S Options History — December 2023

In December 2023, S traded between $19.73 and $27.84. ATM implied volatility averaged 47.3%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 12.8% (HV 20d: 60.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2023-12-06: Highest Volume — 58,006 contracts
  • 2023-12-06: Largest IV drop — 37.2% change
  • 2023-12-05: Highest IV Rank — 28.4%
  • 2023-12-01: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.28$19.73$27.84$19.73$27.43
Max Pain$16.85$15.00$17.50$17.00$17.50
ATM IV47.3%40.9%76.7%60.5%40.9%
Expected Move13.5%10.9%22.1%22.1%10.9%
HV 20d60.1%41.0%66.7%46.6%62.5%
HV 60d51.7%43.1%53.6%43.9%52.5%
IV Rank4.0%0.0%28.4%14.6%0.0%
IV Percentile10.0%0.0%78.2%37.3%0.0%
Term Structure0.0%-5.0%2.9%-4.0%1.1%
VWIV47.5%39.5%76.6%76.6%39.5%
Skew 25d1.3%-1.1%8.1%4.7%-0.0%
Skew 10d4.1%-10.7%19.7%6.4%0.9%
Call IV 25d46.7%40.1%72.3%57.9%41.1%
Put IV 25d48.1%41.1%76.6%62.6%41.1%
Bid-Ask Spread %49.1124.1263.6025.0456.83
Gamma HHI0.120.090.300.150.09
Net GEX3.4M2.1M6.4M2.2M3.5M
Net DEX-242.2M-289.3M-112.8M-112.8M-263.5M
Net VEX-774.2K-861.2K-517.7K-517.7K-850.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.080.560.310.56
Total Volume16,655.23,42958,00622,9905,138
Total OI201,982.35173,999237,596173,999195,498

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$19.73$17.0060.5%22.1%46.6%14.6%76.6%4.7%-4.0%2.2M-112.8M-517.7K0.3125.04N/AN/A17,6085,382122,02651,973
2023-12-04$20.23$15.0065.7%17.2%44.0%19.1%60.4%0.9%-2.6%2.3M-126.3M-586.7K0.1763.60N/AN/A21,2093,508129,73950,529
2023-12-05$19.96$15.0076.7%19.3%41.0%28.4%66.5%4.3%-5.0%2.1M-120.6M-615.0K0.5161.44N/AN/A35,57117,986134,64953,501
2023-12-06$23.45$16.0048.2%13.1%66.7%4.2%46.0%8.1%-1.7%5.2M-247.1M-648.0K0.2527.60N/AN/A46,26211,744161,01569,656
2023-12-07$23.41$16.0042.6%12.7%65.5%0.0%44.3%3.0%2.9%6.4M-233.4M-643.3K0.1455.47N/AN/A26,9973,705162,44771,690
2023-12-08$24.19$16.0044.6%13.0%64.0%1.7%46.7%-0.3%1.4%3.6M-277.6M-683.2K0.0855.58N/AN/A35,2852,859165,79371,803
2023-12-11$24.45$16.0043.4%13.0%64.2%0.7%44.9%0.9%1.9%3.2M-238.7M-816.5K0.2354.86N/AN/A5,9871,364152,45659,464
2023-12-12$25.48$16.0044.0%12.7%64.5%1.2%44.1%-0.2%-0.2%3.4M-267.3M-815.3K0.1950.83N/AN/A15,5263,022154,03660,228
2023-12-13$25.96$17.5042.8%12.5%61.7%0.2%43.8%-0.2%0.8%3.6M-278.2M-824.5K0.2650.24N/AN/A6,6171,696156,23361,331
2023-12-14$25.63$17.5042.5%12.3%62.5%0.0%43.7%0.8%0.2%3.7M-269.7M-829.3K0.4146.74N/AN/A6,9882,875156,90162,123
2023-12-15$26.39$17.5044.5%12.6%60.2%1.7%45.9%-1.1%-1.3%3.9M-289.3M-846.6K0.3050.64N/AN/A9,2962,750157,76563,671
2023-12-18$26.86$17.5044.6%12.7%60.2%1.8%44.7%1.2%0.3%2.9M-253.6M-843.7K0.2146.33N/AN/A3,742776139,61544,980
2023-12-19$27.45$17.5044.2%12.7%60.1%1.5%44.0%0.4%0.2%2.9M-268.3M-848.4K0.4349.24N/AN/A3,9961,714140,80145,455
2023-12-20$26.49$17.5044.9%12.9%63.1%2.0%45.0%0.2%1.0%2.9M-244.8M-851.3K0.1424.12N/AN/A9,2011,247142,10246,662
2023-12-21$27.49$17.5043.8%12.5%63.1%1.1%43.6%1.4%1.0%3.0M-268.8M-855.8K0.3845.24N/AN/A2,488941142,57347,499
2023-12-22$27.70$17.5043.1%12.1%63.3%0.5%43.5%0.9%2.4%3.0M-274.2M-861.2K0.5051.99N/AN/A4,3092,150143,64348,116
2023-12-26$27.84$17.5044.0%12.3%63.3%1.3%43.3%-0.2%0.2%2.9M-270.2M-848.5K0.2453.33N/AN/A3,457845141,62047,701
2023-12-27$27.74$17.5042.8%12.1%63.2%0.3%42.5%0.9%1.0%3.1M-268.5M-852.6K0.3055.17N/AN/A3,139936143,12248,250
2023-12-28$27.80$17.5041.5%11.5%61.7%0.0%40.6%1.3%1.0%3.2M-271.4M-846.5K0.1857.99N/AN/A4,069719144,03348,948
2023-12-29$27.43$17.5040.9%10.9%62.5%0.0%39.5%-0.0%1.1%3.5M-263.5M-850.3K0.5656.83N/AN/A3,2961,842146,33749,161