S Options History — October 2023 In October 2023, S traded between $15.29 and $17.52. ATM implied volatility averaged 53.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 12.9% (HV 20d: 40.5%). Max pain ranged from $16.50 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.43.
Notable Days 2023-10-17 : Highest Volume — 20,672 contracts2023-10-17 : Largest IV spike — 7.0% change2023-10-27 : Highest IV Rank — 12.0%2023-10-25 : Largest Expected Move — 17.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.41 $15.29 $17.52 $16.74 $15.66 Max Pain $16.93 $16.50 $17.00 $16.50 $17.00 ATM IV 53.5% 49.4% 57.3% 51.7% 55.5% Expected Move 15.4% 14.2% 17.1% 14.4% 16.2% HV 20d 40.5% 34.9% 46.8% 39.8% 43.8% HV 60d 53.8% 50.7% 55.8% 55.1% 50.9% IV Rank 8.7% 5.2% 12.0% 7.2% 10.4% IV Percentile 13.1% 5.6% 26.6% 7.1% 17.5% Term Structure 1.5% -1.3% 9.4% -0.6% 9.3% VWIV 53.6% 48.3% 60.2% 51.3% 54.1% Skew 25d 3.3% 0.8% 6.6% 2.7% 3.1% Skew 10d 7.9% 1.8% 19.4% 6.5% 9.8% Call IV 25d 52.3% 48.0% 56.7% 49.6% 54.8% Put IV 25d 55.6% 50.1% 61.3% 52.3% 57.9% Bid-Ask Spread % 58.69 33.20 67.93 61.68 63.62 Gamma HHI 0.11 0.10 0.13 0.11 0.12 Net GEX 1.3M 740.3K 2.1M 1.3M 889.1K Net DEX -33.2M -56.3M -14.6M -39.6M -20.1M Net VEX -374.5K -413.2K -334.5K -396.0K -342.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.06 1.35 0.29 0.41 Total Volume 3,476.455 790 20,672 2,419 816 Total OI 157,916.182 149,209 174,294 149,209 158,634
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-10-02 $16.74 $16.50 51.7% 14.4% 39.8% 7.2% 51.3% 2.7% -0.6% 1.3M -39.6M -396.0K 0.29 61.68 N/A N/A 1,872 547 104,068 45,141 2023-10-03 $16.13 $16.50 53.2% 15.0% 39.0% 8.5% 53.9% 2.5% 0.6% 996.7K -28.0M -376.8K 0.34 35.04 N/A N/A 2,630 891 105,008 45,311 2023-10-04 $16.61 $16.50 52.0% 14.7% 39.6% 7.5% 50.7% 4.1% 0.1% 1.2M -35.3M -389.1K 0.35 64.38 N/A N/A 809 286 103,994 45,643 2023-10-05 $16.32 $17.00 52.6% 14.8% 39.5% 8.0% 50.5% 2.9% -0.6% 1.1M -30.0M -377.2K 0.51 33.20 N/A N/A 576 294 104,357 45,683 2023-10-06 $16.88 $17.00 50.0% 14.2% 41.3% 5.8% 48.4% 2.0% -1.0% 1.5M -37.7M -385.3K 0.10 36.85 N/A N/A 4,713 493 104,658 45,707 2023-10-09 $16.84 $17.00 51.9% 14.8% 36.8% 7.4% 51.7% 2.9% -0.7% 1.4M -39.7M -374.7K 0.06 63.24 N/A N/A 5,424 320 105,807 45,488 2023-10-10 $17.09 $17.00 50.8% 14.3% 35.3% 6.4% 49.1% 3.7% -1.0% 1.8M -45.1M -385.0K 0.29 59.40 N/A N/A 2,385 691 108,043 45,667 2023-10-11 $17.34 $17.00 49.4% 14.3% 34.9% 5.3% 48.3% 4.9% 0.5% 2.0M -51.5M -386.1K 0.23 62.61 N/A N/A 1,639 384 109,109 45,893 2023-10-12 $16.84 $17.00 49.4% 14.5% 34.9% 5.2% 48.6% 2.2% 1.9% 1.8M -39.8M -371.9K 0.26 60.51 N/A N/A 2,815 719 110,264 46,037 2023-10-13 $16.44 $17.00 51.2% 14.9% 35.1% 6.8% 50.8% 2.9% 1.4% 1.2M -30.5M -356.9K 0.76 62.54 N/A N/A 906 684 112,057 46,473 2023-10-16 $17.38 $17.00 50.3% 14.4% 39.9% 6.0% 48.6% 3.4% -0.8% 1.8M -50.3M -378.2K 0.23 63.16 N/A N/A 2,538 589 109,975 46,325 2023-10-17 $17.52 $17.00 53.8% 15.4% 39.9% 9.0% 53.9% 0.8% 0.2% 2.1M -56.3M -386.0K 0.25 67.82 N/A N/A 16,512 4,160 111,833 46,521 2023-10-18 $16.87 $17.00 55.4% 15.9% 42.4% 10.4% 55.0% 3.0% -1.3% 1.8M -45.1M -413.2K 1.19 65.28 N/A N/A 1,226 1,455 124,478 49,816 2023-10-19 $16.66 $17.00 54.6% 15.6% 39.8% 9.6% 54.8% 3.6% 0.7% 1.7M -38.6M -403.9K 0.95 67.79 N/A N/A 1,040 992 124,668 49,543 2023-10-20 $16.02 $17.00 57.2% 16.2% 42.4% 11.9% 56.9% 2.2% 3.9% 910.0K -25.0M -376.4K 0.45 67.93 N/A N/A 1,782 807 124,767 49,346 2023-10-23 $16.05 $17.00 56.2% 16.3% 42.3% 11.1% 58.1% 3.2% 0.1% 960.7K -24.8M -370.3K 0.19 58.84 N/A N/A 2,887 552 110,151 46,575 2023-10-24 $16.31 $17.00 53.9% 16.0% 42.5% 9.0% 55.3% 5.4% 1.2% 1.1M -30.4M -379.9K 0.17 55.99 N/A N/A 2,605 444 111,075 46,761 2023-10-25 $15.41 $17.00 56.5% 17.1% 46.8% 11.3% 59.8% 4.3% 3.8% 814.2K -16.9M -356.3K 1.35 57.79 N/A N/A 1,751 2,359 112,724 47,095 2023-10-26 $15.29 $17.00 56.8% 16.6% 46.7% 11.5% 59.3% 3.8% 3.2% 747.8K -14.6M -350.6K 0.48 59.87 N/A N/A 1,128 542 112,407 48,442 2023-10-27 $15.30 $17.00 57.3% 17.0% 44.5% 12.0% 60.2% 3.4% 2.3% 765.9K -15.0M -347.6K 0.49 59.71 N/A N/A 529 261 113,078 48,007 2023-10-30 $15.32 $17.00 56.1% 16.7% 44.6% 10.9% 59.8% 6.6% 9.4% 740.3K -15.1M -334.5K 0.21 64.02 N/A N/A 2,013 416 110,785 46,742 2023-10-31 $15.66 $17.00 55.5% 16.2% 43.8% 10.4% 54.1% 3.1% 9.3% 889.1K -20.1M -342.2K 0.41 63.62 N/A N/A 580 236 111,811 46,823
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