SRTS Options History — December 2022

In December 2022, SRTS traded between $5.91 and $7.53. ATM implied volatility averaged 67.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded below realized volatility by 0.2% (HV 20d: 68.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.80.

Notable Days

  • 2022-12-12: Highest Volume — 2,053 contracts
  • 2022-12-12: Largest IV spike — 162.8% change
  • 2022-12-12: Highest IV Rank — 85.4%
  • 2022-12-13: Largest Expected Move — 24.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.60$5.91$7.53$6.65$7.43
Max Pain$5.48$5.00$7.50$7.50$5.00
ATM IV67.8%49.2%162.6%64.3%62.9%
Expected Move18.4%14.1%24.9%18.4%18.0%
HV 20d68.0%36.7%253.6%253.2%40.9%
HV 60d155.2%153.5%157.1%157.1%153.5%
IV Rank17.6%4.1%85.4%14.8%14.5%
IV Percentile16.1%0.4%98.8%7.1%11.9%
Term Structure15.9%-12.2%74.0%0.4%13.1%
VWIV63.3%48.1%85.3%74.1%62.9%
Skew 25d3.1%-19.3%109.0%59.2%4.4%
Skew 10d34.3%-21.1%164.6%90.0%6.7%
Call IV 25d65.1%50.1%88.9%74.1%55.2%
Put IV 25d68.2%42.1%159.1%133.3%59.6%
Bid-Ask Spread %82.2865.3997.7289.4584.03
Gamma HHI0.370.310.460.400.44
Net GEX11.8K-3.2K22.7K22.4K16.1K
Net DEX-500.0K-1.1M664.1K-772.4K-1.0M
Net VEX-2.3K-3.2K-1.7K-3.2K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.800.0047.880.000.06
Total Volume294.857182,05311518
Total OI6,612.814,7919,5037,3025,140

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$6.65$7.5064.3%18.4%253.2%14.8%74.1%59.2%0.4%22.4K-772.4K-3.2K0.0089.45N/AN/A11506,470832
2022-12-02$6.68$7.5058.7%16.8%253.6%10.7%0.0%-9.6%2.8%22.7K-731.4K-3.0K0.0082.76N/AN/A8106,451832
2022-12-05$6.67$5.0050.5%22.8%70.5%4.9%51.7%-5.1%1.7%22.0K-623.0K-2.8K0.0077.47N/AN/A16506,493832
2022-12-06$6.40$5.0071.0%21.3%64.8%19.6%74.2%11.8%9.4%9.7K-425.2K-2.2K0.0068.91N/AN/A0206,536832
2022-12-07$6.36$5.0078.7%22.4%59.2%25.1%78.3%2.9%6.6%9.8K-410.9K-2.2K0.0088.37N/AN/A3006,531832
2022-12-08$6.20$5.0072.5%16.7%59.2%20.6%77.7%3.0%74.0%16.3K-519.6K-2.5K0.0387.04N/AN/A3916,533832
2022-12-09$6.01$5.0061.9%22.4%57.7%13.0%72.3%-4.2%29.0%9.4K-293.9K-1.9K1.1388.38N/AN/A52596,516827
2022-12-12$5.91$5.00162.6%21.2%53.7%85.4%67.3%-14.1%21.1%8.6K-281.6K-1.9K47.8896.35N/AN/A422,0116,580877
2022-12-13$6.04$7.50109.5%24.9%54.7%47.2%85.3%3.6%-3.6%3.0K607.2K-2.4K3.4485.70N/AN/A933206,5662,581
2022-12-14$6.40$7.5058.5%16.8%58.4%11.2%55.2%-11.3%21.1%-3.2K664.1K-2.7K31.0497.72N/AN/A501,5526,6122,891
2022-12-15$6.45$5.0063.0%18.1%52.1%14.5%62.8%-19.3%-12.2%6.1K-26.6K-2.2K10.1286.52N/AN/A777796,6131,627
2022-12-16$6.40$5.0056.2%16.1%40.1%9.4%55.4%-15.2%15.9%8.2K-248.6K-1.9K0.3174.29N/AN/A51166,6561,220
2022-12-19$6.36$5.0059.0%16.9%39.6%11.5%60.4%-17.1%2.8%8.2K-570.2K-1.9K0.0065.39N/AN/A5004,252539
2022-12-20$6.55$5.0056.4%16.2%39.6%9.5%57.0%-11.2%19.5%8.9K-627.7K-1.7K0.0067.94N/AN/A3004,272539
2022-12-21$6.74$5.0052.6%15.1%37.9%6.7%53.3%-10.3%17.7%9.7K-718.7K-1.9K0.0075.01N/AN/A23404,365539
2022-12-22$6.71$5.0056.2%16.1%36.7%9.4%48.1%-11.3%16.3%12.6K-744.1K-2.1K0.8875.30N/AN/A16144,571539
2022-12-23$6.91$5.0049.2%14.1%38.0%4.1%50.0%109.0%22.0%12.5K-814.1K-2.1K0.0079.70N/AN/A3504,571553
2022-12-27$7.03$5.0056.4%16.2%38.2%9.6%56.7%-4.9%32.6%13.9K-864.3K-2.2K0.8889.57N/AN/A58514,590553
2022-12-28$7.21$5.0062.5%17.9%38.9%14.2%62.5%3.9%16.0%14.9K-949.5K-2.3K0.0078.36N/AN/A4704,587553
2022-12-29$7.53$5.0061.1%17.5%40.3%13.1%61.0%0.2%27.7%16.8K-1.1M-2.5K0.3089.52N/AN/A66204,581553
2022-12-30$7.43$5.0062.9%18.0%40.9%14.5%62.9%4.4%13.1%16.1K-1.0M-2.4K0.0684.03N/AN/A1714,577563