S Options History — February 2023

In February 2023, S traded between $15.11 and $17.09. ATM implied volatility averaged 80.6%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded above realized volatility by 21.0% (HV 20d: 59.7%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2023-02-14: Highest Volume — 9,163 contracts
  • 2023-02-06: Largest IV spike — 7.6% change
  • 2023-02-27: Highest IV Rank — 30.4%
  • 2023-02-27: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.90$15.11$17.09$15.93$15.98
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV80.6%73.3%88.9%74.0%88.3%
Expected Move23.4%21.2%25.5%21.2%25.3%
HV 20d59.7%49.4%64.5%60.9%61.0%
HV 60d65.8%60.5%77.8%77.8%60.5%
IV Rank19.5%9.8%30.4%10.8%29.6%
IV Percentile49.1%18.3%73.0%20.2%72.2%
Term Structure-7.2%-15.4%2.3%2.3%-14.3%
VWIV81.9%76.0%88.8%76.0%88.0%
Skew 25d7.7%3.9%10.1%3.9%5.6%
Skew 10d12.3%-8.3%22.6%12.7%9.3%
Call IV 25d78.4%73.1%86.7%73.1%86.7%
Put IV 25d86.1%77.1%92.5%77.1%92.2%
Bid-Ask Spread %49.2812.6472.8626.5715.29
Gamma HHI0.240.180.590.190.21
Net GEX804.7K571.3K2.0M710.0K624.1K
Net DEX-28.3M-44.2M-18.5M-31.2M-23.0M
Net VEX-233.3K-256.8K-216.8K-238.3K-218.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.102.271.880.11
Total Volume3,279.7371,1219,1636,6692,366
Total OI96,39092,249104,14592,41894,942

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$15.93$15.0074.0%21.2%60.9%10.8%76.0%3.9%2.3%710.0K-31.2M-238.3K1.8826.57N/AN/A2,3184,35169,68822,730
2023-02-02$16.61$15.0073.7%22.8%62.2%10.4%78.3%9.4%-6.0%727.9K-38.2M-256.8K0.5667.92N/AN/A3,7762,10970,10623,424
2023-02-03$15.77$15.0073.3%22.6%49.4%9.8%77.9%8.6%-6.4%668.6K-28.8M-248.7K0.1772.86N/AN/A1,52025970,37324,656
2023-02-06$15.11$15.0078.9%23.0%52.5%17.2%81.0%6.9%-6.0%622.1K-21.8M-230.8K0.2570.88N/AN/A1,64641570,80624,688
2023-02-07$16.01$15.0075.8%23.3%55.4%13.1%82.3%9.8%-8.0%733.3K-30.3M-239.9K2.2766.11N/AN/A2,1624,91671,10924,929
2023-02-08$15.71$15.0080.3%23.0%55.0%19.0%79.9%7.1%-5.8%729.0K-28.8M-238.5K0.1067.54N/AN/A2,58626371,64425,517
2023-02-09$16.02$15.0080.2%23.0%55.2%18.9%82.5%7.4%-5.2%787.5K-31.1M-242.5K0.1665.08N/AN/A2,66343872,06925,649
2023-02-10$15.30$15.0081.5%23.4%57.9%20.7%80.8%10.1%-6.7%694.8K-22.6M-227.9K0.3367.66N/AN/A99732772,24925,767
2023-02-13$15.52$15.0080.4%23.0%57.7%19.2%82.7%6.9%-6.8%788.9K-26.3M-225.4K0.8663.19N/AN/A1,03188672,41425,853
2023-02-14$16.61$15.0081.0%23.2%62.0%19.9%81.4%10.1%-7.2%1.0M-38.5M-238.6K1.0466.48N/AN/A4,4904,67372,68626,059
2023-02-15$17.09$15.0078.9%22.6%60.6%17.2%78.7%6.5%-7.0%974.9K-44.2M-245.3K0.4261.03N/AN/A2,37499373,42427,675
2023-02-16$16.41$15.0081.9%23.5%62.8%21.1%80.4%7.6%-5.6%1.1M-36.8M-240.5K0.9212.64N/AN/A1,4151,30274,59928,344
2023-02-17$15.96$15.0080.4%23.1%62.5%19.2%79.7%7.9%-4.7%2.0M-29.3M-234.3K0.1342.10N/AN/A1,31817574,89329,252
2023-02-21$15.41$15.0086.1%24.7%64.0%26.7%86.3%6.5%-8.8%571.3K-20.3M-222.1K1.6157.31N/AN/A7111,14267,84824,401
2023-02-22$15.75$15.0083.4%23.9%63.8%23.1%82.9%8.9%-7.6%613.8K-22.7M-226.1K0.1915.13N/AN/A94217968,20625,076
2023-02-23$15.82$15.0081.9%23.5%63.6%21.2%84.7%10.0%-8.8%634.9K-22.9M-225.0K0.1028.69N/AN/A2,27421668,58925,161
2023-02-24$15.43$15.0083.4%23.9%64.5%23.1%83.4%4.6%-8.2%578.5K-18.5M-216.8K0.2624.73N/AN/A1,35634767,68625,281
2023-02-27$15.75$15.0088.9%25.5%62.4%30.4%88.8%8.7%-15.4%628.0K-21.7M-217.3K1.2145.20N/AN/A1,5261,85368,13525,482
2023-02-28$15.98$15.0088.3%25.3%61.0%29.6%88.0%5.6%-14.3%624.1K-23.0M-218.1K0.1115.29N/AN/A2,13722968,27526,667