S Options History — June 2023

In June 2023, S traded between $12.75 and $20.63. ATM implied volatility averaged 60.2%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 101.2% (HV 20d: 161.4%). Max pain ranged from $14.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2023-06-02: Highest Volume — 34,736 contracts
  • 2023-06-02: Largest IV drop — 19.2% change
  • 2023-06-01: Highest IV Rank — 29.6%
  • 2023-06-01: Largest Expected Move — 24.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.26$12.75$20.63$20.63$15.11
Max Pain$14.36$14.00$17.50$16.00$14.50
ATM IV60.2%53.3%86.6%86.6%53.3%
Expected Move16.6%14.4%24.8%24.8%14.4%
HV 20d161.4%40.4%169.4%40.4%169.4%
HV 60d102.2%52.1%105.4%52.1%104.8%
IV Rank4.9%0.0%29.6%29.6%0.0%
IV Percentile8.5%0.0%75.8%75.8%0.0%
Term Structure-0.1%-22.7%8.2%-22.7%1.0%
VWIV59.7%51.6%88.3%88.3%51.6%
Skew 25d-1.2%-3.9%6.0%6.0%-2.6%
Skew 10d-1.4%-10.6%25.3%7.5%0.7%
Call IV 25d61.7%55.5%86.7%86.7%57.0%
Put IV 25d60.5%54.4%92.7%92.7%54.4%
Bid-Ask Spread %29.1411.7849.8038.3128.49
Gamma HHI0.100.080.140.130.09
Net GEX1.1M184.2K2.2M2.2M1.0M
Net DEX-38.8M-105.9M12.3M-105.9M-34.4M
Net VEX-349.1K-421.4K-204.1K-421.4K-349.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.121.030.290.27
Total Volume10,054.7621,69034,7368,7423,038
Total OI183,435.238149,229229,327149,229162,882

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$20.63$16.0086.6%24.8%40.4%29.6%88.3%6.0%-22.7%2.2M-105.9M-421.4K0.2938.31N/AN/A6,7511,991114,95534,274
2023-06-02$13.39$17.5070.0%20.1%163.5%13.8%70.9%-2.3%-10.9%184.2K12.3M-204.1K0.3711.78N/AN/A25,4429,294122,77939,321
2023-06-05$12.75$14.0064.3%15.7%161.3%8.3%57.2%-0.3%6.9%210.4K11.3M-210.5K0.2739.57N/AN/A10,1992,708135,97044,479
2023-06-06$13.75$14.0067.4%16.6%163.7%11.4%59.9%-1.2%8.2%558.5K-5.5M-255.8K0.1326.78N/AN/A23,8853,222138,37744,223
2023-06-07$13.68$14.0064.8%16.4%163.7%8.8%58.8%-2.7%6.9%826.4K-15.0M-303.6K0.2014.58N/AN/A6,7071,371158,65646,236
2023-06-08$14.93$14.0059.3%16.6%166.6%3.6%57.9%-3.3%-0.1%1.3M-38.2M-354.4K0.3646.39N/AN/A8,5803,129160,90247,815
2023-06-09$14.59$14.0056.8%16.2%166.5%1.2%58.3%-2.3%0.3%1.2M-30.1M-358.2K1.0349.80N/AN/A2,6162,687165,23451,763
2023-06-12$15.70$14.0061.9%17.3%168.9%6.1%62.3%-1.7%-2.1%1.5M-55.4M-392.6K0.2338.30N/AN/A16,9693,853166,06252,802
2023-06-13$15.77$14.0060.8%17.0%168.2%5.1%60.4%-2.5%-2.1%1.5M-55.9M-393.6K0.2236.95N/AN/A8,2421,805167,70155,269
2023-06-14$16.09$14.0058.7%16.7%168.5%3.0%61.1%-0.3%-2.1%1.5M-61.6M-401.2K0.1926.14N/AN/A6,6401,250168,70355,925
2023-06-15$16.68$14.0056.1%16.5%169.1%0.6%59.7%1.2%1.6%1.6M-75.9M-410.0K0.1236.23N/AN/A13,4741,668170,16856,063
2023-06-16$16.21$14.0057.4%16.1%168.5%1.8%57.6%-2.6%-0.8%1.4M-66.5M-399.3K0.1440.52N/AN/A11,4021,608172,68456,643
2023-06-20$15.30$14.0055.6%15.9%169.4%0.1%57.9%-2.1%4.9%1.2M-41.1M-364.7K0.6238.51N/AN/A4,8002,991116,48634,445
2023-06-21$15.14$14.0055.6%15.9%169.0%0.1%57.3%-1.1%2.6%1.1M-36.8M-363.3K0.5022.78N/AN/A3,5611,771119,10036,868
2023-06-22$15.21$14.0054.4%15.5%169.0%0.0%56.6%-2.3%3.9%1.2M-38.0M-365.4K0.2916.15N/AN/A3,9231,144119,95837,847
2023-06-23$15.46$14.0054.3%15.5%168.6%0.0%56.0%-0.9%0.4%1.0M-41.8M-371.4K0.8829.81N/AN/A2,4122,111122,16738,457
2023-06-26$14.93$14.0056.8%15.8%168.3%2.3%57.7%-0.9%0.7%1.0M-33.7M-353.9K0.4216.91N/AN/A1,890801119,79837,349
2023-06-27$15.61$14.5055.8%15.5%169.1%1.4%54.7%-3.9%2.2%1.4M-44.7M-373.3K0.5617.67N/AN/A1,084606121,13437,757
2023-06-28$14.84$14.5058.5%15.6%168.9%4.0%54.7%1.6%0.7%993.1K-30.7M-344.2K0.7518.05N/AN/A1,9591,460121,36837,983
2023-06-29$14.75$14.5055.7%15.1%168.8%1.3%54.3%-0.5%-0.7%927.1K-28.0M-341.3K0.4318.12N/AN/A1,475631122,61238,925
2023-06-30$15.11$14.5053.3%14.4%169.4%0.0%51.6%-2.6%1.0%1.0M-34.4M-349.9K0.2728.49N/AN/A2,397641123,56139,321