S Options History — February 2024

In February 2024, S traded between $25.43 and $30.09. ATM implied volatility averaged 62.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 10.7% (HV 20d: 51.4%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2024-02-21: Highest Volume — 30,681 contracts
  • 2024-02-12: Largest IV spike — 15.6% change
  • 2024-02-21: Highest IV Rank — 30.1%
  • 2024-02-28: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.30$25.43$30.09$27.38$28.13
Max Pain$23.35$23.00$25.00$23.00$25.00
ATM IV62.1%46.3%76.9%46.9%76.2%
Expected Move20.0%16.2%26.9%16.2%26.9%
HV 20d51.4%41.9%66.6%44.5%60.8%
HV 60d56.4%52.5%61.7%55.4%60.4%
IV Rank17.7%4.5%30.1%5.0%29.5%
IV Percentile57.1%15.9%88.5%17.1%88.5%
Term Structure1.1%-7.9%10.4%-0.3%-5.9%
VWIV70.0%56.6%95.9%56.6%94.8%
Skew 25d1.0%-3.6%6.7%1.3%-3.6%
Skew 10d3.6%-4.8%7.3%4.8%-0.4%
Call IV 25d62.2%45.3%80.2%46.5%80.2%
Put IV 25d63.1%47.5%78.1%47.8%76.7%
Bid-Ask Spread %44.1938.2851.4846.2338.28
Gamma HHI0.090.070.140.120.11
Net GEX3.0M1.4M4.5M3.1M4.5M
Net DEX-190.2M-242.8M-116.4M-169.8M-190.8M
Net VEX-756.7K-875.6K-682.5K-690.3K-875.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.071.630.420.35
Total Volume12,742.14,96930,68110,2728,730
Total OI171,775.35152,273214,370154,453214,370

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$27.38$23.0046.9%16.2%44.5%5.0%56.6%1.3%-0.3%3.1M-169.8M-690.3K0.4246.23N/AN/A7,2253,047109,18545,268
2024-02-02$27.62$23.0046.3%16.4%43.8%4.5%57.6%2.2%0.1%1.4M-174.2M-682.5K0.4851.48N/AN/A9,7684,676107,83745,963
2024-02-05$27.66$23.0048.9%16.8%43.9%6.7%58.6%1.9%9.9%2.7M-173.2M-722.7K0.4248.10N/AN/A3,6121,510107,63944,634
2024-02-06$27.36$23.0048.3%16.5%44.0%6.2%57.8%2.2%10.0%2.9M-167.2M-716.1K0.1347.02N/AN/A4,384585109,49745,395
2024-02-07$28.32$23.0047.8%16.5%44.9%5.8%57.6%1.1%9.5%3.3M-191.8M-714.1K0.3342.03N/AN/A7,0642,323109,79045,616
2024-02-08$28.98$23.0050.2%16.8%44.9%7.8%59.4%0.5%10.4%3.7M-211.3M-715.0K0.2144.83N/AN/A12,5612,690111,90946,300
2024-02-09$29.73$23.0051.5%16.6%45.0%8.9%58.4%-0.8%10.1%3.2M-231.5M-697.7K0.2148.99N/AN/A17,2713,609113,17348,464
2024-02-12$29.80$23.0059.6%17.8%43.7%15.6%62.1%1.9%1.5%2.7M-224.2M-703.7K0.1247.25N/AN/A14,2811,784114,11049,589
2024-02-13$28.81$23.0063.5%18.6%45.0%18.9%64.9%1.8%0.5%2.6M-202.0M-742.8K0.2646.91N/AN/A7,5041,961119,89350,812
2024-02-14$30.09$23.0065.5%18.8%46.2%20.6%65.5%2.2%-0.3%3.3M-240.3M-744.2K0.1744.66N/AN/A14,8382,473122,02051,287
2024-02-15$29.96$23.0066.6%19.2%46.4%21.5%67.6%1.0%-1.1%3.5M-242.8M-781.1K1.6344.83N/AN/A3,6836,011128,74053,046
2024-02-16$29.59$23.0067.3%19.6%46.8%22.1%68.7%0.1%-3.1%2.8M-230.2M-789.9K0.2248.57N/AN/A8,1941,795129,46358,209
2024-02-20$29.07$23.0069.5%21.0%41.9%23.9%73.2%1.2%-2.9%2.5M-192.9M-769.2K0.5141.69N/AN/A4,0522,072115,45748,221
2024-02-21$25.43$23.0076.9%23.5%64.6%30.1%81.5%1.4%-3.5%1.9M-116.4M-723.8K0.3039.88N/AN/A23,5257,156117,60749,828
2024-02-22$26.29$24.0072.4%22.3%65.2%26.3%78.0%0.7%-2.9%2.1M-124.5M-743.1K0.2339.33N/AN/A8,4001,903119,76552,810
2024-02-23$27.24$24.0068.3%21.5%66.3%22.9%75.4%0.3%-3.9%3.7M-157.9M-810.2K0.6441.48N/AN/A4,3632,787134,75153,711
2024-02-26$28.05$24.0069.2%23.4%66.6%23.6%81.2%1.3%7.4%2.9M-179.2M-824.8K0.0741.25N/AN/A10,744787128,58952,302
2024-02-27$28.45$24.0070.9%24.9%62.1%25.1%85.1%6.7%-4.9%3.6M-192.5M-843.2K0.1141.40N/AN/A7,994913134,47652,850
2024-02-28$28.13$24.0075.8%26.9%61.8%29.2%95.9%-3.5%-7.9%3.7M-190.4M-843.4K0.5139.51N/AN/A18,9029,665139,48453,447
2024-02-29$28.13$25.0076.2%26.9%60.8%29.5%94.8%-3.6%-5.9%4.5M-190.8M-875.6K0.3538.28N/AN/A6,4612,269152,61961,751