SPXS Options History — October 2012

In October 2012, SPXS traded between $40875.00 and $45400.00. ATM implied volatility averaged 41.1%. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 10.4% (HV 20d: 30.7%). Max pain ranged from $42500.00 to $45000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2012-10-08: Highest Volume — 1 contracts
  • 2012-10-23: Largest IV spike — 16.9% change
  • 2012-10-31: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42977.38$40875.00$45400.00$42625.00$45200.00
Max Pain$42976.19$42500.00$45000.00$45000.00$42500.00
ATM IV41.1%31.8%49.8%40.3%49.8%
Expected Move12.1%9.4%14.3%11.5%14.3%
HV 20d30.7%23.6%35.6%34.9%32.9%
HV 60d33.2%29.5%34.9%34.9%29.5%
Term Structure3.3%-0.5%6.1%2.0%-0.5%
VWIV43.5%28.2%55.9%40.2%48.9%
Skew 25d-12.3%-16.2%-6.4%-8.5%-14.9%
Skew 10d-23.3%-36.4%-7.7%-7.7%-20.4%
Call IV 25d50.1%41.0%59.2%44.8%59.2%
Put IV 25d37.8%28.9%44.3%36.4%44.3%
Bid-Ask Spread %31.088.7381.6378.4446.49
Gamma HHI0.240.150.390.170.29
Net GEX153.3K77.8K243.8K134.2K224.5K
Net DEX2.1M-1.1M5.7M2.6M-1.1M
Net VEX-31.3K-40.0K-21.8K-35.0K-38.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.021.210.200.34
Total Volume0.2380100
Total OI8.47661098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$42625.00$45000.0040.3%11.5%34.9%0.0%40.2%-8.5%2.0%134.2K2.6M-35.0K0.2078.44N/AN/A0063
2012-10-02$42475.00$45000.0038.2%10.9%34.7%0.0%38.9%-9.7%5.2%138.1K3.3M-30.9K0.0225.27N/AN/A0063
2012-10-03$41975.00$45000.0037.3%10.7%34.7%0.0%38.1%-6.4%3.6%133.0K4.1M-28.3K0.0713.51N/AN/A0063
2012-10-04$41000.00$45000.0032.8%9.4%28.4%0.0%28.2%-12.2%5.8%118.9K4.4M-30.4K0.098.73N/AN/A0063
2012-10-05$41075.00$42500.0031.8%11.3%28.2%0.0%40.9%-9.7%4.6%154.1K3.6M-29.0K1.2137.47N/AN/A0063
2012-10-08$41500.00$42500.0036.1%12.0%27.5%0.0%39.8%-13.1%5.8%133.0K3.6M-26.4K0.0532.70N/AN/A1063
2012-10-09$42625.00$42500.0039.1%12.4%29.4%0.0%44.6%-13.7%4.9%192.2K1.9M-32.9K0.3329.59N/AN/A0063
2012-10-10$43500.00$42500.0037.7%12.0%30.1%0.0%45.7%-13.7%4.7%207.7K951.4K-35.4K0.0427.99N/AN/A1063
2012-10-11$43375.00$42500.0042.0%12.1%24.1%0.0%45.7%-11.4%3.7%225.0K1.6M-32.6K0.1035.68N/AN/A0063
2012-10-12$43825.00$42500.0045.2%12.9%23.6%0.0%42.6%-12.8%2.6%243.8K724.4K-33.2K0.1324.53N/AN/A0063
2012-10-15$42775.00$42500.0040.3%11.5%25.5%0.0%40.4%-13.7%3.5%235.6K3.2M-25.8K0.9581.63N/AN/A0063
2012-10-16$41400.00$42500.0042.0%12.0%28.2%0.0%42.0%-13.1%4.6%136.5K5.1M-22.2K0.8513.05N/AN/A0063
2012-10-17$40875.00$42500.0036.6%10.5%28.6%0.0%39.3%-10.3%5.4%77.8K5.7M-21.8K0.5614.83N/AN/A0073
2012-10-18$41175.00$42500.0037.8%10.8%28.7%0.0%41.7%-10.7%6.1%102.7K4.9M-22.5K1.0517.73N/AN/A0063
2012-10-19$43275.00$42500.0041.7%12.0%33.8%0.0%43.8%-12.8%2.7%148.8K1.3M-28.9K0.5610.98N/AN/A1073
2012-10-22$43225.00$42500.0042.0%12.0%33.8%0.0%46.5%-13.2%2.8%79.4K973.0K-31.4K0.4416.40N/AN/A0042
2012-10-23$45100.00$42500.0049.1%14.1%35.6%0.0%52.9%-16.2%1.1%102.6K-447.6K-35.1K0.2714.59N/AN/A1042
2012-10-24$45400.00$42500.0047.9%13.7%35.2%0.0%48.1%-13.6%1.1%143.4K-831.8K-38.0K0.4722.09N/AN/A0052
2012-10-25$45000.00$42500.0047.9%13.7%33.4%0.0%50.3%-14.6%0.2%141.6K-562.4K-38.6K0.4752.23N/AN/A0052
2012-10-26$45125.00$42500.0048.1%13.8%33.1%0.0%55.9%-13.9%-0.3%147.0K-594.5K-40.0K0.1348.83N/AN/A1052
2012-10-31$45200.00$42500.0049.8%14.3%32.9%0.0%48.9%-14.9%-0.5%224.5K-1.1M-38.7K0.3446.49N/AN/A0062