S Options History — September 2023

In September 2023, S traded between $15.68 and $17.91. ATM implied volatility averaged 47.3%, placing in the 2.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 8.3% (HV 20d: 55.6%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2023-09-01: Highest Volume — 33,733 contracts
  • 2023-09-05: Largest IV drop — 10.3% change
  • 2023-09-28: Highest IV Rank — 7.6%
  • 2023-09-26: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.73$15.68$17.91$17.26$16.81
Max Pain$16.45$15.00$17.00$15.00$16.50
ATM IV47.3%43.2%53.8%53.8%49.5%
Expected Move13.3%12.1%14.7%14.1%13.9%
HV 20d55.6%40.9%68.6%65.6%42.1%
HV 60d57.3%55.1%61.1%61.1%55.1%
IV Rank2.4%0.0%7.6%1.0%5.3%
IV Percentile2.4%0.0%6.7%0.8%5.6%
Term Structure0.2%-3.3%2.3%0.3%0.4%
VWIV46.0%35.1%51.4%51.4%48.6%
Skew 25d1.4%-2.2%4.9%-2.2%0.1%
Skew 10d4.5%-3.3%27.8%1.6%0.6%
Call IV 25d46.8%42.9%56.4%56.4%49.0%
Put IV 25d48.2%44.0%54.2%54.2%49.1%
Bid-Ask Spread %45.7514.0666.9346.2946.00
Gamma HHI0.140.100.290.220.11
Net GEX1.7M765.4K3.4M3.4M1.2M
Net DEX-46.7M-86.8M-17.9M-86.8M-42.4M
Net VEX-366.6K-399.4K-348.2K-379.8K-399.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.072.940.180.23
Total Volume6,217.91,51733,73333,7332,253
Total OI162,750.8137,240209,375209,375154,863

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$17.26$15.0053.8%14.1%65.6%1.0%51.4%-2.2%0.3%3.4M-86.8M-379.8K0.1846.29N/AN/A28,6705,063142,33467,041
2023-09-05$17.91$16.0048.2%14.0%66.3%0.0%49.1%-0.1%0.9%2.2M-78.8M-377.2K0.2748.01N/AN/A6,4011,704120,31949,359
2023-09-06$17.37$16.0045.7%13.2%64.8%0.0%46.5%0.4%2.3%2.3M-69.9M-364.4K0.3954.29N/AN/A3,3671,303122,95549,923
2023-09-07$17.05$16.0046.3%13.0%65.1%0.5%46.0%1.1%-0.1%2.2M-60.5M-367.8K0.3426.04N/AN/A2,793937124,34250,762
2023-09-08$16.86$16.0044.9%12.3%65.2%0.0%44.3%1.3%0.7%2.2M-56.5M-354.4K0.4342.92N/AN/A4,8622,098124,82750,939
2023-09-11$17.73$16.0044.5%12.4%67.1%0.0%43.8%1.8%-1.9%2.3M-76.4M-371.2K0.1666.93N/AN/A8,9911,439123,45550,030
2023-09-12$17.13$16.0045.1%12.6%68.5%0.5%44.2%0.8%-0.5%2.2M-63.2M-377.7K1.3758.78N/AN/A1,3751,884128,10351,045
2023-09-13$16.80$16.0043.9%12.7%68.1%0.0%44.2%1.9%-0.1%1.9M-55.2M-365.0K0.5459.37N/AN/A1,563847128,38052,408
2023-09-14$17.30$17.0043.2%12.2%68.6%0.0%43.2%2.2%-1.1%2.3M-63.6M-362.0K1.0952.39N/AN/A9831,071128,68352,749
2023-09-15$16.93$17.0043.9%12.1%67.7%0.5%43.1%1.1%-3.3%2.7M-54.3M-360.4K0.5937.40N/AN/A5,3773,157129,02553,318
2023-09-18$16.62$17.0045.1%12.9%68.2%1.6%44.6%1.2%-0.4%1.3M-32.0M-367.9K0.2456.87N/AN/A1,62239095,52341,717
2023-09-19$16.62$17.0045.1%13.0%43.2%1.6%44.9%2.4%-1.2%1.3M-31.4M-360.6K2.9457.16N/AN/A1,5804,64196,45242,169
2023-09-20$16.57$17.0044.8%12.8%41.6%1.3%44.6%2.6%1.0%1.3M-30.7M-383.4K0.3440.92N/AN/A1,25943198,51546,142
2023-09-21$15.91$17.0048.9%14.0%43.0%4.8%50.0%3.8%1.2%834.0K-18.5M-349.8K0.4957.29N/AN/A5,1632,54999,24746,245
2023-09-22$15.80$17.0047.8%13.6%41.6%3.9%46.7%0.1%0.9%836.9K-19.4M-362.9K0.3460.17N/AN/A1,257427101,86546,939
2023-09-25$15.68$17.0049.6%14.0%40.9%5.4%47.6%3.8%1.0%765.4K-17.9M-348.2K0.5214.06N/AN/A99552299,59644,796
2023-09-26$15.84$16.5051.3%14.7%41.1%6.8%51.0%4.9%1.1%843.7K-20.7M-351.9K0.3432.83N/AN/A2,518849100,38644,956
2023-09-27$16.09$16.5051.6%14.7%41.5%7.1%35.1%-0.2%1.5%1.0M-26.8M-366.4K0.0715.84N/AN/A4,863363102,04845,427
2023-09-28$16.23$16.5052.2%14.4%40.9%7.6%51.0%1.5%1.0%1.1M-28.4M-361.2K0.1141.39N/AN/A7,942849102,55745,576
2023-09-29$16.81$16.5049.5%13.9%42.1%5.3%48.6%0.1%0.4%1.2M-42.4M-399.4K0.2346.00N/AN/A1,835418108,86945,994