SOFI Options History — September 2021

In September 2021, SOFI traded between $14.48 and $17.81. ATM implied volatility averaged 61.4%. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 3.9% (HV 20d: 57.5%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2021-09-22: Highest Volume — 550,537 contracts
  • 2021-09-20: Largest IV spike — 9.9% change
  • 2021-09-28: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.78$14.48$17.81$14.61$15.99
Max Pain$15.05$15.00$15.50$15.00$15.50
ATM IV61.4%57.2%66.3%59.7%65.9%
Expected Move17.7%15.3%18.7%15.3%18.4%
HV 20d57.5%43.9%69.4%67.8%62.3%
HV 60d60.9%57.8%62.1%60.6%61.9%
Term Structure1.0%-1.6%3.3%1.9%1.7%
VWIV64.6%54.7%69.9%54.7%67.6%
Skew 25d-3.7%-6.2%-1.1%-3.1%-6.0%
Skew 10d-10.0%-17.1%-4.8%-8.2%-15.1%
Call IV 25d65.7%59.7%72.2%63.1%71.7%
Put IV 25d62.0%56.8%66.3%60.0%65.6%
Bid-Ask Spread %4.171.9912.383.183.21
Gamma HHI0.150.110.290.220.13
Net GEX7.9M4.0M11.2M7.4M5.6M
Net DEX-276.4M-535.8M-125.2M-169.1M-227.6M
Net VEX-2.2M-2.5M-1.9M-2.0M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.150.420.200.28
Total Volume178,276.76273,236550,537130,693171,536
Total OI871,813.857774,661988,593854,433988,593

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$14.61$15.0059.7%15.3%67.8%0.0%54.7%-3.1%1.9%7.4M-169.1M-2.0M0.203.18108,67722,016614,228240,205
2021-09-02$14.99$15.0061.7%18.5%68.5%0.0%67.5%-4.0%3.3%10.8M-229.2M-2.1M0.162.25207,36232,573625,914243,779
2021-09-03$15.23$15.0059.4%18.0%66.9%0.0%65.4%-4.7%1.5%6.8M-289.5M-2.1M0.1611.87158,96026,038647,691248,045
2021-09-07$15.90$15.0061.3%18.1%68.9%0.0%66.0%-4.3%2.1%8.2M-301.3M-2.2M0.1911.89196,32537,090599,494228,584
2021-09-08$15.53$15.0062.0%18.2%69.1%0.0%66.6%-4.3%1.2%9.5M-272.5M-2.2M0.422.0362,17926,082625,535232,059
2021-09-09$15.74$15.0060.6%17.8%69.4%0.0%64.3%-2.8%1.6%10.3M-278.0M-2.2M0.232.3359,47013,766636,944234,537
2021-09-10$15.24$15.0057.9%17.1%69.0%0.0%63.7%-2.9%2.0%6.6M-209.5M-2.1M0.2612.3874,79219,762642,793242,317
2021-09-13$15.02$15.0058.7%17.0%45.0%0.0%62.9%-2.6%1.5%5.6M-174.0M-2.0M0.282.6974,15920,832589,544222,439
2021-09-14$14.48$15.0058.6%16.9%44.2%0.0%63.1%-4.0%-0.4%4.0M-125.2M-1.9M0.222.4080,09717,647601,168227,751
2021-09-15$15.43$15.0059.1%16.9%46.5%0.0%62.4%-1.1%0.5%7.6M-223.5M-2.1M0.181.99135,38224,617617,791234,781
2021-09-16$15.48$15.0059.0%16.9%44.8%0.0%63.0%-2.6%0.3%9.3M-253.1M-2.2M0.202.4176,61615,468639,675240,409
2021-09-17$15.18$15.0057.2%16.4%43.9%0.0%62.2%-3.6%0.3%7.4M-217.6M-2.1M0.332.2670,31122,870665,407244,436
2021-09-20$14.69$15.0062.9%18.5%45.4%0.0%68.0%-2.0%1.6%4.2M-153.4M-2.0M0.392.9182,74132,457567,728206,933
2021-09-21$15.19$15.0060.1%17.3%46.4%0.0%63.2%-2.7%0.9%5.6M-197.3M-2.1M0.153.23105,70215,837587,513213,243
2021-09-22$16.85$15.0064.2%18.4%58.4%0.0%66.3%-3.2%-0.8%9.3M-392.0M-2.4M0.213.31456,78493,753612,324230,150
2021-09-23$17.14$15.0062.2%17.5%58.5%0.0%62.3%-3.0%-0.4%11.2M-457.0M-2.4M0.186.39262,39748,232639,896235,452
2021-09-24$17.62$15.0061.8%17.5%56.3%0.0%62.8%-3.9%0.9%10.9M-535.8M-2.5M0.282.26235,91866,612691,974258,352
2021-09-27$17.81$15.0065.5%18.7%55.3%0.0%67.1%-6.2%1.1%9.8M-465.7M-2.5M0.242.18228,50154,538623,905235,674
2021-09-28$17.05$15.0066.1%18.7%58.7%0.0%67.6%-5.4%-1.6%9.0M-372.8M-2.5M0.302.76102,79230,943643,468256,535
2021-09-29$16.14$15.5066.3%18.7%62.8%0.0%69.9%-6.2%1.1%6.9M-259.6M-2.4M0.383.69124,19847,780694,798276,027
2021-09-30$15.99$15.5065.9%18.4%62.3%0.0%67.6%-6.0%1.7%5.6M-227.6M-2.4M0.283.21134,12137,415704,376284,217