SRTS Options History — October 2022

In October 2022, SRTS traded between $11.54 and $14.07. ATM implied volatility averaged 82.3%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 12.2% (HV 20d: 70.1%). 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 7 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2022-10-31: Highest Volume — 1,479 contracts
  • 2022-10-11: Largest IV spike — 70.5% change
  • 2022-10-19: Highest IV Rank — 35.3%
  • 2022-10-11: Largest Expected Move — 30.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.61$11.54$14.07$13.36$14.07
Max Pain$12.14$10.00$12.50$10.00$12.50
ATM IV82.3%62.9%124.9%71.2%67.4%
Expected Move23.5%19.3%30.1%20.4%19.3%
HV 20d70.1%65.3%76.2%70.7%68.1%
HV 60d85.8%69.3%88.0%86.2%69.3%
IV Rank22.7%8.0%35.3%10.0%17.0%
IV Percentile36.7%6.0%92.5%17.1%11.5%
Term Structure-3.9%-33.7%25.8%25.8%-8.0%
VWIV81.3%65.3%105.0%70.5%76.4%
Skew 25d5.1%-19.3%28.2%11.0%-2.6%
Skew 10d16.7%-41.1%90.4%38.5%-2.2%
Call IV 25d79.4%66.7%93.4%66.7%82.0%
Put IV 25d84.4%55.7%102.8%77.7%79.4%
Bid-Ask Spread %87.2767.46104.9971.41104.99
Gamma HHI0.350.280.540.350.41
Net GEX58.9K26.7K77.3K77.3K69.1K
Net DEX-3.8M-5.2M-2.9M-4.9M-4.7M
Net VEX-7.8K-9.0K-6.8K-9.0K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.062.260.280.67
Total Volume512.6671971,4794511,479
Total OI7,222.5244,9118,1867,4306,022

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$13.36$10.0071.2%20.4%70.7%10.0%70.5%11.0%25.8%77.3K-4.9M-9.0K0.2871.41N/AN/A352996,622808
2022-10-04$12.62$10.0070.5%20.2%73.8%9.7%65.3%-19.3%0.1%70.7K-4.1M-9.0K0.1767.46N/AN/A536916,736808
2022-10-05$12.18$10.0095.2%27.3%74.9%21.5%85.7%4.0%1.2%69.0K-4.1M-9.0K2.2680.93N/AN/A1703856,957808
2022-10-06$12.46$12.5062.9%24.4%74.6%8.0%83.7%12.2%-18.5%68.2K-4.1M-8.8K0.5175.74N/AN/A178906,9561,088
2022-10-07$11.89$12.50105.4%22.0%76.2%25.8%79.3%2.3%-8.3%64.2K-3.7M-9.0K0.53101.83N/AN/A169906,9961,090
2022-10-10$11.59$12.5073.2%26.2%72.9%12.3%90.6%4.2%-16.7%58.9K-3.6M-8.2K0.1676.70N/AN/A560916,9991,090
2022-10-11$11.54$12.50124.9%30.1%72.6%33.9%105.0%28.2%-33.7%60.0K-3.3M-8.1K0.1382.56N/AN/A537716,8611,090
2022-10-12$11.79$12.5088.5%25.4%68.2%18.7%85.6%-0.5%-10.7%58.5K-3.5M-8.1K0.1373.39N/AN/A542716,8571,096
2022-10-13$12.19$12.5079.2%22.7%69.9%25.5%84.3%17.7%-3.4%64.0K-3.7M-8.2K0.4196.17N/AN/A162666,8581,096
2022-10-14$11.66$12.5085.6%24.5%69.3%30.1%82.9%16.1%-5.5%57.9K-3.3M-7.5K0.6474.86N/AN/A1651056,8791,114
2022-10-17$12.26$12.5078.5%22.5%67.8%25.0%74.8%2.3%-4.0%60.3K-3.7M-7.1K0.4777.88N/AN/A134636,9021,154
2022-10-18$12.19$12.5084.0%24.1%66.0%28.9%87.9%-2.4%-4.8%66.0K-3.7M-7.2K0.3297.31N/AN/A212686,9031,150
2022-10-19$11.98$12.5092.9%26.6%65.6%35.3%82.2%11.8%-8.4%56.1K-3.5M-7.0K0.40100.07N/AN/A238966,9801,135
2022-10-20$12.40$12.5076.0%21.8%66.5%23.2%77.7%11.7%23.6%66.7K-4.1M-6.8K0.36100.87N/AN/A263967,0131,173
2022-10-21$13.21$12.5080.7%23.1%66.4%26.5%77.1%14.8%9.6%26.7K-5.2M-6.8K0.2687.57N/AN/A6611697,0021,173
2022-10-24$13.80$12.5074.2%21.3%65.3%21.9%75.5%-9.3%-6.5%41.9K-3.4M-6.8K0.14100.83N/AN/A444624,102809
2022-10-25$12.78$12.5078.9%22.6%70.6%25.3%79.8%6.8%3.7%39.9K-2.9M-7.2K0.1595.77N/AN/A423634,336811
2022-10-26$13.66$12.5076.6%22.0%70.6%23.6%74.1%6.8%0.8%51.7K-3.6M-7.4K0.2293.20N/AN/A289634,521818
2022-10-27$13.24$12.5079.6%22.8%71.0%25.8%79.8%1.0%-0.3%50.5K-3.3M-7.3K0.1886.28N/AN/A314584,576818
2022-10-28$13.88$12.5082.8%23.7%71.3%28.1%88.7%-10.5%-18.5%59.1K-3.8M-7.2K0.0686.81N/AN/A984574,647819
2022-10-31$14.07$12.5067.4%19.3%68.1%17.0%76.4%-2.6%-8.0%69.1K-4.7M-7.9K0.67104.99N/AN/A8875925,194828