SRTS Options History — March 2022

In March 2022, SRTS traded between $8.99 and $11.73. ATM implied volatility averaged 86.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 26.6%. IV traded above realized volatility by 1.4% (HV 20d: 85.4%). Max pain ranged from $2.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.16.

Notable Days

  • 2022-03-28: Highest Volume — 1,816 contracts
  • 2022-03-28: Largest IV spike — 46.4% change
  • 2022-03-02: Highest IV Rank — 23.8%
  • 2022-03-08: Largest Expected Move — 37.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.32$8.99$11.73$10.45$10.22
Max Pain$6.19$2.50$10.00$2.50$10.00
ATM IV86.9%56.5%118.7%88.2%78.5%
Expected Move26.6%17.2%37.5%25.3%21.3%
HV 20d85.4%73.8%95.5%82.4%83.6%
HV 60d92.4%77.5%99.6%97.8%82.1%
IV Rank11.7%0.1%23.8%12.2%8.5%
IV Percentile24.5%0.4%65.9%20.9%12.1%
Term Structure1.8%-20.6%44.9%9.1%1.3%
VWIV96.0%65.2%135.8%93.0%85.5%
Skew 25d4.4%-20.6%106.0%106.0%0.1%
Skew 10d8.9%-59.5%225.9%225.9%6.8%
Call IV 25d92.5%79.8%107.7%92.8%96.2%
Put IV 25d96.9%72.9%198.8%198.8%96.3%
Bid-Ask Spread %91.0758.77117.53103.4078.15
Gamma HHI0.440.350.570.380.57
Net GEX34.5K20.6K61.9K27.0K61.9K
Net DEX-2.4M-3.6M-1.5M-2.2M-3.3M
Net VEX-4.7K-8.3K-3.5K-4.4K-7.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.040.290.220.20
Total Volume646.5222781,816418381
Total OI3,877.3913,1955,7743,3775,746

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$10.45$2.5088.2%25.3%82.4%12.2%93.0%106.0%9.1%27.0K-2.2M-4.4K0.22103.40N/AN/A344743,184193
2022-03-02$10.80$5.00118.7%34.0%80.0%23.8%102.5%-5.0%-2.8%26.9K-2.3M-4.3K0.25104.57N/AN/A265653,185202
2022-03-03$9.91$5.0097.6%28.0%87.4%15.8%98.6%-1.1%1.3%27.1K-1.9M-4.2K0.2688.28N/AN/A220583,212203
2022-03-04$8.99$5.00104.7%30.0%95.0%18.5%121.7%-11.6%-17.1%22.9K-1.5M-4.0K0.1195.03N/AN/A492563,176209
2022-03-07$9.30$5.00107.6%30.9%95.5%19.6%120.6%-3.4%15.9%20.6K-1.7M-3.7K0.15100.37N/AN/A432653,036211
2022-03-08$9.63$5.0095.6%37.5%92.9%15.0%135.8%6.3%0.2%24.6K-1.7M-3.8K0.2691.61N/AN/A246653,051223
2022-03-09$10.18$5.0096.3%32.3%93.6%15.3%131.4%-3.1%-2.5%26.7K-2.0M-3.9K0.28112.56N/AN/A233653,074223
2022-03-10$10.07$5.0093.1%27.8%94.0%14.0%93.1%-0.6%2.5%27.1K-1.9M-3.9K0.29112.03N/AN/A254743,077223
2022-03-11$10.10$5.0084.9%29.5%94.1%10.9%95.1%0.7%10.4%28.5K-2.0M-3.8K0.29101.29N/AN/A256743,088223
2022-03-14$9.85$5.0089.1%26.7%94.6%12.5%65.2%8.6%-8.1%26.6K-1.8M-3.6K0.2470.88N/AN/A270653,093223
2022-03-15$9.44$5.0080.7%28.0%89.9%9.3%94.6%10.1%-4.0%24.1K-1.6M-3.6K0.1458.77N/AN/A382553,080224
2022-03-16$10.30$5.0088.6%27.1%77.7%12.3%98.1%29.3%-0.7%26.9K-2.0M-3.5K0.1576.32N/AN/A371542,973222
2022-03-17$10.49$0.0085.3%29.2%78.0%11.1%0.0%11.6%16.9%32.8K-2.2M-3.6K0.10117.53N/AN/A518543,169221
2022-03-18$10.96$0.0077.2%21.3%79.0%8.0%95.3%5.9%-20.6%28.9K-2.6M-3.6K0.0583.64N/AN/A1,174553,389220
2022-03-21$10.92$7.5056.5%22.3%78.4%0.1%87.0%-20.6%44.9%34.7K-2.7M-4.4K0.0891.07N/AN/A546463,489187
2022-03-22$11.00$7.5081.5%23.8%77.8%9.6%79.5%-8.0%3.7%42.3K-2.9M-5.2K0.1083.07N/AN/A448453,908193
2022-03-23$10.99$7.5071.7%20.8%74.5%5.9%84.0%-1.3%28.2%43.4K-2.9M-5.1K0.1097.44N/AN/A434453,918195
2022-03-24$11.73$7.5067.1%22.1%77.2%4.1%87.9%-1.5%7.0%36.6K-3.6M-4.7K0.0795.29N/AN/A674463,944195
2022-03-25$11.38$7.5059.6%17.2%73.8%1.3%72.4%0.2%-7.9%45.4K-3.6M-5.8K0.1198.64N/AN/A525564,333198
2022-03-28$10.00$7.5087.3%27.1%87.5%11.8%95.3%-14.8%-12.4%46.4K-2.5M-5.7K0.0473.32N/AN/A1,740764,363210
2022-03-29$10.47$7.50100.0%24.1%89.1%16.6%87.5%5.5%-17.3%55.5K-3.5M-8.3K0.0480.25N/AN/A1,713635,490230
2022-03-30$10.11$10.0088.4%24.7%89.1%12.3%87.9%-11.2%-6.1%56.6K-3.4M-8.0K0.0481.12N/AN/A1,634625,531243
2022-03-31$10.22$10.0078.5%21.3%83.6%8.5%85.5%0.1%1.3%61.9K-3.3M-7.8K0.2078.15N/AN/A318635,502244