SPXS Options History — August 2012

In August 2012, SPXS traded between $45725.00 and $51750.00. ATM implied volatility averaged 39.4%. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 1.7% (HV 20d: 37.8%). Max pain ranged from $47500.00 to $52500.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.23.

Notable Days

  • 2012-08-23: Highest Volume — 2 contracts
  • 2012-08-03: Largest IV drop — 17.8% change
  • 2012-08-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47298.91$45725.00$51750.00$50650.00$46675.00
Max Pain$48369.57$47500.00$52500.00$52500.00$47500.00
ATM IV39.4%33.0%49.5%49.5%44.0%
Expected Move12.1%10.3%14.2%14.2%12.6%
HV 20d37.8%18.1%47.2%43.1%18.1%
Term Structure4.8%0.8%7.5%0.8%5.4%
VWIV47.1%40.8%56.2%56.2%45.0%
Skew 25d-12.1%-15.6%-5.5%-12.2%-12.3%
Skew 10d-27.4%-36.5%-11.7%-19.9%-23.7%
Call IV 25d49.8%42.0%57.4%57.4%50.3%
Put IV 25d37.6%32.5%45.2%45.2%38.1%
Bid-Ask Spread %44.8223.5293.5693.5663.88
Gamma HHI0.170.110.350.120.16
Net GEX76.7K-12.6K233.5K122.4K136.9K
Net DEX2.7M-999.1K5.8M780.3K74.2K
Net VEX-40.5K-50.7K-30.9K-47.7K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.001.050.081.05
Total Volume0.1740200
Total OI8.91371199

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$50650.00$52500.0049.5%14.2%43.1%0.0%56.2%-12.2%0.8%122.4K780.3K-47.7K0.0893.56N/AN/A0063
2012-08-02$51750.00$52500.0045.9%13.2%43.6%0.0%47.8%-10.3%4.0%204.9K-639.0K-50.5K0.1041.63N/AN/A0063
2012-08-03$48725.00$52500.0037.7%10.8%47.2%0.0%40.8%-5.5%5.0%65.5K3.0M-43.5K0.5660.38N/AN/A0063
2012-08-06$48475.00$50000.0038.2%12.6%47.0%0.0%47.5%-11.5%2.9%28.1K3.7M-41.4K0.2241.75N/AN/A0063
2012-08-07$47725.00$50000.0037.8%12.7%45.8%0.0%45.8%-14.2%3.9%-12.6K5.2M-34.5K0.5345.92N/AN/A0073
2012-08-08$47475.00$47500.0036.8%12.8%45.7%0.0%50.8%-12.8%3.3%-8.6K4.6M-41.1K0.0349.65N/AN/A0073
2012-08-09$47450.00$47500.0033.5%12.3%45.1%0.0%48.4%-13.6%4.9%-12.2K4.7M-42.1K0.3736.18N/AN/A0073
2012-08-10$47150.00$47500.0033.0%11.9%42.4%0.0%45.9%-11.8%6.6%3435.3M-34.7K0.0756.15N/AN/A0073
2012-08-13$47200.00$47500.0034.9%12.0%42.2%0.0%46.0%-11.1%3.8%7.6K5.2M-34.0K0.2742.91N/AN/A0073
2012-08-14$47250.00$47500.0036.0%12.4%41.9%0.0%47.6%-11.1%4.2%7.3K4.6M-38.5K0.1171.18N/AN/A0073
2012-08-15$47025.00$47500.0034.4%12.3%41.4%0.0%48.7%-12.1%4.6%41.4K5.1M-36.1K0.0657.55N/AN/A0073
2012-08-16$46075.00$47500.0039.4%11.3%41.8%0.0%47.2%-11.8%4.8%30.9K5.8M-34.4K0.4948.86N/AN/A0083
2012-08-17$45800.00$47500.0036.4%10.4%40.3%0.0%42.8%-12.2%6.6%49.9K5.3M-34.6K0.4241.16N/AN/A0083
2012-08-20$45725.00$47500.0035.8%10.3%37.9%0.0%40.8%-11.7%7.5%71.1K3.1M-30.9K0.0335.49N/AN/A0052
2012-08-21$46200.00$47500.0037.3%10.7%36.5%0.0%46.6%-13.7%6.5%95.9K1.8M-36.4K0.0330.26N/AN/A1052
2012-08-22$46175.00$47500.0037.4%10.7%36.5%0.0%49.8%-12.7%6.2%173.6K903.2K-41.0K0.1223.52N/AN/A1062
2012-08-23$47225.00$47500.0041.4%11.9%34.7%0.0%50.8%-14.7%6.4%233.5K-999.1K-50.7K0.0324.10N/AN/A2062
2012-08-24$46350.00$47500.0041.2%11.8%28.3%0.0%44.6%-10.8%4.8%82.8K2.1M-38.4K0.0635.70N/AN/A0052
2012-08-27$46400.00$47500.0042.6%12.2%28.2%0.0%47.4%-13.5%6.4%95.5K969.6K-44.2K0.5827.02N/AN/A0052
2012-08-28$46525.00$47500.0042.8%12.3%27.1%0.0%44.9%-13.1%5.2%93.0K1.6M-40.4K0.0023.76N/AN/A0053
2012-08-29$46400.00$47500.0044.9%12.9%27.0%0.0%51.5%-11.2%4.0%116.3K913.8K-42.5K0.0430.33N/AN/A0053
2012-08-30$47450.00$47500.0046.0%13.2%27.1%0.0%46.0%-15.6%2.4%140.5K-789.7K-48.3K0.1349.80N/AN/A0053
2012-08-31$46675.00$47500.0044.0%12.6%18.1%0.0%45.0%-12.3%5.4%136.9K74.2K-45.6K1.0563.88N/AN/A0063