SRTS Options History — August 2022

In August 2022, SRTS traded between $10.98 and $15.01. ATM implied volatility averaged 73.1%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 35.7% (HV 20d: 108.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.34.

Notable Days

  • 2022-08-05: Highest Volume — 2,208 contracts
  • 2022-08-31: Largest IV drop — 28.8% change
  • 2022-08-30: Highest IV Rank — 16.0%
  • 2022-08-30: Largest Expected Move — 28.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.03$10.98$15.01$10.98$12.50
Max Pain$12.17$10.00$12.50$10.00$12.50
ATM IV73.1%57.5%97.8%79.8%69.6%
Expected Move21.5%16.7%28.0%22.9%19.9%
HV 20d108.9%61.3%125.0%69.0%119.1%
HV 60d79.2%61.1%84.8%64.6%83.7%
IV Rank6.6%0.7%16.0%9.2%5.3%
IV Percentile16.6%1.6%60.7%21.4%10.7%
Term Structure-1.1%-44.3%28.1%-28.7%-1.9%
VWIV70.6%57.9%86.0%75.4%57.9%
Skew 25d-1.5%-32.9%32.5%5.3%-10.9%
Skew 10d8.4%-54.2%176.9%19.9%-17.3%
Call IV 25d76.0%61.3%110.5%77.3%71.4%
Put IV 25d74.6%60.5%101.4%82.6%60.5%
Bid-Ask Spread %82.3059.39101.6077.9885.90
Gamma HHI0.400.310.580.400.34
Net GEX46.2K17.3K68.6K20.1K65.2K
Net DEX-4.6M-6.7M-2.1M-2.1M-4.2M
Net VEX-6.2K-9.0K-3.3K-4.0K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.120.660.66
Total Volume616.13652,208323425
Total OI5,836.3483,6728,0823,6726,035

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$10.98$10.0079.8%22.9%69.0%9.2%75.4%5.3%-28.7%20.1K-2.1M-4.0K0.6677.98N/AN/A1951282,901771
2022-08-02$11.06$10.0070.3%20.1%68.7%5.5%75.2%-13.5%-1.4%22.6K-2.1M-4.3K1.1280.25N/AN/A2372662,938773
2022-08-03$11.22$10.0066.9%19.2%68.4%4.3%69.3%-4.6%-31.1%22.4K-2.3M-3.8K1.0687.92N/AN/A2542693,022865
2022-08-04$11.16$12.5080.8%27.8%61.3%9.5%76.3%8.3%-44.3%19.2K-2.2M-4.3K0.94101.60N/AN/A1881763,021967
2022-08-05$14.51$12.5066.9%18.6%108.0%4.2%71.4%-0.1%-4.0%17.3K-3.9M-3.3K0.1877.65N/AN/A1,8713373,036974
2022-08-08$13.91$12.5076.8%25.5%109.5%8.0%74.5%-32.9%0.8%29.7K-4.4M-4.9K0.19100.51N/AN/A8021524,0691,129
2022-08-09$13.76$12.5057.5%21.1%110.1%0.7%75.0%2.8%-6.0%35.9K-5.0M-4.4K0.0573.28N/AN/A712354,5831,146
2022-08-10$14.07$12.5065.9%18.9%109.6%3.9%67.3%1.3%8.9%37.7K-6.0M-4.4K0.0590.61N/AN/A197105,2421,174
2022-08-11$14.03$12.5065.9%18.9%110.0%3.8%65.6%2.4%-1.0%39.5K-6.0M-4.8K0.6362.66N/AN/A134855,3031,178
2022-08-12$15.01$12.5058.2%16.7%109.4%0.9%61.6%6.2%8.9%37.6K-6.7M-5.3K0.0993.04N/AN/A1,7011595,2921,252
2022-08-15$12.91$12.5072.1%20.7%125.0%6.2%73.4%1.6%22.3%64.6K-5.2M-5.9K0.7677.79N/AN/A3622765,8581,353
2022-08-16$13.01$12.5084.2%24.1%124.7%10.8%86.0%-4.9%14.2%57.7K-5.3M-6.4K0.3685.08N/AN/A205736,0181,504
2022-08-17$12.82$12.5068.0%19.5%124.9%4.6%64.7%-3.2%5.9%68.0K-5.2M-6.6K0.0792.09N/AN/A385276,1331,564
2022-08-18$12.99$12.5072.9%20.9%124.7%6.5%71.7%2.1%6.0%68.6K-5.6M-6.6K0.0266.88N/AN/A1,089186,4591,550
2022-08-19$12.93$12.5076.8%22.0%124.5%8.0%77.5%1.1%-3.0%49.2K-5.7M-7.2K0.0277.08N/AN/A1,096196,5241,558
2022-08-22$13.55$12.5087.4%25.0%124.6%12.0%71.9%14.4%2.2%51.5K-4.7M-7.7K0.0459.39N/AN/A298114,869436
2022-08-23$13.14$12.5078.4%22.5%120.5%8.6%61.9%32.5%28.1%54.3K-4.6M-7.8K0.0271.93N/AN/A16034,940448
2022-08-24$13.81$12.5060.9%17.4%118.1%1.9%58.8%-25.5%12.8%60.9K-5.0M-7.5K0.0092.76N/AN/A1,33315,012452
2022-08-25$13.50$12.5077.1%22.1%118.1%8.1%76.0%-5.5%-0.4%59.7K-5.2M-8.8K0.0277.51N/AN/A6415,491452
2022-08-26$13.15$12.5069.0%19.8%118.7%5.1%69.7%-10.3%12.0%60.2K-5.1M-8.9K0.0873.20N/AN/A7865,515452
2022-08-29$13.05$12.5078.9%22.6%117.9%8.8%73.5%-5.3%-5.6%62.0K-4.7M-8.9K0.0090.33N/AN/A11205,533453
2022-08-30$12.55$12.5097.8%28.0%119.1%16.0%69.6%5.2%-19.6%58.3K-4.4M-9.0K0.9297.48N/AN/A1151065,538453
2022-08-31$12.50$12.5069.6%19.9%119.1%5.3%57.9%-10.9%-1.9%65.2K-4.2M-8.0K0.6685.90N/AN/A2561695,484551