SOFI Options History — November 2021

In November 2021, SOFI traded between $17.76 and $23.32. ATM implied volatility averaged 75.7%. The 30-day expected move averaged 21.9%. IV traded below realized volatility by 2.1% (HV 20d: 77.9%). Max pain ranged from $17.50 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2021-11-11: Highest Volume — 578,060 contracts
  • 2021-11-11: Largest IV drop — 23.2% change
  • 2021-11-03: Largest Expected Move — 25.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.02$17.76$23.32$22.70$17.76
Max Pain$17.69$17.50$19.00$17.50$17.50
ATM IV75.7%67.7%90.5%75.3%75.0%
Expected Move21.9%19.6%25.3%23.9%22.0%
HV 20d77.9%61.7%87.3%70.8%72.3%
HV 60d67.0%59.5%70.4%67.4%70.4%
Term Structure-0.7%-4.4%1.5%-1.5%0.8%
VWIV79.9%71.0%90.6%85.1%79.6%
Skew 25d-4.7%-8.8%-0.5%-3.3%-0.5%
Skew 10d-7.6%-17.0%-1.8%-3.4%-1.8%
Call IV 25d81.3%73.0%97.9%79.4%78.4%
Put IV 25d76.7%67.8%89.5%76.1%78.0%
Bid-Ask Spread %3.031.666.386.384.02
Gamma HHI0.130.110.170.120.14
Net GEX8.6M1.7M17.4M11.5M1.7M
Net DEX-570.6M-881.6M-212.9M-819.1M-214.0M
Net VEX-3.5M-4.1M-3.3M-3.4M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.171.000.200.34
Total Volume218,142.09583,021578,060447,883113,446
Total OI1,070,721.524927,6131,195,840927,6131,195,840

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$22.70$17.5075.3%23.9%70.8%0.0%85.1%-3.3%-1.5%11.5M-819.1M-3.4M0.206.38374,25673,627652,810274,803
2021-11-02$22.54$19.0077.9%25.1%71.3%0.0%89.2%-3.8%-2.1%13.0M-779.6M-3.4M0.172.42171,10929,816676,982295,297
2021-11-03$22.85$19.0077.5%25.3%71.3%0.0%90.6%-5.1%-2.0%14.5M-826.2M-3.4M0.213.32205,30343,064689,961298,948
2021-11-04$23.32$17.5077.0%21.3%70.6%0.0%76.5%-2.2%-1.4%16.9M-881.6M-3.5M0.212.44135,89829,070705,980308,970
2021-11-05$22.66$17.5081.0%22.5%72.0%0.0%81.7%-5.2%-1.3%9.5M-790.6M-3.6M0.342.51146,48049,226716,273317,661
2021-11-08$22.91$17.5081.2%22.7%61.7%0.0%81.7%-4.7%-1.4%10.5M-770.3M-3.6M0.301.66122,65036,479669,715302,745
2021-11-09$22.16$17.5089.4%24.7%62.8%0.0%90.1%-6.5%-3.6%9.5M-707.1M-3.6M0.322.48130,21341,802698,529316,155
2021-11-10$20.30$17.5090.5%24.8%71.4%0.0%90.2%-8.8%-4.4%7.3M-500.2M-3.5M0.602.47195,805118,069727,550330,962
2021-11-11$23.11$17.5069.4%19.8%84.0%0.0%71.3%-5.1%-0.6%17.4M-870.2M-3.7M0.283.41450,122127,938780,528370,967
2021-11-12$22.72$17.5067.7%19.6%84.3%0.0%71.0%-5.3%0.8%11.0M-734.3M-3.6M0.362.51167,05459,820772,699383,459
2021-11-15$22.91$17.5070.2%20.1%80.6%0.0%73.4%-5.9%-0.4%12.5M-742.4M-3.6M0.182.18189,85334,052702,377330,681
2021-11-16$21.84$17.5073.3%21.1%81.8%0.0%76.6%-8.8%-0.8%9.7M-594.0M-3.5M0.322.33152,76648,406726,180339,636
2021-11-17$21.22$17.5068.8%19.7%81.8%0.0%74.6%-7.4%0.4%7.2M-515.0M-3.5M0.253.2186,64021,802757,963361,129
2021-11-18$20.58$17.5071.3%20.4%82.6%0.0%78.1%-7.7%-0.4%6.0M-440.9M-3.5M0.353.62110,32838,675772,508366,384
2021-11-19$20.17$17.5071.1%20.4%82.6%0.0%76.7%-7.0%0.2%5.7M-405.3M-3.5M0.453.7599,28044,977797,896374,317
2021-11-22$18.91$17.5072.1%21.1%85.5%0.0%78.2%-5.1%1.5%3.5M-304.7M-3.4M0.412.90167,27368,712686,976316,425
2021-11-23$17.82$17.5076.8%21.9%86.9%0.0%81.3%-2.2%-0.7%2.7M-212.9M-3.3M0.663.05144,62795,542736,060335,332
2021-11-24$18.42$17.5076.1%21.8%87.3%0.0%78.6%-2.0%0.5%3.5M-288.3M-3.5M0.352.94131,65146,738768,281368,675
2021-11-26$18.13$18.0075.9%21.6%86.7%0.0%76.7%-0.6%0.5%3.6M-272.3M-3.5M0.513.0555,14227,879800,360370,970
2021-11-29$18.38$18.0073.1%21.1%86.8%0.0%76.3%-1.0%0.2%2.9M-313.7M-3.5M1.003.0497,73697,658740,750345,418
2021-11-30$17.76$17.5075.0%22.0%72.3%0.0%79.6%-0.5%0.8%1.7M-214.0M-4.1M0.344.0284,52028,926772,197423,643