-202.3K0.1912.67N/AN/A4,24982662,64819,186
2023-01-24$14.43$15.0071.9%20.6%59.7%8.0%70.4%2.4%5.2%523.4K-17.7M-201.5K0.3545.83N/AN/A1,34846865,72719,747
2023-01-25$14.32$15.0069.8%20.0%59.3%5.2%70.7%3.6%6.4%522.3K-16.4M-198.1K0.3225.88N/AN/A90529266,19720,004
2023-01-26$14.39$15.0069.0%19.8%59.2%4.1%69.4%4.2%7.2%548.2K-17.1M-198.9K0.6814.70N/AN/A57339066,50420,029
2023-01-27$15.14$15.0070.9%20.3%61.4%6.6%70.8%11.3%5.4%613.1K-23.8M-213.2K0.0534.92N/AN/A5,18623566,58620,244
2023-01-30$14.61$15.0071.6%20.5%56.0%7.6%72.6%4.0%5.9%590.5K-19.8M-208.6K0.7752.04N/AN/A67952269,46120,372
2023-01-31$14.89$15.0074.8%21.4%56.2%11.8%74.9%8.6%3.8%627.9K-22.5M-214.5K2.0116.13N/AN/A1,2552,52469,56120,443