SRTS Options History — September 2022

In September 2022, SRTS traded between $11.53 and $14.74. ATM implied volatility averaged 71.7%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 20.9%. IV traded above realized volatility by 7.7% (HV 20d: 64.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2022-09-13: Highest Volume — 1,974 contracts
  • 2022-09-13: Largest IV spike — 99.3% change
  • 2022-09-13: Highest IV Rank — 19.0%
  • 2022-09-06: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.05$11.53$14.74$12.24$12.55
Max Pain$10.24$10.00$12.50$12.50$10.00
ATM IV71.7%43.7%102.2%69.2%76.1%
Expected Move20.9%12.5%26.8%19.8%21.8%
HV 20d64.0%43.8%119.4%119.4%67.5%
HV 60d83.8%80.6%87.4%83.6%85.5%
IV Rank8.3%0.0%19.0%5.1%11.8%
IV Percentile19.2%0.0%69.4%10.3%23.8%
Term Structure3.8%-38.0%52.6%52.1%0.7%
VWIV70.1%48.3%93.1%74.7%69.7%
Skew 25d1.0%-16.8%17.5%0.8%8.3%
Skew 10d1.2%-45.3%29.3%3.3%29.3%
Call IV 25d70.6%51.3%89.0%54.6%69.5%
Put IV 25d71.6%55.4%88.5%55.4%77.9%
Bid-Ask Spread %82.0255.68107.0394.7170.20
Gamma HHI0.350.300.480.340.33
Net GEX68.2K57.8K83.2K62.3K65.0K
Net DEX-5.0M-7.8M-3.0M-4.0M-3.9M
Net VEX-9.5K-12.1K-7.5K-8.3K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.270.000.15
Total Volume568.19681,974102758
Total OI6,894.9525,9827,9236,0297,231

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$12.24$12.5069.2%19.8%119.4%5.1%0.0%0.8%52.1%62.3K-4.0M-8.3K0.0094.71N/AN/A10205,478551
2022-09-02$12.48$12.5076.1%21.8%71.2%7.7%74.7%-3.7%-13.0%65.7K-4.2M-8.4K0.5989.85N/AN/A1731025,431551
2022-09-06$12.54$10.0066.4%26.8%70.1%4.1%81.1%12.3%21.0%63.9K-4.0M-8.4K0.6577.22N/AN/A4062635,359649
2022-09-07$12.58$10.0068.3%25.0%70.2%4.8%59.9%8.3%24.5%67.8K-4.2M-7.8K0.66107.03N/AN/A4012635,420649
2022-09-08$12.95$10.0073.0%17.6%70.5%6.6%58.7%-1.8%14.1%74.5K-4.6M-7.5K0.1385.61N/AN/A133175,500649
2022-09-09$13.03$10.0071.2%20.4%70.6%5.9%71.2%4.3%9.9%73.4K-4.8M-8.1K0.2177.84N/AN/A56125,598661
2022-09-12$13.80$10.0051.3%19.8%69.4%0.0%65.8%-11.9%-2.2%73.3K-5.6M-7.5K0.2181.33N/AN/A61135,620673
2022-09-13$13.46$10.00102.2%22.1%43.8%19.0%76.5%2.3%52.6%72.3K-5.3M-7.9K0.1276.63N/AN/A1,7672075,653681
2022-09-14$14.38$10.0080.5%23.1%49.3%10.9%76.6%-16.8%13.3%74.6K-7.4M-12.0K0.2691.11N/AN/A4551176,991714
2022-09-15$14.26$10.0088.1%25.3%49.0%13.8%71.3%-10.4%-16.7%60.4K-7.2M-12.1K0.0491.27N/AN/A392167,100823
2022-09-16$14.74$10.0066.0%18.9%50.0%5.5%70.4%3.2%-19.1%66.1K-7.8M-11.5K0.2771.89N/AN/A7001887,088832
2022-09-19$13.62$10.0069.5%19.9%58.4%6.8%68.8%-1.3%-0.3%68.6K-5.6M-10.9K0.0869.85N/AN/A482386,280547
2022-09-20$14.13$10.0043.7%12.5%57.5%0.0%48.3%6.3%0.8%83.2K-6.5M-10.5K0.1585.11N/AN/A6681016,590537
2022-09-21$13.73$10.0083.3%23.9%57.3%14.4%61.6%17.5%-38.0%71.1K-5.8M-11.6K0.0188.50N/AN/A23926,632638
2022-09-22$13.30$10.0057.8%16.6%55.7%5.1%66.7%-6.9%12.3%77.7K-5.1M-10.7K0.0190.96N/AN/A53166,707639
2022-09-23$12.47$10.0068.1%19.5%59.6%8.9%67.2%-1.3%-18.9%69.3K-4.2M-10.3K1.2771.80N/AN/A1171496,649642
2022-09-26$11.91$10.0085.3%24.5%60.9%15.1%71.5%7.5%2.1%59.3K-3.6M-9.8K0.2172.82N/AN/A5121056,586776
2022-09-27$11.53$10.0069.8%20.0%61.7%9.5%76.1%-0.2%4.1%57.8K-3.0M-9.1K0.1086.59N/AN/A1,2011246,576777
2022-09-28$12.32$10.0081.1%23.2%65.5%13.6%93.1%-3.7%-13.9%63.7K-3.6M-9.3K0.3055.68N/AN/A4631386,321767
2022-09-29$12.02$10.0058.6%16.8%66.0%5.4%72.4%8.8%-6.2%61.6K-3.4M-8.3K0.3586.44N/AN/A3371176,425803
2022-09-30$12.55$10.0076.1%21.8%67.5%11.8%69.7%8.3%0.7%65.0K-3.9M-8.8K0.1570.20N/AN/A659996,428803