S Options History — December 2024

In December 2024, S traded between $22.04 and $28.62. ATM implied volatility averaged 44.2%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 18.7% (HV 20d: 62.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2024-12-05: Highest Volume — 104,516 contracts
  • 2024-12-05: Largest IV drop — 38.4% change
  • 2024-12-04: Highest IV Rank — 52.7%
  • 2024-12-04: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.98$22.04$28.62$27.38$22.17
Max Pain$22.00$20.00$25.00$25.00$20.00
ATM IV44.2%38.5%66.6%66.6%40.4%
Expected Move13.4%11.1%25.2%23.1%11.6%
HV 20d62.9%39.1%69.3%39.3%67.0%
HV 60d47.3%36.2%50.4%36.4%49.7%
IV Rank11.3%0.7%52.7%52.7%4.2%
IV Percentile25.5%4.4%81.7%81.7%19.0%
Term Structure-0.6%-4.4%2.0%-3.9%-0.7%
VWIV47.4%38.5%88.1%80.8%41.5%
Skew 25d-0.4%-2.6%2.8%-0.8%-1.1%
Skew 10d-2.8%-16.9%8.1%-2.7%1.5%
Call IV 25d45.1%38.6%69.1%65.9%41.3%
Put IV 25d44.7%38.2%67.9%65.1%40.2%
Bid-Ask Spread %36.3112.1549.0222.8644.61
Gamma HHI0.100.070.130.090.10
Net GEX2.6M-244.1K4.9M3.7M1.8M
Net DEX-86.2M-223.4M-37.2M-173.1M-48.9M
Net VEX-712.8K-836.5K-636.4K-797.3K-636.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.120.920.290.46
Total Volume17,607.0951,607104,51612,9624,738
Total OI272,776.524233,222348,456238,109235,422

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$27.38$25.0066.6%23.1%39.3%52.7%80.8%-0.8%-3.9%3.7M-173.1M-797.3K0.2922.86N/AN/A10,0132,949163,61474,495
2024-12-03$27.62$25.0065.3%23.4%39.1%50.3%82.8%-2.6%-1.7%4.0M-182.7M-802.5K0.3025.50N/AN/A8,5652,571168,73076,080
2024-12-04$28.62$25.0066.6%25.2%40.6%52.7%88.1%-1.2%-3.2%4.7M-223.4M-836.5K0.4234.03N/AN/A59,82025,059174,09977,732
2024-12-05$24.79$20.0041.0%11.7%63.0%5.3%43.2%-0.8%-0.1%-244.1K-54.1M-669.3K0.4412.15N/AN/A72,37832,138215,21897,533
2024-12-06$25.76$22.0039.0%11.1%64.1%1.6%39.4%-1.2%0.1%3.2M-121.3M-790.0K0.2427.43N/AN/A20,4294,967249,25799,199
2024-12-09$24.59$22.0038.9%11.3%65.8%1.4%42.2%-2.5%0.7%2.9M-96.6M-747.1K0.3126.47N/AN/A17,6355,503203,63277,060
2024-12-10$23.48$22.0038.6%11.2%67.4%0.8%40.3%-2.2%0.3%2.3M-65.8M-701.8K0.2819.50N/AN/A11,4013,242207,61974,919
2024-12-11$23.72$22.0039.0%11.3%67.1%1.6%39.8%-2.5%0.7%2.7M-76.8M-722.3K0.2325.69N/AN/A10,6242,417212,40276,172
2024-12-12$23.84$22.0038.9%11.1%67.1%1.4%39.6%-0.6%0.0%2.9M-82.1M-727.3K0.2137.60N/AN/A6,0941,261218,31875,796
2024-12-13$23.96$22.0039.5%11.2%67.1%2.5%40.0%1.0%-0.7%4.9M-89.5M-728.1K0.1743.91N/AN/A5,111882221,95175,481
2024-12-16$24.09$22.0040.8%11.8%65.7%5.0%41.6%2.8%-1.1%3.7M-96.0M-721.7K0.1238.76N/AN/A5,861687206,64572,837
2024-12-17$23.98$22.0042.8%12.3%65.4%8.6%43.6%0.4%-4.4%4.1M-95.2M-723.1K0.9244.18N/AN/A2,5292,329212,84773,070
2024-12-18$22.04$22.0045.1%12.9%68.9%12.9%45.8%-0.9%-1.0%1.7M-37.2M-653.0K0.3249.02N/AN/A6,8042,168213,45674,323
2024-12-19$22.27$22.0044.7%12.8%69.3%12.1%45.2%-1.3%-0.6%1.8M-45.9M-665.6K0.7643.63N/AN/A5,8584,438216,40774,135
2024-12-20$22.30$22.0042.0%12.1%67.3%7.3%43.8%1.4%-1.3%1.6M-41.8M-679.3K0.4446.68N/AN/A6,3942,800220,15376,376
2024-12-23$22.39$22.0040.0%11.4%66.9%3.4%41.1%0.2%2.0%1.4M-49.1M-675.9K0.1242.28N/AN/A2,631320176,31666,844
2024-12-24$22.64$21.0040.0%11.1%67.2%3.4%39.2%0.7%0.3%1.7M-56.7M-680.7K0.1548.97N/AN/A1,402205178,40466,416
2024-12-26$22.97$21.0038.5%11.1%67.5%0.7%38.5%0.7%1.8%2.3M-66.5M-685.9K0.2646.93N/AN/A2,830737179,04766,272
2024-12-27$22.49$21.0040.4%11.5%67.2%4.2%39.3%0.8%0.2%2.3M-54.4M-667.1K0.2744.62N/AN/A4,3011,171180,09666,712
2024-12-30$22.42$20.0040.4%11.5%67.2%4.3%40.3%1.3%0.0%1.7M-53.5M-658.2K0.1837.69N/AN/A7,1751,312168,51964,703
2024-12-31$22.17$20.0040.4%11.6%67.0%4.2%41.5%-1.1%-0.7%1.8M-48.9M-636.4K0.4644.61N/AN/A3,2401,498170,60964,813