S Options History — September 2024

In September 2024, S traded between $21.55 and $25.02. ATM implied volatility averaged 40.5%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 4.6% (HV 20d: 35.9%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2024-09-17: Highest Volume — 16,568 contracts
  • 2024-09-09: Largest IV drop — 4.4% change
  • 2024-09-06: Highest IV Rank — 8.6%
  • 2024-09-03: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.37$21.55$25.02$22.79$23.79
Max Pain$24.05$22.00$25.00$22.00$24.00
ATM IV40.5%38.2%42.8%41.8%39.2%
Expected Move11.7%10.8%12.5%12.5%11.8%
HV 20d35.9%29.8%40.1%33.7%36.3%
HV 60d47.1%45.8%49.0%46.9%45.9%
IV Rank4.4%0.1%8.6%6.9%2.1%
IV Percentile10.1%0.4%17.9%13.5%6.7%
Term Structure-0.1%-1.5%3.0%-0.1%3.0%
VWIV40.9%38.1%44.2%43.2%40.8%
Skew 25d1.8%0.5%4.3%1.1%1.1%
Skew 10d3.3%-16.1%20.5%1.9%2.8%
Call IV 25d39.9%37.2%42.2%42.1%39.4%
Put IV 25d41.7%39.0%44.7%43.1%40.6%
Bid-Ask Spread %39.7128.6447.5237.0837.21
Gamma HHI0.110.090.170.100.10
Net GEX2.9M1.5M5.1M2.7M2.8M
Net DEX-102.7M-166.2M-56.0M-90.2M-100.4M
Net VEX-734.0K-790.4K-668.1K-711.8K-733.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.032.290.560.03
Total Volume6,204.051,90216,5687,66115,481
Total OI219,030.2200,348238,989219,579203,932

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$22.79$22.0041.8%12.5%33.7%6.9%43.2%1.1%-0.1%2.7M-90.2M-711.8K0.5637.08N/AN/A4,8982,763159,81559,764
2024-09-04$23.18$22.0040.8%12.2%33.6%5.1%42.2%1.5%0.8%2.9M-100.0M-743.9K0.1147.52N/AN/A5,375617160,71261,242
2024-09-05$22.88$25.0041.4%11.8%34.2%6.2%41.6%1.6%-0.5%2.7M-90.8M-724.6K2.2944.22N/AN/A1,8674,272161,36761,425
2024-09-06$22.16$25.0042.8%12.3%35.0%8.6%41.7%2.5%0.6%1.9M-70.4M-707.8K1.3145.84N/AN/A4,1595,452161,68063,076
2024-09-09$21.77$25.0040.9%11.8%35.3%5.1%41.7%0.8%-0.5%1.7M-61.3M-686.4K0.4345.45N/AN/A2,278982153,35664,353
2024-09-10$21.55$25.0041.8%11.9%34.6%6.9%43.1%0.8%-0.6%1.5M-56.0M-668.1K0.4438.23N/AN/A2,4341,062154,11264,803
2024-09-11$21.81$25.0041.3%11.6%29.8%5.9%40.8%1.7%-1.1%1.7M-62.0M-681.2K0.2134.04N/AN/A4,177867155,74165,315
2024-09-12$22.23$24.0041.5%12.1%30.2%6.2%40.9%2.1%0.6%2.7M-77.5M-700.1K0.1638.50N/AN/A3,229525158,54965,420
2024-09-13$22.62$24.0040.1%11.6%30.3%3.7%44.2%1.7%-0.5%2.5M-85.2M-705.2K0.4147.14N/AN/A3,7211,511158,60365,539
2024-09-16$23.26$24.0041.4%11.8%31.8%6.0%41.3%1.6%-1.0%2.9M-101.2M-729.0K0.2135.34N/AN/A6,4871,376157,15266,282
2024-09-17$24.74$24.0042.4%12.1%38.3%7.9%41.5%2.4%-0.5%4.1M-150.0M-770.3K0.0728.64N/AN/A15,5561,012160,56566,820
2024-09-18$24.29$24.0041.2%11.8%38.5%5.7%41.2%1.6%-0.4%4.2M-138.0M-769.6K0.1435.93N/AN/A4,587664167,10067,193
2024-09-19$25.02$24.0040.2%11.6%39.7%3.9%41.1%0.5%-0.8%5.1M-166.2M-790.4K0.1435.61N/AN/A9,2271,270167,94167,511
2024-09-20$24.51$24.0038.5%11.1%40.1%0.7%39.1%2.3%-1.5%3.7M-145.1M-782.4K0.1941.60N/AN/A3,693701170,71668,273
2024-09-23$24.30$24.0039.5%11.5%39.4%2.6%39.7%2.6%0.1%3.2M-118.8M-760.1K0.7731.51N/AN/A2,0711,588142,77257,576
2024-09-24$24.24$24.0038.5%11.2%39.2%0.6%38.6%1.8%-0.1%3.2M-115.7M-749.6K1.3239.62N/AN/A1,4911,971143,63658,856
2024-09-25$24.21$24.0038.2%11.0%39.1%0.1%38.1%1.8%0.6%3.1M-112.9M-758.5K0.2844.61N/AN/A1,491411143,95061,632
2024-09-26$24.05$24.0038.4%10.8%39.1%0.5%38.3%2.8%0.4%3.0M-107.3M-754.1K0.2843.71N/AN/A1,734483144,76161,837
2024-09-27$24.02$24.0039.6%11.2%39.0%2.8%39.0%4.3%-0.2%2.9M-105.8M-753.3K0.2642.38N/AN/A2,067531145,40561,822
2024-09-30$23.79$24.0039.2%11.8%36.3%2.1%40.8%1.1%3.0%2.8M-100.4M-733.9K0.0337.21N/AN/A15,034447143,57560,357