S Options History — November 2023

In November 2023, S traded between $15.21 and $18.98. ATM implied volatility averaged 63.3%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 16.5% (HV 20d: 46.8%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2023-11-06: Highest Volume — 20,758 contracts
  • 2023-11-06: Largest IV spike — 20.4% change
  • 2023-11-06: Highest IV Rank — 23.0%
  • 2023-11-29: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.79$15.21$18.98$15.57$18.98
Max Pain$16.48$16.00$17.00$17.00$17.00
ATM IV63.3%54.8%70.2%54.8%58.3%
Expected Move19.0%16.5%20.8%16.5%20.6%
HV 20d46.8%42.2%52.0%42.2%47.2%
HV 60d47.0%42.7%52.1%50.0%43.5%
IV Rank17.0%9.8%23.0%9.8%12.8%
IV Percentile41.0%15.9%54.8%15.9%29.8%
Term Structure-1.6%-8.8%13.2%12.0%-2.7%
VWIV66.1%54.8%74.1%54.8%70.5%
Skew 25d4.7%0.5%14.3%10.2%3.5%
Skew 10d9.5%3.8%19.3%12.3%10.1%
Call IV 25d61.1%49.1%68.1%49.1%57.0%
Put IV 25d65.8%53.7%73.6%59.3%60.6%
Bid-Ask Spread %48.3841.4067.3067.3041.40
Gamma HHI0.120.100.160.110.14
Net GEX1.2M490.5K2.3M824.3K2.3M
Net DEX-42.4M-92.3M-13.1M-17.2M-92.3M
Net VEX-384.2K-486.9K-322.2K-334.8K-486.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.022.970.120.77
Total Volume5,095.28693320,7581,8735,014
Total OI161,122.571148,160171,708159,163170,341

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$15.57$17.0054.8%16.5%42.2%9.8%54.8%10.2%12.0%824.3K-17.2M-334.8K0.1267.30N/AN/A1,672201112,19246,971
2023-11-02$15.21$16.0056.3%18.1%42.5%11.1%62.6%3.6%13.2%672.7K-13.1M-322.2K0.1154.10N/AN/A6,302669112,57746,673
2023-11-03$16.09$16.0058.3%18.0%45.8%12.8%62.6%0.5%12.2%1.1M-28.9M-346.4K0.2249.22N/AN/A3,446764110,37446,745
2023-11-06$15.48$16.0070.2%19.2%47.6%23.0%65.6%3.5%-3.2%663.3K-16.5M-324.0K0.0350.08N/AN/A20,140618109,03046,340
2023-11-07$15.93$16.0068.1%19.2%48.5%21.1%66.7%6.4%-3.4%846.0K-26.4M-367.9K0.4450.85N/AN/A1,746766113,32146,728
2023-11-08$15.59$16.0068.8%18.7%48.4%21.8%65.2%4.9%-3.5%644.9K-20.4M-354.9K2.1349.69N/AN/A6001,277114,13447,081
2023-11-09$15.32$16.0068.6%18.8%47.9%21.6%64.6%5.1%-3.9%490.5K-15.5M-342.8K0.6847.77N/AN/A555378114,45146,921
2023-11-10$15.66$16.0067.2%18.3%48.2%20.3%64.1%4.9%-5.8%532.7K-19.7M-346.3K0.1546.91N/AN/A1,068161114,72047,185
2023-11-13$15.98$16.0066.6%18.8%44.0%19.8%65.2%4.0%-4.0%705.3K-25.8M-349.3K0.1646.38N/AN/A3,783622112,36746,331
2023-11-14$17.21$16.0066.0%18.9%52.0%19.4%65.3%6.3%-5.3%1.4M-49.7M-377.1K0.2953.32N/AN/A3,174913113,72746,711
2023-11-15$17.24$16.0066.1%18.9%50.1%19.4%64.4%3.6%-5.8%1.6M-51.4M-376.4K2.9751.77N/AN/A2,1646,419114,62047,137
2023-11-16$16.81$16.0064.3%18.7%50.8%18.0%65.2%4.0%-5.1%1.1M-39.8M-374.3K1.2453.29N/AN/A1,8732,315116,27652,913
2023-11-17$17.11$17.0063.2%18.6%48.8%17.0%65.7%4.5%-6.1%901.5K-46.8M-384.9K0.2943.91N/AN/A1,884549117,07854,630
2023-11-20$17.32$17.0062.0%18.9%48.9%16.0%65.9%5.1%-2.7%1.3M-46.8M-376.6K0.2642.70N/AN/A3,198830100,41347,747
2023-11-21$17.29$17.0064.5%18.9%48.8%18.0%66.4%14.3%-8.8%1.4M-46.5M-378.1K0.2344.37N/AN/A3,723839103,06348,280
2023-11-22$17.44$17.0062.6%18.8%43.4%16.5%66.8%2.2%-3.4%1.6M-52.0M-388.1K0.0246.15N/AN/A12,592304106,16948,833
2023-11-24$17.77$17.0061.0%19.6%43.3%15.1%68.6%2.1%-1.8%1.9M-65.2M-450.2K0.2046.29N/AN/A1,294259115,64148,899
2023-11-27$17.87$17.0062.5%20.7%43.2%16.4%74.1%4.5%-1.5%1.7M-63.6M-456.0K0.3741.58N/AN/A2,020742115,42448,224
2023-11-28$17.77$17.0059.7%20.4%43.4%14.0%70.4%3.1%-0.7%1.7M-61.6M-449.9K0.1442.99N/AN/A3,665519116,25449,170
2023-11-29$18.93$17.0059.4%20.8%47.5%13.7%72.8%3.0%-3.1%2.2M-91.9M-481.7K0.1945.87N/AN/A6,6521,291118,49049,393
2023-11-30$18.98$17.0058.3%20.6%47.2%12.8%70.5%3.5%-2.7%2.3M-92.3M-486.9K0.7741.40N/AN/A2,8352,179120,15650,185