S Options History — March 2024

In March 2024, S traded between $21.88 and $27.89. ATM implied volatility averaged 62.9%, placing in the 19.5% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 14.4% (HV 20d: 77.3%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2024-03-13: Highest Volume — 83,624 contracts
  • 2024-03-14: Largest IV drop — 46.4% change
  • 2024-03-05: Highest IV Rank — 42.7%
  • 2024-03-01: Largest Expected Move — 28.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.76$21.88$27.89$27.77$23.18
Max Pain$24.85$23.00$27.00$25.00$23.00
ATM IV62.9%41.8%92.1%76.0%41.9%
Expected Move17.1%11.3%28.5%28.5%11.3%
HV 20d77.3%60.6%96.4%60.6%82.7%
HV 60d61.4%52.8%67.4%60.4%66.0%
IV Rank19.5%1.5%42.7%29.3%1.7%
IV Percentile46.9%0.8%98.4%88.1%1.2%
Term Structure-2.3%-8.3%1.9%-6.9%1.9%
VWIV60.2%39.9%98.9%98.9%39.9%
Skew 25d-2.4%-12.6%1.0%-12.6%0.2%
Skew 10d-3.8%-15.9%1.9%-0.8%1.9%
Call IV 25d64.5%41.8%91.1%90.7%42.5%
Put IV 25d62.2%42.6%90.0%78.1%42.6%
Bid-Ask Spread %26.296.0645.8535.9744.54
Gamma HHI0.090.070.250.090.08
Net GEX2.3M-363.3K3.9M2.7M2.1M
Net DEX-109.5M-210.3M-125.2K-172.4M-85.2M
Net VEX-867.7K-974.5K-780.1K-863.6K-863.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.121.590.630.31
Total Volume20,485.53,63683,62412,0185,462
Total OI233,762.45205,720306,355219,473219,111

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$27.77$25.0076.0%28.5%60.6%29.3%98.9%-12.6%-6.9%2.7M-172.4M-863.6K0.6335.97N/AN/A7,3884,630156,30563,168
2024-03-04$27.12$25.0082.6%20.6%61.1%34.8%72.2%-3.7%-6.0%2.5M-159.9M-847.4K0.566.06N/AN/A6,4183,608143,88361,837
2024-03-05$25.44$25.0092.1%22.8%65.1%42.7%79.3%-1.0%-6.0%1.9M-116.9M-829.9K0.6610.82N/AN/A14,3969,564146,07263,492
2024-03-06$26.66$25.0085.7%21.2%67.5%37.4%74.5%-4.0%1.4%3.1M-157.3M-879.1K0.377.49N/AN/A15,8635,920155,23468,116
2024-03-07$27.11$26.0087.1%21.9%66.5%38.5%77.5%-2.9%-7.7%3.9M-181.1M-937.3K0.416.54N/AN/A6,8972,834166,44269,878
2024-03-08$27.56$26.0082.3%21.0%66.2%34.6%74.3%-2.7%-6.3%3.2M-191.8M-938.9K0.1610.92N/AN/A19,3913,044165,81071,945
2024-03-11$26.81$27.0090.0%23.0%65.9%40.9%81.0%-5.1%-8.3%3.1M-170.4M-933.0K0.328.04N/AN/A12,7164,009161,15166,073
2024-03-12$27.89$27.0084.9%22.3%67.8%36.7%77.8%-2.7%-5.5%3.7M-206.7M-961.6K0.408.70N/AN/A12,8585,197168,98068,382
2024-03-13$27.86$27.0091.4%23.9%66.8%42.1%83.3%-4.6%-6.7%3.7M-210.3M-974.5K0.467.64N/AN/A57,28426,340174,59771,599
2024-03-14$23.13$27.0049.0%14.1%91.4%6.8%49.6%-1.2%0.7%441.4K-20.2M-783.0K0.6725.37N/AN/A48,03632,293206,97691,376
2024-03-15$21.88$25.0046.2%13.2%92.5%8.9%47.1%-0.6%-1.0%-363.3K-125.2K-780.1K1.0432.68N/AN/A12,23112,716208,45597,900
2024-03-18$23.24$24.0045.7%13.2%96.4%8.0%45.6%-0.7%0.1%1.5M-65.2M-847.8K0.1236.13N/AN/A15,8071,938154,13467,366
2024-03-19$22.77$24.0044.4%12.8%96.4%5.9%45.0%-0.4%-0.6%1.8M-55.9M-833.6K0.3340.27N/AN/A7,4032,414162,52368,026
2024-03-20$23.24$24.0043.1%12.4%85.6%3.7%43.8%-0.8%0.9%2.2M-69.6M-860.2K0.1734.43N/AN/A6,0131,040165,06568,774
2024-03-21$23.26$24.0042.8%12.2%84.4%3.3%43.3%-1.6%0.6%2.7M-71.4M-855.1K0.3640.97N/AN/A10,0183,624168,47468,862
2024-03-22$22.87$23.5041.8%11.8%83.1%1.5%42.2%1.0%1.2%2.0M-58.6M-839.6K0.2743.88N/AN/A11,1693,018169,48171,393
2024-03-25$22.56$23.5044.4%12.5%81.8%5.9%45.1%-2.3%0.6%1.9M-69.0M-844.3K1.5938.98N/AN/A3,1895,057146,59364,445
2024-03-26$22.31$23.0042.9%12.0%81.3%3.4%43.0%-1.3%1.3%1.4M-60.4M-837.6K0.9140.46N/AN/A3,2982,991147,78068,415
2024-03-27$22.63$23.0042.8%11.7%81.8%3.2%40.9%0.1%0.9%1.8M-67.8M-843.9K0.5745.85N/AN/A2,3181,318149,13867,998
2024-03-28$23.18$23.0041.9%11.3%82.7%1.7%39.9%0.2%1.9%2.1M-85.2M-863.9K0.3144.54N/AN/A4,1741,288150,41468,697