SRTS Options History — December 2021

In December 2021, SRTS traded between $6.42 and $8.28. ATM implied volatility averaged 108.3%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 28.0%. IV traded above realized volatility by 5.8% (HV 20d: 102.5%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.90.

Notable Days

  • 2021-12-02: Highest Volume — 599 contracts
  • 2021-12-13: Largest IV spike — 48.3% change
  • 2021-12-13: Highest IV Rank — 48.3%
  • 2021-12-01: Largest Expected Move — 33.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.32$6.42$8.28$6.83$7.20
Max Pain$4.20$2.50$5.00$5.00$5.00
ATM IV108.3%81.9%182.9%117.4%116.5%
Expected Move28.0%23.5%33.7%33.7%33.4%
HV 20d102.5%80.9%137.5%80.9%127.6%
HV 60d71.9%57.8%90.7%57.8%90.5%
IV Rank19.8%9.8%48.3%23.3%22.9%
IV Percentile42.8%14.2%93.0%56.7%57.8%
Term Structure-7.3%-35.1%20.0%-5.3%-31.3%
VWIV95.0%79.7%119.4%119.4%107.9%
Skew 25d-5.2%-37.5%52.1%-13.0%-28.9%
Skew 10d-14.5%-61.7%48.3%-55.0%-31.1%
Call IV 25d101.1%65.2%129.8%114.0%114.8%
Put IV 25d95.9%70.8%144.9%101.0%85.9%
Bid-Ask Spread %66.4832.5886.7855.2755.74
Gamma HHI0.670.470.960.470.64
Net GEX8.5K2.5K57.4K2.5K5.3K
Net DEX-625.5K-920.2K-334.2K-400.8K-535.6K
Net VEX-1.3K-1.5K-449-449-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.072.960.071.54
Total Volume285.045110599597183
Total OI1,506.0917932,0907931,488

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$6.83$5.00117.4%33.7%80.9%23.3%119.4%0.0%-5.3%2.5K-400.8K-4490.0755.27N/AN/A5603773855
2021-12-02$7.47$5.0092.9%26.6%83.8%14.0%96.2%-13.0%10.8%4.9K-676.1K-1.1K0.2081.40N/AN/A500991,21178
2021-12-03$6.98$5.00112.5%32.3%90.5%21.4%102.6%-33.9%-13.0%5.5K-621.4K-1.2K0.2567.40N/AN/A400991,267165
2021-12-06$7.32$2.50101.6%27.8%90.6%17.3%91.0%2.0%-2.8%5.7K-688.0K-1.1K0.2569.25N/AN/A383961,274162
2021-12-07$7.88$2.5094.8%29.5%90.8%14.7%100.4%-0.3%-24.0%5.2K-790.5K-1.2K0.6768.37N/AN/A140941,278168
2021-12-08$7.59$2.50124.3%30.0%88.2%25.9%110.2%-37.5%-4.5%5.2K-753.8K-1.2K0.5565.07N/AN/A173951,326183
2021-12-09$7.91$2.50119.8%25.7%88.1%24.2%95.2%-3.3%-5.8%6.2K-819.0K-1.3K0.4369.55N/AN/A2461051,368175
2021-12-10$7.74$2.50123.4%28.5%87.8%25.6%97.8%8.7%-20.1%10.8K-920.2K-1.5K0.5454.50N/AN/A1971061,678185
2021-12-13$6.84$2.50182.9%27.4%101.6%48.3%83.9%-24.8%-0.2%4.2K-598.3K-1.2K1.4562.70N/AN/A731061,795199
2021-12-14$7.34$2.50174.1%27.8%103.3%44.9%97.3%-5.6%-5.2%13.4K-857.7K-1.4K2.9653.32N/AN/A531571,820195
2021-12-15$7.03$5.0092.9%26.6%99.7%14.0%102.2%-7.5%2.9%15.7K-695.5K-1.3K2.7085.10N/AN/A571541,823247
2021-12-16$6.92$5.0089.2%25.6%99.7%12.5%86.7%25.5%-10.4%4.7K-585.1K-1.3K2.4486.78N/AN/A641561,835255
2021-12-17$7.37$5.0082.0%23.5%101.3%9.8%82.0%9.9%-4.8%57.4K-841.0K-1.3K0.6871.50N/AN/A1581071,836227
2021-12-20$7.08$5.0095.3%27.3%103.1%14.9%81.5%-22.9%-17.0%4.7K-454.5K-1.3K0.3252.46N/AN/A85271,08375
2021-12-21$7.25$5.00110.6%31.7%100.2%20.7%102.3%-26.4%-35.1%4.9K-463.5K-1.3K0.2968.87N/AN/A93271,08471
2021-12-22$7.29$5.0093.3%26.7%99.5%14.1%79.7%-12.5%-2.8%5.6K-482.6K-1.3K0.3168.67N/AN/A84261,09071
2021-12-23$8.28$5.0082.5%23.6%106.8%10.0%82.3%8.9%11.2%5.6K-648.6K-1.4K0.4468.01N/AN/A209921,10572
2021-12-27$8.08$5.0091.0%26.1%107.6%13.2%91.4%17.0%20.0%5.3K-622.7K-1.4K0.5883.06N/AN/A121701,165119
2021-12-28$6.42$5.0087.0%24.9%135.1%11.7%91.3%52.1%-7.2%4.1K-334.2K-1.3K0.6274.62N/AN/A2001241,167160
2021-12-29$7.03$5.0081.9%23.5%137.5%9.8%83.5%9.7%1.7%5.1K-476.6K-1.5K1.0768.42N/AN/A1531641,224160
2021-12-30$7.18$5.00117.0%33.5%131.7%23.2%105.5%-27.3%-16.8%5.1K-495.4K-1.5K1.4132.58N/AN/A821161,257200
2021-12-31$7.20$5.00116.5%33.4%127.6%22.9%107.9%-28.9%-31.3%5.3K-535.6K-1.5K1.5455.74N/AN/A721111,278210