SPXS Options History — June 2012

Name: SPXS Options Analytics - June 2012
Creator: Options Analysis Suite

In June 2012, SPXS traded between $52975.00 and $52975.00. ATM implied volatility averaged 47.6%. The 30-day expected move averaged 13.6%. Max pain ranged from $55000.00 to $55000.00. Net GEX was positive for 1 of 1 trading days. Term structure was in contango for 0 of 1 days. Put/call ratio averaged 0.45.

Notable Days

2012-06-29: Highest Volume — 1 contracts
2012-06-29: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52975.00	$52975.00	$52975.00	$52975.00	$52975.00
Max Pain	$55000.00	$55000.00	$55000.00	$55000.00	$55000.00
ATM IV	47.6%	47.6%	47.6%	47.6%	47.6%
Expected Move	13.6%	13.6%	13.6%	13.6%	13.6%
Term Structure	-3.8%	-3.8%	-3.8%	-3.8%	-3.8%
VWIV	52.2%	52.2%	52.2%	52.2%	52.2%
Skew 25d	-16.0%	-16.0%	-16.0%	-16.0%	-16.0%
Skew 10d	-39.9%	-39.9%	-39.9%	-39.9%	-39.9%
Call IV 25d	54.3%	54.3%	54.3%	54.3%	54.3%
Put IV 25d	38.2%	38.2%	38.2%	38.2%	38.2%
Bid-Ask Spread %	24.06	24.06	24.06	24.06	24.06
Gamma HHI	0.19	0.19	0.19	0.19	0.19
Net GEX	189.8K	189.8K	189.8K	189.8K	189.8K
Net DEX	1.3M	1.3M	1.3M	1.3M	1.3M
Net VEX	-54.3K	-54.3K	-54.3K	-54.3K	-54.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.45	0.45	0.45	0.45
Total Volume	1	1	1	1	1
Total OI	19	19	19	19	19

Daily Data (1 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-06-29	$52975.00	$55000.00	47.6%	13.6%	0.0%	0.0%	52.2%	-16.0%	-3.8%	189.8K	1.3M	-54.3K	0.45	24.06	N/A	N/A	1	0	16	3