SPXS Options History — December 2012

Name: SPXS Options Analytics - December 2012
Creator: Options Analysis Suite

In December 2012, SPXS traded between $40725.00 and $44625.00. ATM implied volatility averaged 44.4%. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 11.3% (HV 20d: 33.1%). Max pain ranged from $45000.00 to $50000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.30.

Notable Days

2012-12-12: Highest Volume — 1 contracts
2012-12-28: Largest IV spike — 20.7% change
2012-12-28: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42956.25	$40725.00	$44625.00	$44450.00	$42275.00
Max Pain	$47125.00	$45000.00	$50000.00	$45000.00	$45000.00
ATM IV	44.4%	36.9%	59.5%	44.0%	48.4%
Expected Move	13.0%	11.5%	17.1%	12.6%	13.9%
HV 20d	33.1%	27.0%	44.5%	44.5%	35.6%
HV 60d	36.2%	34.7%	38.5%	38.5%	38.4%
Term Structure	2.3%	-3.4%	5.9%	1.6%	-2.5%
VWIV	47.9%	42.6%	57.3%	43.8%	51.7%
Skew 25d	-11.9%	-16.3%	-7.1%	-9.7%	-16.3%
Skew 10d	-25.0%	-39.7%	-11.3%	-11.6%	-38.8%
Call IV 25d	52.8%	47.4%	67.1%	50.1%	57.0%
Put IV 25d	40.9%	37.2%	52.1%	40.4%	40.7%
Bid-Ask Spread %	35.87	13.46	85.94	41.75	13.46
Gamma HHI	0.18	0.14	0.40	0.14	0.17
Net GEX	113.3K	3.7K	213.8K	125.5K	130.1K
Net DEX	5.2M	1.6M	8.9M	3.3M	3.8M
Net VEX	-49.5K	-57.3K	-39.1K	-55.5K	-47.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.30	0.07	0.94	0.55	0.32
Total Volume	0.3	0	1	0	1
Total OI	11.6	9	13	12	9

Daily Data (20 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	Call OI	Put OI
2012-12-03	$44450.00	$45000.00	44.0%	12.6%	44.5%	0.0%	43.8%	-9.7%	1.6%	125.5K	3.3M	-55.5K	0.55	41.75	N/A	N/A	0	8	4
2012-12-04	$44625.00	$45000.00	44.6%	12.8%	44.4%	0.0%	42.6%	-13.6%	2.8%	142.2K	3.1M	-57.3K	0.07	29.59	N/A	N/A	0	8	4
2012-12-05	$44400.00	$45000.00	43.3%	12.4%	43.7%	0.0%	43.8%	-7.1%	2.3%	130.3K	3.6M	-55.7K	0.40	40.78	N/A	N/A	0	8	4
2012-12-06	$43950.00	$45000.00	42.6%	12.2%	36.6%	0.0%	44.0%	-7.7%	5.2%	114.5K	4.1M	-54.7K	0.19	26.49	N/A	N/A	0	8	4
2012-12-07	$43475.00	$50000.00	36.9%	12.2%	33.8%	0.0%	50.9%	-14.5%	4.4%	113.3K	4.6M	-53.8K	0.11	25.97	N/A	N/A	0	8	4
2012-12-10	$43400.00	$50000.00	38.6%	12.7%	33.8%	0.0%	48.2%	-11.4%	2.5%	107.3K	5.2M	-50.4K	0.42	83.75	N/A	N/A	0	8	4
2012-12-11	$42600.00	$50000.00	40.2%	12.9%	34.1%	0.0%	45.2%	-10.8%	1.1%	89.8K	6.4M	-48.6K	0.15	25.24	N/A	N/A	0	8	4
2012-12-12	$42450.00	$50000.00	40.1%	12.3%	33.6%	0.0%	48.2%	-10.3%	4.4%	98.5K	6.4M	-47.6K	0.34	29.85	N/A	N/A	1	8	4
2012-12-13	$43200.00	$50000.00	43.4%	12.5%	30.2%	0.0%	45.7%	-9.7%	5.9%	120.8K	5.6M	-50.3K	0.60	39.70	N/A	N/A	0	9	4
2012-12-14	$43725.00	$50000.00	44.9%	12.9%	30.7%	0.0%	47.1%	-10.4%	3.1%	136.3K	4.6M	-52.5K	0.07	25.59	N/A	N/A	1	9	4
2012-12-17	$42125.00	$47500.00	44.2%	12.7%	32.5%	0.0%	48.4%	-11.7%	3.5%	91.9K	7.1M	-46.8K	0.20	29.60	N/A	N/A	0	9	4
2012-12-18	$40725.00	$47500.00	40.2%	11.5%	27.0%	0.0%	42.9%	-10.4%	4.7%	3.7K	8.9M	-42.3K	0.52	59.36	N/A	N/A	0	9	4
2012-12-19	$41625.00	$47500.00	45.8%	13.1%	28.9%	0.0%	44.3%	-11.0%	3.8%	107.4K	7.7M	-44.5K	0.94	38.11	N/A	N/A	0	9	4
2012-12-20	$40925.00	$47500.00	43.9%	12.6%	29.1%	0.0%	52.7%	-11.7%	0.9%	27.6K	8.9M	-39.1K	0.21	30.33	N/A	N/A	0	9	4
2012-12-21	$42000.00	$47500.00	44.5%	12.8%	28.4%	0.0%	47.4%	-15.2%	4.0%	213.8K	7.5M	-44.8K	0.10	85.94	N/A	N/A	1	9	4
2012-12-24	$42475.00	$45000.00	46.3%	13.3%	28.8%	0.0%	47.4%	-13.6%	0.0%	103.5K	4.2M	-46.3K	0.31	19.26	N/A	N/A	0	6	3
2012-12-26	$42975.00	$45000.00	47.0%	13.5%	28.4%	0.0%	50.0%	-13.5%	3.8%	128.0K	3.6M	-48.0K	0.34	19.22	N/A	N/A	0	6	3
2012-12-27	$43100.00	$45000.00	49.3%	14.1%	27.4%	0.0%	56.3%	-14.0%	-2.9%	137.6K	2.9M	-50.9K	0.07	31.00	N/A	N/A	1	6	3
2012-12-28	$44625.00	$45000.00	59.5%	17.1%	29.8%	0.0%	57.3%	-15.0%	-3.4%	143.6K	1.6M	-52.8K	0.14	22.47	N/A	N/A	1	6	3
2012-12-31	$42275.00	$45000.00	48.4%	13.9%	35.6%	0.0%	51.7%	-16.3%	-2.5%	130.1K	3.8M	-47.9K	0.32	13.46	N/A	N/A	1	6	3