SPXS Options History — September 2012 In September 2012, SPXS traded between $40900.00 and $46950.00. ATM implied volatility averaged 39.1%. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 8.4% (HV 20d: 30.7%). Max pain ranged from $45000.00 to $47500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.35.
Notable Days 2012-09-10 : Highest Volume — 1 contracts2012-09-10 : Largest IV spike — 32.4% change2012-09-05 : Largest Expected Move — 13.5%Monthly Statistics Metric Avg Min Max Open Close Price $42918.42 $40900.00 $46950.00 $46950.00 $42950.00 Max Pain $46447.37 $45000.00 $47500.00 $47500.00 $45000.00 ATM IV 39.1% 31.2% 47.2% 47.1% 37.1% Expected Move 11.4% 10.1% 13.5% 13.5% 10.6% HV 20d 30.7% 17.5% 35.8% 18.3% 35.1% HV 60d 35.4% 34.1% 36.5% 34.5% 35.4% Term Structure 6.6% 1.6% 12.4% 1.6% 4.3% VWIV 41.2% 33.2% 50.5% 48.8% 39.3% Skew 25d -12.6% -22.7% -8.4% -11.2% -10.2% Skew 10d -24.0% -34.5% -1.8% -15.4% -19.6% Call IV 25d 46.7% 39.8% 54.6% 53.8% 44.2% Put IV 25d 34.1% 23.1% 42.6% 42.6% 34.1% Bid-Ask Spread % 33.38 13.56 76.26 51.85 14.23 Gamma HHI 0.15 0.12 0.19 0.15 0.16 Net GEX 74.0K 13.1K 149.5K 146.5K 139.1K Net DEX 4.2M 40.9K 6.9M 40.9K 2.2M Net VEX -34.2K -48.0K -26.4K -48.0K -37.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.01 1.48 0.08 0.13 Total Volume 0.105 0 1 0 0 Total OI 9.105 8 10 9 9
Daily Data (19 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 2012-09-04 $46950.00 $47500.00 47.1% 13.5% 18.3% 0.0% 48.8% -11.2% 1.6% 146.5K 40.9K -48.0K 0.08 51.85 N/A N/A 0 0 6 3 2012-09-05 $46950.00 $47500.00 47.2% 13.5% 17.5% 0.0% 50.5% -17.5% 1.9% 149.5K 263.1K -46.1K 0.39 22.30 N/A N/A 0 0 6 3 2012-09-06 $44100.00 $47500.00 38.2% 10.9% 28.1% 0.0% 40.4% -13.0% 5.1% 70.5K 3.4M -38.0K 0.77 30.75 N/A N/A 0 0 6 3 2012-09-07 $43500.00 $47500.00 31.2% 10.6% 28.3% 0.0% 42.1% -13.6% 12.4% 55.1K 4.2M -38.6K 0.10 35.77 N/A N/A 0 0 6 3 2012-09-10 $44325.00 $47500.00 41.3% 12.5% 29.4% 0.0% 46.9% -14.2% 5.7% 65.9K 3.7M -39.3K 0.01 30.72 N/A N/A 1 0 6 3 2012-09-11 $43925.00 $47500.00 44.9% 12.9% 29.5% 0.0% 45.1% -14.7% 6.0% 66.7K 3.7M -39.0K 0.33 17.91 N/A N/A 0 0 6 3 2012-09-12 $43475.00 $47500.00 36.9% 11.5% 29.5% 0.0% 40.3% -12.5% 7.9% 44.1K 5.0M -31.4K 0.35 17.91 N/A N/A 0 0 6 3 2012-09-13 $41400.00 $47500.00 40.1% 11.5% 33.5% 0.0% 42.5% -22.7% 7.4% 13.1K 6.5M -28.3K 0.24 24.79 N/A N/A 1 0 6 3 2012-09-14 $40900.00 $47500.00 38.2% 10.9% 33.2% 0.0% 40.1% -12.1% 7.0% 35.0K 6.8M -26.4K 0.57 14.98 N/A N/A 0 0 7 3 2012-09-17 $41225.00 $47500.00 36.5% 10.5% 33.5% 0.0% 33.2% -12.8% 9.0% 50.0K 6.0M -32.1K 0.27 72.14 N/A N/A 0 0 7 3 2012-09-18 $41325.00 $47500.00 39.9% 11.4% 33.6% 0.0% 39.3% -11.3% 8.8% 59.4K 6.1M -31.8K 0.67 21.51 N/A N/A 0 0 7 3 2012-09-19 $41325.00 $45000.00 39.5% 11.3% 33.2% 0.0% 39.1% -11.3% 7.5% 31.1K 6.4M -29.7K 0.42 76.26 N/A N/A 0 0 7 3 2012-09-20 $41350.00 $45000.00 39.1% 11.2% 33.2% 0.0% 37.5% -9.3% 8.7% 25.8K 6.9M -26.6K 0.13 70.18 N/A N/A 0 0 7 3 2012-09-21 $41400.00 $45000.00 36.7% 10.5% 31.7% 0.0% 38.9% -9.3% 11.0% 82.3K 5.9M -29.4K 1.48 16.94 N/A N/A 0 0 7 3 2012-09-24 $41625.00 $45000.00 35.1% 10.1% 31.6% 0.0% 39.0% -16.2% 6.9% 61.6K 4.3M -30.5K 0.09 13.56 N/A N/A 0 0 5 3 2012-09-25 $42800.00 $45000.00 39.2% 11.2% 33.7% 0.0% 39.7% -10.9% 4.4% 96.4K 2.9M -33.1K 0.04 22.14 N/A N/A 0 0 5 3 2012-09-26 $43600.00 $45000.00 38.6% 11.1% 34.6% 0.0% 42.1% -8.8% 4.2% 111.6K 2.1M -35.3K 0.22 40.20 N/A N/A 0 0 5 3 2012-09-27 $42325.00 $45000.00 35.2% 10.1% 35.8% 0.0% 37.1% -8.4% 6.4% 102.9K 4.0M -28.4K 0.35 40.06 N/A N/A 0 0 5 3 2012-09-28 $42950.00 $45000.00 37.1% 10.6% 35.1% 0.0% 39.3% -10.2% 4.3% 139.1K 2.2M -37.5K 0.13 14.23 N/A N/A 0 0 6 3
« Aug 2012 | All History | Oct 2012 » Home SPXS History September 2012