SELF Options History — September 2022

In September 2022, SELF traded between $5.51 and $5.83. ATM implied volatility averaged 96.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 73.2% (HV 20d: 22.8%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2022-09-16: Highest Volume — 59 contracts
2022-09-09: Largest IV spike — 142.9% change
2022-09-13: Highest IV Rank — 73.0%
2022-09-02: Largest Expected Move — 28.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.68	$5.51	$5.83	$5.73	$5.82
Max Pain	$5.48	$5.00	$10.00	$10.00	$5.00
ATM IV	96.0%	32.7%	353.1%	91.8%	82.6%
Expected Move	16.9%	9.4%	28.5%	26.3%	23.7%
HV 20d	22.8%	18.0%	30.1%	23.8%	30.1%
HV 60d	31.2%	26.5%	36.9%	36.9%	27.9%
IV Rank	15.8%	1.7%	73.0%	14.8%	12.8%
IV Percentile	63.8%	10.2%	99.6%	78.8%	72.8%
Term Structure	18.7%	-62.5%	339.5%	-62.5%	-39.2%
VWIV	56.9%	32.8%	81.4%	49.0%	81.4%
Skew 25d	-17.5%	-64.2%	53.0%	6.9%	-46.0%
Skew 10d	32.3%	-33.8%	124.9%	76.1%	-11.7%
Call IV 25d	65.6%	31.7%	149.6%	43.3%	97.0%
Put IV 25d	48.2%	26.5%	202.7%	50.2%	51.0%
Bid-Ask Spread %	107.73	53.22	134.01	134.01	88.35
Gamma HHI	0.82	0.74	0.96	0.85	0.86
Net GEX	2.6K	911	3.3K	2.2K	3.1K
Net DEX	-78.2K	-104.8K	-38.9K	-56.0K	-99.8K
Net VEX	-426	-641	-166	-365	-492
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.00	2.60	0.00	0.70
Total Volume	19.095	0	59	0	34
Total OI	683.095	672	695	689	675

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
2022-09-01	$5.73	$10.00	91.8%	26.3%	23.8%	14.8%	0.0%	6.9%	-62.5%	2.2K	-56.0K	-365	0.00	134.01	N/A	N/A	0	0	583	106
2022-09-02	$5.74	$10.00	99.6%	28.5%	23.7%	16.6%	0.0%	-8.2%	11.3%	3.2K	-103.2K	-595	0.00	120.53	N/A	N/A	1	0	583	106
2022-09-06	$5.76	$5.00	159.4%	13.1%	23.6%	29.9%	49.0%	17.7%	-6.3%	2.2K	-52.4K	-340	2.44	112.66	N/A	N/A	16	39	584	106
2022-09-07	$5.77	$5.00	126.9%	13.3%	23.6%	22.7%	49.7%	-12.3%	6.7%	3.3K	-100.0K	-574	2.60	110.06	N/A	N/A	15	39	588	106
2022-09-08	$5.75	$5.00	62.7%	9.7%	23.7%	8.4%	0.0%	1.1%	-0.4%	2.5K	-78.3K	-337	0.00	94.47	N/A	N/A	0	0	588	106
2022-09-09	$5.80	$5.00	152.3%	10.7%	22.5%	28.3%	0.0%	-27.5%	-14.7%	2.8K	-85.9K	-403	0.00	118.94	N/A	N/A	0	0	588	106
2022-09-12	$5.83	$5.00	186.4%	10.3%	21.9%	35.9%	0.0%	53.0%	-1.0%	2.5K	-90.0K	-380	0.00	98.52	N/A	N/A	0	0	588	107
2022-09-13	$5.76	$5.00	353.1%	17.0%	20.1%	73.0%	37.1%	-12.7%	-18.9%	3.3K	-104.8K	-641	2.33	115.48	N/A	N/A	15	35	588	107
2022-09-14	$5.82	$5.00	61.2%	17.6%	18.4%	8.0%	0.0%	-10.1%	-31.5%	2.9K	-74.5K	-494	0.00	121.25	N/A	N/A	0	0	588	107
2022-09-15	$5.74	$5.00	64.8%	18.6%	18.0%	8.9%	0.0%	-5.8%	260.3%	2.9K	-75.2K	-498	0.00	124.31	N/A	N/A	0	0	588	107
2022-09-16	$5.51	$5.00	32.7%	9.4%	22.2%	1.7%	32.8%	-37.5%	339.5%	2.6K	-88.1K	-448	1.46	103.67	N/A	N/A	24	35	588	85
2022-09-19	$5.62	$5.00	36.4%	10.4%	22.2%	2.5%	0.0%	-1.8%	110.3%	2.5K	-84.3K	-398	0.00	53.22	N/A	N/A	1	0	588	84
2022-09-20	$5.57	$5.00	55.7%	16.0%	21.8%	6.8%	0.0%	-42.7%	26.1%	2.4K	-68.0K	-405	0.00	125.63	N/A	N/A	1	0	589	84
2022-09-21	$5.69	$5.00	70.0%	20.1%	23.4%	10.0%	0.0%	-9.1%	-30.7%	1.8K	-50.8K	-247	0.00	103.20	N/A	N/A	0	0	590	84
2022-09-22	$5.64	$5.00	60.8%	17.4%	23.5%	7.9%	0.0%	-41.3%	-30.7%	2.8K	-81.1K	-436	0.00	110.85	N/A	N/A	0	0	590	84
2022-09-23	$5.55	$5.00	62.8%	18.0%	23.3%	8.4%	0.0%	-64.2%	-19.8%	2.5K	-69.5K	-431	0.00	97.87	N/A	N/A	2	0	590	84
2022-09-26	$5.51	$5.00	70.6%	20.2%	23.2%	10.1%	71.7%	-12.3%	-24.1%	911	-38.9K	-166	0.64	102.36	N/A	N/A	22	14	591	84
2022-09-27	$5.53	$5.00	64.1%	18.4%	23.0%	8.7%	66.0%	-53.4%	-32.1%	2.5K	-70.4K	-410	0.64	111.01	N/A	N/A	22	14	591	84
2022-09-28	$5.61	$5.00	73.6%	21.1%	23.9%	10.8%	74.9%	-21.5%	-36.7%	3.0K	-90.6K	-493	0.64	98.40	N/A	N/A	22	14	591	84
2022-09-29	$5.52	$5.00	49.2%	14.1%	23.3%	5.4%	49.9%	-39.4%	-12.5%	2.5K	-79.5K	-394	0.64	117.53	N/A	N/A	22	14	591	84
2022-09-30	$5.82	$5.00	82.6%	23.7%	30.1%	12.8%	81.4%	-46.0%	-39.2%	3.1K	-99.8K	-492	0.70	88.35	N/A	N/A	20	14	591	84