SPXS Options History — July 2012

In July 2012, SPXS traded between $49450.00 and $55950.00. ATM implied volatility averaged 46.2%. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 6.8% (HV 20d: 39.4%). Max pain ranged from $52500.00 to $55000.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.44.

Notable Days

  • 2012-07-24: Highest Volume — 2 contracts
  • 2012-07-09: Largest IV spike — 14.0% change
  • 2012-07-24: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52882.14$49450.00$55950.00$52575.00$50550.00
Max Pain$54404.76$52500.00$55000.00$55000.00$52500.00
ATM IV46.2%41.3%52.1%43.1%49.4%
Expected Move13.4%11.8%14.9%12.4%14.2%
HV 20d39.4%34.7%43.9%35.8%43.5%
Term Structure5.2%1.6%10.6%4.9%1.6%
VWIV50.3%43.5%57.6%50.3%52.8%
Skew 25d-14.3%-18.9%-11.4%-16.3%-11.4%
Skew 10d-29.9%-38.7%-18.0%-30.6%-18.0%
Call IV 25d55.5%50.2%63.2%52.4%56.8%
Put IV 25d41.2%31.2%45.8%36.1%45.4%
Bid-Ask Spread %46.6527.0093.4193.4182.74
Gamma HHI0.190.120.280.190.12
Net GEX154.2K-16.1K335.9K149.2K95.1K
Net DEX1.4M-4.5M5.9M2.6M1.6M
Net VEX-48.9K-57.8K-39.6K-51.7K-45.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.002.150.130.00
Total Volume0.2380200
Total OI15.952521199

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$52575.00$55000.0043.1%12.4%0.0%0.0%50.3%-16.3%4.9%149.2K2.6M-51.7K0.1393.41N/AN/A00163
2012-07-03$51600.00$55000.0042.5%12.2%0.0%0.0%53.6%-18.9%3.7%113.7K3.2M-54.8K0.2627.00N/AN/A00163
2012-07-05$52225.00$55000.0044.1%12.6%0.0%0.0%48.3%-14.5%3.9%140.0K2.8M-53.5K0.3584.34N/AN/A00173
2012-07-06$53625.00$55000.0041.7%13.4%0.0%0.0%51.3%-14.7%6.7%205.9K905.5K-57.8K0.0630.57N/AN/A00174
2012-07-09$53900.00$55000.0047.5%14.8%0.0%0.0%48.7%-14.9%4.2%201.3K1.1M-54.3K0.7236.16N/AN/A00174
2012-07-10$55250.00$55000.0048.2%14.8%0.0%0.0%53.3%-15.4%5.7%291.5K-1.1M-55.4K0.2130.73N/AN/A00174
2012-07-11$55125.00$55000.0048.1%14.4%0.0%0.0%56.2%-14.4%6.2%283.9K-818.1K-56.1K0.0536.59N/AN/A00173
2012-07-12$55950.00$55000.0049.0%14.1%0.0%0.0%48.5%-12.8%5.9%335.9K-1.6M-53.1K0.0336.12N/AN/A00173
2012-07-13$53250.00$55000.0044.7%12.8%0.0%0.0%51.1%-12.8%4.6%118.2K3.2M-44.7K0.0639.39N/AN/A00173
2012-07-16$53575.00$55000.0045.3%13.0%0.0%0.0%47.5%-14.5%6.0%98.3K2.1M-50.0K0.2331.73N/AN/A00173
2012-07-17$52425.00$55000.0045.4%13.0%0.0%0.0%45.8%-14.4%10.6%-16.1K4.3M-43.0K0.2064.54N/AN/A00173
2012-07-18$51300.00$55000.0045.4%13.0%0.0%0.0%46.9%-12.9%7.3%34.1K5.4M-40.8K1.8841.07N/AN/A00174
2012-07-19$50950.00$55000.0041.3%11.8%0.0%0.0%45.2%-11.7%7.2%43.3K5.9M-39.6K1.2741.08N/AN/A00174
2012-07-20$52250.00$55000.0044.5%12.8%0.0%0.0%43.5%-11.9%8.4%62.3K4.9M-39.9K0.4737.93N/AN/A00174
2012-07-23$53850.00$52500.0050.3%14.4%35.8%0.0%50.3%-12.1%3.4%81.0K306.2K-43.2K0.1748.88N/AN/A1032
2012-07-24$55225.00$52500.0052.1%14.9%35.9%0.0%56.7%-17.4%4.0%145.9K-2.4M-51.7K0.0438.03N/AN/A2042
2012-07-25$55275.00$55000.0050.4%14.4%34.7%0.0%57.6%-12.3%4.4%284.8K-4.5M-55.7K0.6235.69N/AN/A0052
2012-07-26$52575.00$55000.0045.7%13.1%39.0%0.0%49.6%-14.8%3.5%257.8K-1.6M-51.2K0.2953.33N/AN/A0062
2012-07-27$49450.00$52500.0042.8%12.3%43.9%0.0%49.5%-18.7%5.1%167.3K1.5M-41.6K0.0554.72N/AN/A2062
2012-07-30$49600.00$52500.0048.0%13.8%42.8%0.0%49.2%-13.1%2.3%144.0K1.1M-44.5K2.1535.49N/AN/A0062
2012-07-31$50550.00$52500.0049.4%14.2%43.5%0.0%52.8%-11.4%1.6%95.1K1.6M-45.4K0.0082.74N/AN/A0063