SPXS Options History — November 2012

In November 2012, SPXS traded between $43525.00 and $50550.00. ATM implied volatility averaged 46.1%. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 3.4% (HV 20d: 42.7%). 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 16 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2012-11-09: Highest Volume — 2 contracts
  • 2012-11-30: Largest IV spike — 21.4% change
  • 2012-11-07: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46328.57$43525.00$50550.00$43650.00$43875.00
Max Pain$44166.67$42500.00$45000.00$42500.00$45000.00
ATM IV46.1%36.6%55.8%44.1%44.4%
Expected Move13.0%10.5%15.1%12.6%12.7%
HV 20d42.7%35.1%48.2%35.5%45.2%
HV 60d35.4%30.3%38.4%30.3%38.4%
Term Structure1.1%-2.2%5.0%-2.2%1.4%
VWIV46.6%39.1%52.8%46.8%44.9%
Skew 25d-12.7%-18.0%-8.3%-8.5%-10.4%
Skew 10d-25.5%-34.8%-16.2%-22.3%-22.3%
Call IV 25d52.6%45.6%60.1%51.5%48.3%
Put IV 25d39.9%28.7%46.6%43.0%37.9%
Bid-Ask Spread %26.5613.9769.9040.3624.49
Gamma HHI0.290.140.870.270.14
Net GEX367.2K79.8K2.0M193.0K106.4K
Net DEX-1.5M-10.8M4.5M1.4M4.0M
Net VEX-51.1K-57.6K-33.7K-33.7K-55.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.042.312.310.11
Total Volume0.4290200
Total OI10.381912912

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$43650.00$42500.0044.1%12.6%35.5%0.0%46.8%-8.5%-2.2%193.0K1.4M-33.7K2.3140.36N/AN/A0063
2012-11-02$44800.00$42500.0048.8%14.0%36.2%0.0%47.9%-12.6%-1.5%231.6K-392.9K-42.4K0.2444.82N/AN/A0063
2012-11-05$44450.00$45000.0053.6%13.8%35.1%0.0%49.3%-15.7%0.7%248.3K-597.8K-43.4K0.0522.21N/AN/A0063
2012-11-06$43525.00$45000.0051.8%12.8%36.2%0.0%45.4%-14.7%-0.2%219.8K762.3K-40.5K0.3830.88N/AN/A0063
2012-11-07$46475.00$42500.0055.8%15.1%42.4%0.0%50.2%-12.9%-0.3%364.3K-3.9M-45.5K0.5326.08N/AN/A1063
2012-11-08$48150.00$42500.0049.4%14.5%43.1%0.0%51.3%-15.5%1.3%445.5K-6.5M-48.1K0.3816.13N/AN/A1073
2012-11-09$48050.00$42500.0049.3%14.4%42.9%0.0%51.4%-15.2%0.1%456.2K-6.1M-51.0K0.7713.97N/AN/A1173
2012-11-12$47875.00$42500.0048.6%13.6%42.9%0.0%46.1%-13.2%1.5%501.2K-6.1M-54.0K0.4714.95N/AN/A0074
2012-11-13$48325.00$42500.0045.7%13.1%42.9%0.0%46.9%-11.8%1.6%562.7K-6.3M-53.0K0.2518.71N/AN/A1074
2012-11-14$50325.00$45000.0050.8%14.4%43.2%0.0%51.7%-10.9%0.2%638.2K-9.6M-53.9K0.1516.89N/AN/A1074
2012-11-15$50550.00$45000.0050.3%14.4%40.5%0.0%50.7%-12.7%1.0%829.3K-10.8M-55.7K0.3217.21N/AN/A0074
2012-11-16$49900.00$45000.0046.9%13.4%40.5%0.0%52.8%-12.8%1.4%2.0M-9.0M-56.5K0.1617.80N/AN/A2074
2012-11-19$46825.00$45000.0042.2%12.1%48.2%0.0%42.6%-10.7%-0.1%158.8K841.5K-56.3K0.5215.92N/AN/A0073
2012-11-20$46750.00$45000.0041.8%12.0%45.5%0.0%43.4%-8.3%2.2%147.6K749.9K-57.6K0.6630.56N/AN/A0073
2012-11-21$46450.00$45000.0043.2%12.4%45.6%0.0%41.7%-10.9%0.8%127.7K1.6M-57.2K0.1516.76N/AN/A0074
2012-11-23$44625.00$45000.0042.0%12.1%45.6%0.0%42.1%-13.2%1.2%81.2K3.5M-53.2K0.2521.63N/AN/A0074
2012-11-26$44700.00$45000.0041.1%11.8%45.6%0.0%43.4%-10.5%1.6%82.3K3.5M-51.7K0.0469.90N/AN/A0074
2012-11-27$45450.00$45000.0041.6%11.9%45.9%0.0%44.2%-10.8%3.0%117.2K2.2M-55.1K2.1025.68N/AN/A0074
2012-11-28$44400.00$45000.0039.9%11.4%46.6%0.0%45.9%-16.8%3.6%90.6K4.0M-55.3K0.2124.32N/AN/A1074
2012-11-29$43750.00$45000.0036.6%10.5%46.9%0.0%39.1%-18.0%5.0%79.8K4.5M-53.2K0.2848.49N/AN/A0074
2012-11-30$43875.00$45000.0044.4%12.7%45.2%0.0%44.9%-10.4%1.4%106.4K4.0M-55.2K0.1124.49N/AN/A0084