SRTS Options History — November 2022

In November 2022, SRTS traded between $6.31 and $14.28. ATM implied volatility averaged 93.1%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded below realized volatility by 136.1% (HV 20d: 229.2%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2022-11-04: Highest Volume — 4,706 contracts
  • 2022-11-04: Largest IV spike — 71.7% change
  • 2022-11-07: Highest IV Rank — 80.4%
  • 2022-11-04: Largest Expected Move — 33.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.90$6.31$14.28$14.28$6.65
Max Pain$8.45$7.50$12.50$12.50$7.50
ATM IV93.1%59.1%155.7%90.9%59.9%
Expected Move25.3%17.0%33.8%26.1%17.2%
HV 20d229.2%64.4%259.4%64.4%253.0%
HV 60d144.0%68.8%157.2%68.8%157.2%
IV Rank35.5%11.1%80.4%33.9%11.6%
IV Percentile49.5%3.6%98.8%56.3%4.8%
Term Structure-9.2%-35.2%16.3%-26.9%6.7%
VWIV87.6%57.7%107.1%94.0%64.7%
Skew 25d-2.1%-44.2%52.5%1.4%52.5%
Skew 10d11.1%-34.2%74.3%31.6%74.3%
Call IV 25d88.2%54.6%112.2%97.3%65.3%
Put IV 25d86.1%51.2%117.8%98.7%117.8%
Bid-Ask Spread %75.9037.7899.3699.3695.01
Gamma HHI0.460.240.700.440.31
Net GEX42.6K8.5K101.8K60.4K10.7K
Net DEX-1.6M-5.1M641.2K-5.1M-631.9K
Net VEX-5.1K-10.4K-2.7K-10.1K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.013.340.100.01
Total Volume973.76294,7061,024849
Total OI9,608.3815,92614,6897,0716,487

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$14.28$12.5090.9%26.1%64.4%33.9%94.0%1.4%-26.9%60.4K-5.1M-10.1K0.1099.36N/AN/A931935,7561,315
2022-11-02$13.50$12.5093.8%26.9%66.6%35.9%96.2%-8.2%-27.5%71.8K-5.0M-10.4K0.1595.94N/AN/A640956,3931,346
2022-11-03$13.04$12.5088.0%30.8%67.7%31.8%96.3%16.1%-28.6%66.2K-4.1M-9.3K0.4688.17N/AN/A2261056,0781,345
2022-11-04$6.57$12.50151.2%33.8%253.6%77.2%107.1%-4.2%-15.4%10.0K28.7K-3.3K0.1368.90N/AN/A4,1615456,1051,364
2022-11-07$7.14$7.50155.7%30.2%256.7%80.4%101.8%7.4%-5.1%47.3K-1.3M-6.0K0.3347.94N/AN/A1,03633910,1981,574
2022-11-08$7.62$7.50149.8%32.2%258.6%76.2%103.4%9.9%-15.3%58.7K-2.1M-6.9K0.7748.77N/AN/A47336510,6641,604
2022-11-09$7.67$7.50111.5%32.0%258.3%48.7%102.9%19.6%-14.6%64.2K-1.9M-6.3K0.7658.67N/AN/A31724110,8111,660
2022-11-10$7.28$7.50111.5%32.0%257.7%48.7%102.3%19.8%-14.8%61.1K-1.5M-5.8K0.6761.88N/AN/A39226310,8541,693
2022-11-11$7.63$7.5083.0%23.8%258.9%28.2%80.9%-1.5%-0.5%77.4K-1.8M-5.6K0.7276.21N/AN/A69750110,9881,717
2022-11-14$7.69$7.5083.1%23.8%257.8%28.3%73.0%1.2%-3.1%90.6K-2.2M-5.6K0.6037.78N/AN/A35921511,3041,693
2022-11-15$7.91$7.5082.1%23.5%258.4%27.6%78.8%-3.5%16.3%101.8K-2.8M-6.6K0.3970.03N/AN/A58922711,3081,506
2022-11-16$7.28$7.5083.9%24.1%259.3%28.9%91.4%-44.2%-35.2%91.7K-1.7M-4.5K0.3395.22N/AN/A72623911,5521,523
2022-11-17$6.62$7.5087.0%24.9%259.4%31.1%88.6%-2.3%-4.6%11.0K-182.5K-3.1K3.3479.42N/AN/A5281,76211,8501,381
2022-11-18$6.49$7.5091.9%26.4%257.0%34.6%83.9%-37.9%-9.8%10.8K641.2K-3.2K2.3378.21N/AN/A5091,18812,0282,661
2022-11-21$6.31$7.5063.6%18.2%255.4%14.3%75.6%3.7%4.9%9.1K-507.9K-3.1K0.2677.47N/AN/A3931025,168758
2022-11-22$6.59$7.5059.1%17.0%256.6%11.1%57.7%32.0%11.6%8.5K-627.5K-2.8K0.2775.50N/AN/A3711015,286760
2022-11-23$6.43$7.5067.3%19.3%253.9%16.9%80.5%-24.9%-0.3%10.1K-590.7K-3.0K0.2285.63N/AN/A450975,361754
2022-11-25$6.43$7.5069.5%19.9%254.3%18.5%0.0%-16.2%-1.1%11.3K-605.6K-3.1K1.2584.33N/AN/A455,507764
2022-11-28$6.41$7.5081.3%23.3%252.7%27.0%78.7%-30.6%-10.9%10.5K-556.0K-2.7K1.3287.28N/AN/A771025,504767
2022-11-29$6.46$7.5091.2%26.1%252.5%34.1%95.1%-33.7%-18.5%10.8K-578.7K-2.9K0.0482.30N/AN/A13155,571818
2022-11-30$6.65$7.5059.9%17.2%253.0%11.6%64.7%52.5%6.7%10.7K-631.9K-2.9K0.0195.01N/AN/A837125,664823