S Options History — June 2024

In June 2024, S traded between $17.13 and $20.96. ATM implied volatility averaged 39.1%, placing in the 0.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 22.8% (HV 20d: 61.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.32.

Notable Days

  • 2024-06-27: Highest Volume — 16,321 contracts
  • 2024-06-28: Largest IV drop — 3.9% change
  • 2024-06-20: Highest IV Rank — 3.0%
  • 2024-06-03: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.30$17.13$20.96$17.13$20.96
Max Pain$20.66$20.00$21.00$21.00$20.00
ATM IV39.1%38.1%40.4%40.4%38.1%
Expected Move11.4%10.7%12.5%12.5%11.0%
HV 20d61.9%60.1%68.7%61.5%63.0%
HV 60d49.0%44.1%60.3%60.3%47.5%
IV Rank0.9%0.0%3.0%0.0%0.0%
IV Percentile1.3%0.0%5.6%0.0%0.0%
Term Structure0.6%-1.4%3.7%-0.1%-1.4%
VWIV40.6%37.5%45.0%44.3%38.9%
Skew 25d-0.0%-2.5%2.5%1.7%0.6%
Skew 10d0.2%-2.9%5.2%3.3%-1.1%
Call IV 25d39.9%37.9%42.0%40.2%37.9%
Put IV 25d39.8%38.5%41.9%41.9%38.5%
Bid-Ask Spread %58.4238.8267.2251.4659.87
Gamma HHI0.100.070.180.100.11
Net GEX907.4K91.7K2.8M91.7K2.8M
Net DEX-28.0M-98.8M11.8M11.8M-98.8M
Net VEX-587.5K-698.5K-509.2K-509.2K-697.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.051.400.280.20
Total Volume6,855.9472,19416,3219,9084,636
Total OI202,073.263171,726214,592199,435192,908

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$17.13$21.0040.4%12.5%61.5%0.0%44.3%1.7%-0.1%91.7K11.8M-509.2K0.2851.46N/AN/A7,7522,156135,16464,271
2024-06-04$17.38$20.5039.5%11.9%61.2%0.0%45.0%-0.6%-0.0%338.1K3.6M-527.2K0.3741.14N/AN/A6,1232,276140,51563,557
2024-06-05$17.26$20.0038.8%11.7%61.1%0.0%41.6%0.6%0.4%508.5K2.7M-520.2K0.2438.82N/AN/A9,0042,172143,51864,404
2024-06-06$17.27$21.0039.5%11.8%60.8%1.2%41.6%-1.0%0.4%608.3K180.3K-531.3K0.1755.47N/AN/A9,3801,594145,48064,395
2024-06-07$17.21$21.0039.4%11.5%60.4%1.0%40.1%0.9%0.1%649.5K-5.2M-567.9K0.3167.22N/AN/A4,8091,497150,19264,400
2024-06-10$17.73$21.0039.6%11.6%62.0%1.4%41.5%-0.1%0.9%611.2K-15.5M-571.0K0.1561.64N/AN/A6,455994145,74061,820
2024-06-11$17.49$21.0039.1%11.9%61.1%0.6%40.7%0.4%1.7%695.7K-12.1M-564.2K0.2166.56N/AN/A1,833382149,04762,301
2024-06-12$18.11$20.0038.5%11.2%63.1%0.0%40.1%-1.0%0.2%1.1M-26.5M-589.1K0.1263.91N/AN/A8,9161,083149,83862,246
2024-06-13$18.38$21.0038.3%11.6%61.7%0.0%41.0%0.6%2.7%1.1M-33.0M-612.2K1.4061.56N/AN/A1,5762,207150,76662,432
2024-06-14$18.48$21.0039.7%11.7%61.8%2.2%41.3%-0.1%3.7%1.0M-36.4M-612.0K0.1362.93N/AN/A2,615344151,33862,594
2024-06-17$18.41$21.0039.6%11.5%61.8%2.0%40.6%-2.5%0.8%764.0K-28.6M-597.0K1.1154.92N/AN/A2,6902,975146,15161,076
2024-06-18$18.19$21.0039.3%11.3%60.2%1.6%40.3%-1.0%1.2%582.7K-22.7M-585.3K0.0665.51N/AN/A2,071123146,71262,488
2024-06-20$17.96$21.0040.2%11.5%60.1%3.0%40.9%-0.5%0.2%280.1K-18.3M-575.4K0.6165.63N/AN/A1,520920147,69262,539
2024-06-21$18.16$21.0038.9%11.0%60.6%0.9%39.2%2.5%1.3%125.9K-24.1M-573.1K0.2365.53N/AN/A3,275766148,45762,576
2024-06-24$18.81$21.0038.3%10.8%62.5%0.0%39.0%0.8%1.0%1.2M-39.7M-594.9K0.1252.46N/AN/A4,254490119,11152,615
2024-06-25$18.88$20.0038.3%10.7%62.6%0.0%38.2%-0.0%-0.0%1.3M-42.8M-602.6K0.2058.26N/AN/A11,6332,346121,17752,747
2024-06-26$19.18$20.0038.5%10.7%61.9%0.3%37.5%0.2%-0.0%1.6M-52.4M-635.0K0.0560.53N/AN/A2,942133128,51154,486
2024-06-27$20.77$20.0039.6%11.5%68.7%2.1%40.2%-1.6%-1.0%1.9M-93.8M-698.5K0.0856.50N/AN/A15,0751,246131,63154,497
2024-06-28$20.96$20.0038.1%11.0%63.0%0.0%38.9%0.6%-1.4%2.8M-98.8M-697.1K0.2059.87N/AN/A3,875761137,72555,183