SELF Options History — November 2021 In November 2021, SELF traded between $5.06 and $5.40. ATM implied volatility averaged 47.2%. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 32.3% (HV 20d: 14.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2021-11-18 : Highest Volume — 97 contracts2021-11-19 : Largest IV spike — 161.5% change2021-11-19 : Largest Expected Move — 20.0%Monthly Statistics Metric Avg Min Max Open Close Price $5.23 $5.06 $5.40 $5.15 $5.33 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 47.2% 26.7% 91.0% 41.1% 63.7% Expected Move 12.3% 7.7% 20.0% 11.8% 18.3% HV 20d 14.9% 11.7% 17.6% 13.6% 17.4% Term Structure -9.4% -23.7% 16.7% -10.1% -17.5% VWIV 44.8% 29.8% 69.9% 41.4% 63.7% Bid-Ask Spread % 107.28 69.11 124.37 124.37 103.92 Gamma HHI 0.90 0.73 0.95 0.95 0.90 Net GEX 629 414 967 626 856 Net DEX -19.3K -35.2K -12.9K -17.0K -18.6K Net VEX -142 -181 -113 -123 -167 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.22 4.10 0.41 1.37 Total Volume 60.19 41 97 41 71 Total OI 137.952 104 188 114 176
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-11-01 $5.15 $5.00 41.1% 11.8% 13.6% 0.0% 41.4% 0.0% -10.1% 626 -17.0K -123 0.41 124.37 N/A N/A 29 12 91 23 2021-11-02 $5.14 $5.00 42.4% 12.2% 13.2% 0.0% 42.9% 0.0% -16.5% 443 -13.7K -115 0.41 124.19 N/A N/A 29 12 81 23 2021-11-03 $5.11 $5.00 38.0% 10.9% 12.8% 0.0% 38.5% 0.0% -10.1% 424 -13.7K -115 0.41 115.58 N/A N/A 29 12 81 23 2021-11-04 $5.09 $5.00 36.5% 10.3% 12.5% 0.0% 36.0% 0.0% -5.4% 438 -13.1K -115 0.41 102.10 N/A N/A 29 12 81 23 2021-11-05 $5.08 $5.00 53.8% 13.4% 12.2% 0.0% 51.7% 0.0% -23.7% 414 -13.1K -115 0.41 97.97 N/A N/A 29 12 81 23 2021-11-08 $5.07 $5.00 57.3% 8.9% 12.0% 0.0% 29.8% 0.0% 0.9% 424 -12.9K -113 0.32 115.22 N/A N/A 37 12 81 23 2021-11-09 $5.06 $5.00 91.0% 9.0% 11.7% 0.0% 30.3% 0.0% 16.7% 519 -15.6K -126 0.32 123.28 N/A N/A 37 12 91 23 2021-11-10 $5.09 $5.00 40.6% 11.6% 11.7% 0.0% 40.4% 0.0% -5.4% 542 -15.9K -126 0.32 116.70 N/A N/A 37 12 91 23 2021-11-11 $5.13 $5.00 38.5% 11.0% 12.2% 0.0% 38.4% 0.0% -5.6% 558 -17.8K -124 0.32 100.86 N/A N/A 37 12 91 23 2021-11-12 $5.31 $5.00 50.7% 14.5% 17.1% 0.0% 62.2% 0.0% -15.5% 620 -20.9K -124 0.27 93.25 N/A N/A 44 12 91 23 2021-11-15 $5.34 $5.00 37.8% 10.8% 17.2% 0.0% 40.1% 0.0% -9.6% 554 -22.1K -122 0.32 118.96 N/A N/A 38 12 101 23 2021-11-16 $5.40 $5.00 30.9% 8.9% 17.4% 0.0% 30.9% 0.0% -5.6% 666 -25.4K -125 0.22 116.78 N/A N/A 55 12 106 23 2021-11-17 $5.37 $5.00 26.8% 7.7% 17.6% 0.0% 40.2% 0.0% -9.9% 967 -35.2K -163 0.22 108.73 N/A N/A 55 12 136 23 2021-11-18 $5.40 $5.00 26.7% 7.7% 15.7% 0.0% 39.1% 0.0% 7.0% 934 -34.8K -161 0.76 90.28 N/A N/A 55 42 135 23 2021-11-19 $5.34 $5.00 69.9% 20.0% 16.4% 0.0% 69.9% 0.0% -20.6% 654 -20.6K -179 0.82 119.27 N/A N/A 51 42 135 53 2021-11-22 $5.33 $5.00 42.9% 12.3% 16.3% 0.0% 42.8% 0.0% -15.1% 695 -17.9K -178 1.05 69.11 N/A N/A 39 41 122 52 2021-11-23 $5.31 $5.00 34.1% 9.8% 16.0% 0.0% 34.1% 0.0% -10.7% 922 -17.3K -166 1.05 91.06 N/A N/A 39 41 122 52 2021-11-24 $5.29 $5.00 68.9% 19.7% 16.2% 0.0% 68.9% 0.0% -10.2% 424 -24.3K -181 1.05 104.88 N/A N/A 39 41 122 52 2021-11-26 $5.22 $5.00 60.2% 17.3% 16.9% 0.0% 60.2% 0.0% -15.9% 688 -17.5K -170 4.10 110.55 N/A N/A 10 41 123 52 2021-11-29 $5.33 $5.00 39.1% 11.2% 17.5% 0.0% 39.1% 0.0% -15.3% 832 -18.5K -169 1.37 105.85 N/A N/A 30 41 124 52 2021-11-30 $5.33 $5.00 63.7% 18.3% 17.4% 0.0% 63.7% 0.0% -17.5% 856 -18.6K -167 1.37 103.92 N/A N/A 30 41 124 52
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