S Options History — November 2024

In November 2024, S traded between $25.69 and $28.51. ATM implied volatility averaged 62.5%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded above realized volatility by 26.9% (HV 20d: 35.6%). 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 1 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2024-11-27: Highest Volume — 31,338 contracts
  • 2024-11-04: Largest IV spike — 12.5% change
  • 2024-11-26: Highest IV Rank — 55.8%
  • 2024-11-29: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.30$25.69$28.51$25.95$28.08
Max Pain$23.75$22.00$25.00$22.00$25.00
ATM IV62.5%52.4%68.2%52.4%65.7%
Expected Move17.9%13.6%21.7%13.6%21.7%
HV 20d35.6%28.9%38.7%35.8%37.9%
HV 60d36.2%34.7%38.0%35.0%36.7%
IV Rank45.1%26.5%55.8%26.5%51.2%
IV Percentile74.3%63.9%85.3%63.9%79.0%
Term Structure-2.1%-5.1%13.2%13.2%-4.3%
VWIV62.4%48.3%75.8%48.3%75.8%
Skew 25d1.8%-1.4%4.2%3.0%-1.4%
Skew 10d3.0%-2.0%21.3%5.1%0.0%
Call IV 25d62.2%45.2%68.3%45.2%68.2%
Put IV 25d63.9%48.2%68.5%48.2%66.8%
Bid-Ask Spread %36.4728.0345.5842.8732.33
Gamma HHI0.100.070.140.110.07
Net GEX4.8M3.0M6.6M4.3M4.1M
Net DEX-190.3M-234.0M-138.9M-165.9M-190.8M
Net VEX-780.6K-816.1K-742.3K-815.0K-816.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.100.670.570.24
Total Volume7,706.31,02831,3383,98013,887
Total OI217,940.2193,896234,613227,765232,625

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$25.95$22.0052.4%13.6%35.8%26.5%48.3%3.0%13.2%4.3M-165.9M-815.0K0.5742.87N/AN/A2,5411,439161,77565,990
2024-11-04$25.69$23.0058.9%16.8%33.7%38.6%58.2%2.8%-1.6%4.2M-156.8M-793.1K0.3234.47N/AN/A1,297418158,46565,411
2024-11-05$25.70$23.0060.5%16.8%28.9%41.4%57.9%3.6%-0.9%4.3M-157.5M-792.3K0.2037.12N/AN/A856172159,03665,522
2024-11-06$27.23$23.0060.3%16.0%33.8%41.1%56.0%3.3%-2.0%5.8M-209.4M-802.0K0.1740.02N/AN/A4,718803159,24965,613
2024-11-07$27.84$23.0059.5%15.9%34.0%39.7%55.6%3.3%-2.1%6.2M-234.0M-804.6K0.1639.81N/AN/A7,2621,135160,81365,961
2024-11-08$27.50$23.0059.2%15.9%34.5%39.0%55.2%2.0%-0.1%6.2M-221.4M-786.6K0.2740.46N/AN/A2,836766162,69266,461
2024-11-11$27.30$23.0061.3%16.6%33.6%42.9%57.7%2.9%-2.1%5.4M-209.8M-769.3K0.1542.47N/AN/A6,8891,014157,94964,854
2024-11-12$27.77$23.0062.5%16.8%32.5%45.1%58.8%3.1%-3.3%6.0M-226.0M-770.0K0.2039.15N/AN/A3,079627161,25865,271
2024-11-13$27.88$23.0060.2%16.5%32.5%41.0%57.9%1.3%-2.7%6.2M-231.4M-775.4K0.2943.75N/AN/A7,6582,187161,40165,480
2024-11-14$27.33$24.0060.3%16.6%33.6%41.1%57.9%0.4%-3.2%6.6M-210.7M-759.3K0.1743.85N/AN/A5,707991164,98367,108
2024-11-15$26.13$24.0062.2%17.4%36.9%44.6%59.9%2.4%-2.2%3.5M-162.8M-746.1K0.3545.58N/AN/A4,3801,514166,68367,930
2024-11-18$26.43$24.0062.5%17.7%37.1%45.3%62.7%4.2%-3.8%3.0M-138.9M-742.3K0.6029.00N/AN/A3,7762,269135,32958,567
2024-11-19$27.50$24.0063.3%18.0%38.1%46.7%62.5%2.2%-0.4%3.8M-169.4M-760.2K0.2729.92N/AN/A5,6561,508137,30860,399
2024-11-20$27.09$24.0066.3%19.0%37.1%52.2%66.6%0.2%-4.7%3.8M-161.6M-770.1K0.1932.39N/AN/A3,059573141,59060,887
2024-11-21$28.10$24.0065.8%19.1%37.5%51.3%66.7%0.5%-4.9%5.2M-193.3M-786.4K0.1033.18N/AN/A9,417898143,02461,345
2024-11-22$28.51$25.0065.6%19.3%37.5%50.9%67.4%-0.4%-5.1%5.4M-211.1M-793.8K0.1634.52N/AN/A5,000787145,42162,026
2024-11-25$27.78$25.0067.7%20.8%38.7%54.7%73.3%0.8%-3.7%3.6M-178.8M-779.6K0.2428.03N/AN/A9,8532,333139,93761,344
2024-11-26$27.95$25.0068.2%21.3%38.6%55.8%74.3%1.2%-4.3%4.2M-185.9M-778.6K0.1631.27N/AN/A4,718765146,34462,787
2024-11-27$28.20$25.0066.8%21.4%38.7%53.2%74.6%0.2%-4.1%4.4M-191.4M-770.2K0.6729.26N/AN/A18,81212,526147,05062,916
2024-11-29$28.08$25.0065.7%21.7%37.9%51.2%75.8%-1.4%-4.3%4.1M-190.8M-816.1K0.2432.33N/AN/A11,1822,705157,87574,750