SRTS Options History — January 2022

In January 2022, SRTS traded between $6.88 and $8.74. ATM implied volatility averaged 105.2%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 29.3%. IV traded below realized volatility by 9.0% (HV 20d: 114.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2022-01-12: Highest Volume — 679 contracts
  • 2022-01-27: Largest IV spike — 29.6% change
  • 2022-01-03: Highest IV Rank — 26.5%
  • 2022-01-03: Largest Expected Move — 36.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.74$6.88$8.74$7.31$7.70
Max Pain$7.13$5.00$7.50$5.00$7.50
ATM IV105.2%77.1%125.9%125.9%94.2%
Expected Move29.3%22.1%36.1%36.1%27.0%
HV 20d114.3%76.0%129.8%125.3%78.9%
HV 60d96.2%90.2%100.1%90.2%100.1%
IV Rank18.7%8.0%26.5%26.5%14.4%
IV Percentile44.2%11.1%69.4%69.4%29.8%
Term Structure-13.2%-32.4%11.4%-29.7%-11.2%
VWIV102.5%79.7%139.3%120.9%92.4%
Skew 25d0.5%-29.1%30.7%15.0%2.6%
Skew 10d-2.1%-47.2%42.7%1.2%36.0%
Call IV 25d99.3%80.7%121.5%80.7%83.4%
Put IV 25d99.8%85.9%151.2%95.7%85.9%
Bid-Ask Spread %72.4640.6799.6240.6779.21
Gamma HHI0.540.410.730.660.50
Net GEX8.9K5.9K15.0K5.9K12.1K
Net DEX-655.2K-935.4K-434.4K-522.2K-648.2K
Net VEX-1.8K-2.2K-1.5K-1.5K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.252.360.712.36
Total Volume365.95139679262400
Total OI1,874.71,4892,2981,4891,989

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$7.31$5.00125.9%36.1%125.3%26.5%120.9%15.0%-29.7%5.9K-522.2K-1.5K0.7140.67N/AN/A1531091,276213
2022-01-04$6.88$5.00123.6%35.4%126.0%25.6%124.3%-5.4%-18.6%6.0K-464.8K-1.5K1.0759.87N/AN/A1101181,324214
2022-01-05$7.18$5.00108.1%31.0%123.9%19.8%109.9%-29.1%-32.1%6.5K-503.7K-1.5K0.9074.78N/AN/A1821641,308210
2022-01-06$7.83$7.50105.3%26.5%127.4%18.7%98.0%6.1%-9.6%8.7K-639.4K-1.7K1.1666.73N/AN/A1371591,386259
2022-01-07$8.17$7.50110.3%27.0%127.4%20.6%103.0%-7.9%0.3%7.8K-726.8K-1.7K0.9354.91N/AN/A2762571,391258
2022-01-10$7.61$7.50123.8%26.7%129.8%25.7%100.7%-3.4%11.4%8.3K-627.9K-1.7K1.3658.10N/AN/A1882551,499357
2022-01-11$8.27$7.50116.2%33.5%124.5%22.9%105.7%5.9%-27.8%8.7K-775.7K-1.7K1.3046.05N/AN/A1211571,490356
2022-01-12$8.74$7.50118.6%34.0%123.6%23.8%139.3%30.7%-30.6%8.5K-893.0K-1.7K0.2599.27N/AN/A5431361,500356
2022-01-13$8.61$7.5094.1%27.0%122.4%14.4%79.7%10.7%6.9%11.2K-935.4K-2.2K0.3254.07N/AN/A3901261,751379
2022-01-14$8.62$7.50103.4%29.7%122.1%18.0%94.0%3.6%-20.9%11.7K-930.6K-2.1K0.3347.31N/AN/A3811271,762380
2022-01-18$8.26$7.5094.7%27.1%121.9%14.6%98.9%-13.1%4.4%11.7K-822.9K-2.0K0.6564.82N/AN/A2011311,776381
2022-01-19$8.18$7.50101.3%29.0%120.9%17.1%85.3%-3.6%-11.1%11.9K-868.3K-2.2K0.6561.28N/AN/A2061341,896381
2022-01-20$7.83$7.5094.7%27.1%122.0%14.6%84.3%6.9%-4.9%15.0K-716.6K-2.0K0.5371.38N/AN/A2521341,897371
2022-01-21$7.46$7.5077.1%22.1%123.4%8.0%94.9%-2.0%-14.0%8.5K-548.9K-2.0K0.4299.62N/AN/A3151331,937361
2022-01-24$7.06$7.5095.3%27.3%115.4%14.9%106.0%26.5%-3.9%6.5K-502.1K-1.8K0.8398.23N/AN/A76631,512234
2022-01-25$7.40$7.50101.8%29.2%116.8%17.3%117.6%1.8%2.8%7.0K-534.2K-2.0K2.0891.15N/AN/A781621,493234
2022-01-26$7.30$7.5094.1%27.0%81.2%14.4%92.7%-23.9%-12.1%7.0K-489.7K-1.9K2.1999.43N/AN/A731601,490284
2022-01-27$7.05$7.50121.9%35.0%76.0%25.0%107.4%-1.8%-32.4%6.4K-434.4K-1.9K1.3497.44N/AN/A1201611,492285
2022-01-28$7.31$7.50100.5%28.8%76.7%16.8%95.3%-10.0%-30.3%7.8K-520.0K-1.9K0.6084.97N/AN/A2701611,528284
2022-01-31$7.70$7.5094.2%27.0%78.9%14.4%92.4%2.6%-11.2%12.1K-648.2K-2.0K2.3679.21N/AN/A1192811,705284