SELF Options History — November 2022

In November 2022, SELF traded between $4.81 and $5.46. ATM implied volatility averaged 46.1%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 8.2% (HV 20d: 37.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.18.

Notable Days

2022-11-10: Highest Volume — 75 contracts
2022-11-29: Largest IV spike — 81.7% change
2022-11-02: Highest IV Rank — 10.8%
2022-11-02: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.09	$4.81	$5.46	$5.13	$5.05
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	46.1%	29.4%	73.8%	57.2%	41.8%
Expected Move	12.6%	8.4%	21.2%	16.4%	12.0%
HV 20d	37.9%	32.9%	41.6%	37.3%	32.9%
HV 60d	32.1%	29.6%	33.7%	30.9%	33.4%
IV Rank	4.7%	1.0%	10.8%	7.2%	3.7%
IV Percentile	24.1%	2.0%	68.3%	43.7%	16.7%
Term Structure	-9.8%	-44.0%	1.8%	-31.6%	-10.5%
VWIV	43.9%	29.5%	66.9%	53.0%	66.9%
Skew 25d	36.8%	7.9%	53.9%	45.9%	8.3%
Skew 10d	68.5%	15.0%	89.8%	80.0%	15.4%
Call IV 25d	36.0%	31.3%	38.2%	37.3%	37.9%
Put IV 25d	72.8%	44.2%	91.7%	83.2%	46.2%
Bid-Ask Spread %	104.89	81.33	125.25	81.64	81.33
Gamma HHI	0.67	0.50	0.99	0.81	0.93
Net GEX	-106	-796	637	637	-582
Net DEX	7.3K	-6.4K	15.4K	-6.4K	13.3K
Net VEX	-91	-120	-64	-105	-79
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	0.00	3.63	1.19	0.00
Total Volume	54.429	0	75	35	1
Total OI	518.857	493	534	493	532

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
2022-11-01	$5.13	$5.00	57.2%	16.4%	37.3%	7.2%	53.0%	45.9%	-31.6%	637	-6.4K	-105	1.19	81.64	N/A	N/A	16	19	463	30
2022-11-02	$5.03	$5.00	73.8%	21.2%	37.6%	10.8%	66.0%	52.6%	-44.0%	339	-1.8K	-65	1.19	91.81	N/A	N/A	16	19	464	30
2022-11-03	$4.96	$5.00	49.0%	11.6%	37.6%	5.3%	40.6%	51.6%	-1.5%	433	-1.5K	-73	1.19	98.03	N/A	N/A	16	19	464	30
2022-11-04	$4.98	$5.00	50.9%	12.3%	36.0%	5.7%	42.9%	51.5%	-4.8%	402	-972	-64	3.63	112.01	N/A	N/A	16	58	463	30
2022-11-07	$4.93	$5.00	58.1%	11.7%	34.4%	7.3%	40.8%	53.9%	-3.3%	47	10.8K	-108	3.38	103.54	N/A	N/A	16	54	463	70
2022-11-08	$4.88	$5.00	50.7%	11.1%	33.5%	5.7%	38.9%	48.8%	-0.7%	37	10.4K	-108	3.38	110.91	N/A	N/A	16	54	463	71
2022-11-09	$4.81	$5.00	40.6%	11.6%	33.3%	3.5%	40.6%	51.2%	-4.0%	-42	10.9K	-94	3.38	109.83	N/A	N/A	16	54	463	71
2022-11-10	$4.88	$5.00	46.2%	13.2%	34.0%	4.7%	46.2%	51.5%	-14.1%	-139	13.0K	-86	2.57	125.13	N/A	N/A	21	54	463	71
2022-11-11	$5.14	$5.00	36.8%	10.5%	39.0%	2.6%	36.8%	47.6%	0.1%	85	6.6K	-113	2.57	105.34	N/A	N/A	21	54	455	71
2022-11-14	$5.26	$5.00	40.0%	11.5%	40.0%	3.3%	40.0%	42.0%	-4.2%	170	4.7K	-120	2.57	110.87	N/A	N/A	21	54	454	71
2022-11-15	$5.46	$5.00	41.3%	11.8%	41.6%	3.6%	41.3%	8.8%	-8.7%	24	1.7K	-120	2.57	113.19	N/A	N/A	21	54	454	71
2022-11-16	$5.29	$5.00	45.0%	12.9%	40.2%	4.4%	45.0%	37.2%	-15.8%	-15	5.4K	-102	2.57	108.32	N/A	N/A	21	54	455	71
2022-11-17	$5.19	$5.00	49.8%	14.3%	40.8%	5.5%	49.8%	35.3%	-2.8%	-56	7.6K	-102	2.57	125.25	N/A	N/A	21	54	455	71
2022-11-18	$5.17	$5.00	37.5%	10.8%	39.7%	2.8%	37.5%	41.1%	-1.2%	-350	5.7K	-91	2.57	120.62	N/A	N/A	21	54	455	71
2022-11-21	$5.20	$5.00	40.7%	11.7%	39.5%	3.5%	40.7%	41.6%	-11.7%	-436	11.1K	-84	2.68	104.11	N/A	N/A	19	51	445	67
2022-11-22	$5.23	$5.00	41.2%	11.8%	39.3%	3.6%	41.2%	36.2%	-3.3%	-298	10.1K	-92	2.68	98.81	N/A	N/A	19	51	445	67
2022-11-23	$5.09	$5.00	29.4%	8.4%	39.8%	1.0%	29.5%	19.9%	1.8%	-510	11.9K	-80	2.84	89.70	N/A	N/A	19	54	445	67
2022-11-25	$5.08	$5.00	33.1%	9.5%	39.8%	1.8%	0.0%	20.3%	0.0%	-615	12.4K	-80	0.00	103.22	N/A	N/A	0	0	445	71
2022-11-28	$5.04	$5.00	37.5%	10.7%	39.7%	2.8%	37.3%	19.1%	-10.0%	-796	15.4K	-77	0.00	101.60	N/A	N/A	13	0	445	73
2022-11-29	$5.08	$5.00	68.1%	19.5%	39.7%	9.6%	66.9%	7.9%	-36.0%	-558	13.0K	-78	0.00	107.47	N/A	N/A	2	0	458	73
2022-11-30	$5.05	$5.00	41.8%	12.0%	32.9%	3.7%	0.0%	8.3%	-10.5%	-582	13.3K	-79	0.00	81.33	N/A	N/A	1	0	459	73