S Options History — July 2023

In July 2023, S traded between $14.27 and $16.68. ATM implied volatility averaged 57.1%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 4.8% (HV 20d: 52.4%). Max pain ranged from $14.50 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2023-07-13: Highest Volume — 19,323 contracts
  • 2023-07-31: Largest IV spike — 13.5% change
  • 2023-07-31: Highest IV Rank — 13.6%
  • 2023-07-31: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.95$14.27$16.68$15.13$16.68
Max Pain$15.60$14.50$16.00$14.50$15.00
ATM IV57.1%52.7%67.5%54.9%67.5%
Expected Move15.7%14.8%16.5%15.2%16.5%
HV 20d52.4%44.5%66.7%66.7%56.7%
HV 60d104.8%104.4%105.8%104.6%105.8%
IV Rank4.0%0.0%13.6%1.5%13.6%
IV Percentile8.2%0.0%30.6%1.2%30.6%
Term Structure0.9%-4.0%7.4%-1.4%-1.2%
VWIV55.9%53.4%60.3%54.5%60.3%
Skew 25d-0.8%-3.3%1.5%0.3%-1.4%
Skew 10d4.1%-8.0%25.5%0.3%16.7%
Call IV 25d59.0%54.8%71.9%57.7%71.9%
Put IV 25d58.2%54.6%70.5%58.1%70.5%
Bid-Ask Spread %45.4824.7662.3441.0453.77
Gamma HHI0.100.070.410.090.07
Net GEX794.5K312.5K1.9M1.1M972.4K
Net DEX-26.6M-50.8M-16.9M-33.6M-50.8M
Net VEX-317.4K-353.4K-297.2K-340.0K-353.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.162.220.780.30
Total Volume6,317.31,93819,3231,9389,091
Total OI153,740.2134,742169,957153,333139,699

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$15.13$14.5054.9%15.2%66.7%1.5%54.5%0.3%-1.4%1.1M-33.6M-340.0K0.7841.04N/AN/A1,088850115,19338,140
2023-07-05$15.07$14.5057.3%14.8%63.7%3.7%54.7%-1.2%-3.7%1.0M-32.3M-332.4K1.1538.06N/AN/A1,0811,247115,95438,891
2023-07-06$14.34$16.0054.7%15.5%61.6%1.3%55.8%-0.1%0.4%704.0K-19.9M-312.6K0.3247.91N/AN/A3,3571,064116,43139,759
2023-07-07$14.27$16.0052.7%15.4%61.6%0.0%56.2%-1.3%-0.4%721.3K-19.2M-309.1K0.3454.42N/AN/A3,1691,088117,83440,381
2023-07-10$14.61$16.0056.7%15.7%53.5%3.7%54.9%0.0%-2.1%785.3K-24.5M-312.5K0.3548.48N/AN/A3,6421,286116,33139,546
2023-07-11$14.95$16.0056.6%15.7%53.5%3.6%55.4%-1.3%-1.9%985.3K-29.2M-320.7K1.7335.04N/AN/A1,8883,265116,88740,097
2023-07-12$14.68$16.0055.6%15.1%46.6%2.7%54.3%0.4%-2.8%593.8K-22.1M-312.6K0.4158.68N/AN/A2,9161,191117,48342,798
2023-07-13$15.09$16.0056.2%15.2%47.8%3.2%53.4%-0.6%-4.0%780.1K-30.1M-323.8K1.0759.65N/AN/A9,31610,007118,76243,423
2023-07-14$14.50$16.0056.3%15.6%48.8%3.3%56.1%-2.9%-3.0%505.5K-17.3M-310.5K0.6361.27N/AN/A3,7272,341119,00645,546
2023-07-17$14.64$16.0054.3%15.4%46.7%1.5%55.6%-0.4%3.1%617.9K-20.1M-301.6K0.3162.34N/AN/A1,987609114,85542,941
2023-07-18$14.98$16.0055.3%15.8%47.1%2.4%57.0%1.5%3.1%770.1K-26.1M-309.1K0.1724.76N/AN/A4,775805115,49343,202
2023-07-19$15.52$16.0056.1%16.1%44.5%3.1%56.5%1.2%3.2%1.1M-39.1M-325.7K0.6050.53N/AN/A4,0742,464117,69843,871
2023-07-20$14.57$16.0057.0%16.2%49.8%4.0%57.1%-3.1%3.5%518.2K-19.7M-299.1K0.8136.47N/AN/A8,2036,684118,68944,878
2023-07-21$14.91$16.0056.7%16.0%50.6%3.7%56.4%-0.4%2.5%1.9M-24.2M-314.7K0.5025.45N/AN/A2,5121,257120,66049,297
2023-07-24$14.61$16.0057.3%15.7%50.6%4.2%56.0%0.1%5.4%409.6K-16.9M-297.2K0.6336.80N/AN/A2,7011,69293,49241,250
2023-07-25$14.79$15.0059.4%16.0%49.4%6.2%55.6%-3.3%1.5%450.5K-19.9M-305.4K0.1625.93N/AN/A4,10167294,79142,529
2023-07-26$15.43$15.0060.1%16.0%49.1%6.8%56.2%-2.2%2.5%663.1K-32.0M-326.2K2.2247.93N/AN/A3,7628,33697,10442,949
2023-07-27$14.77$15.0058.6%15.9%48.3%5.5%56.6%-3.0%5.3%312.5K-19.5M-309.0K0.7846.97N/AN/A2,9022,27198,06945,462
2023-07-28$15.48$15.0059.4%15.5%51.0%6.2%54.4%1.3%7.4%1.0M-34.7M-331.5K0.8554.19N/AN/A2,6642,26199,30646,107
2023-07-31$16.68$15.0067.5%16.5%56.7%13.6%60.3%-1.4%-1.2%972.4K-50.8M-353.4K0.3053.77N/AN/A6,9782,11396,61643,083