SPXS Options History — January 2013

In January 2013, SPXS traded between $35475.00 and $39375.00. ATM implied volatility averaged 33.0%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 7.1% (HV 20d: 40.1%). Max pain ranged from $35000.00 to $45000.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2013-01-02: Highest Volume — 1 contracts
  • 2013-01-25: Largest IV drop — 13.2% change
  • 2013-01-02: Highest IV Rank — 17.0%
  • 2013-01-09: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37555.95$35475.00$39375.00$39100.00$36100.00
Max Pain$37619.05$35000.00$45000.00$45000.00$35000.00
ATM IV33.0%30.0%36.0%36.0%34.0%
Expected Move9.8%8.6%11.0%10.3%9.7%
HV 20d40.1%16.1%45.1%44.2%16.1%
HV 60d39.6%36.9%41.6%41.6%36.9%
IV Rank8.9%0.0%17.0%17.0%13.7%
IV Percentile6.1%0.0%13.7%8.7%13.7%
Term Structure5.4%1.0%7.7%5.6%1.0%
VWIV36.4%31.2%41.2%40.2%39.3%
Skew 25d-10.2%-15.6%0.9%-15.2%-11.0%
Skew 10d-17.0%-25.9%29.9%-24.7%-17.7%
Call IV 25d40.3%35.9%47.0%41.5%40.6%
Put IV 25d30.1%24.6%38.3%26.3%29.6%
Bid-Ask Spread %30.9116.2986.2025.6786.20
Gamma HHI0.270.150.370.150.27
Net GEX154.1K-2.4K287.3K49.5K287.3K
Net DEX5.1M466.0K8.4M8.0M466.0K
Net VEX-38.3K-41.2K-35.2K-36.2K-39.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.031.250.210.05
Total Volume0.3330110
Total OI10.143613118

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$39100.00$45000.0036.0%10.3%44.2%17.0%40.2%-15.2%5.6%49.5K8.0M-36.2K0.2125.67N/AN/A1074
2013-01-03$39250.00$45000.0033.5%9.6%44.2%7.9%35.1%-4.7%6.6%111.6K7.0M-40.3K0.1320.13N/AN/A1074
2013-01-04$38675.00$40000.0030.4%10.5%44.3%0.0%39.9%-13.9%5.2%101.2K7.4M-39.2K1.2532.10N/AN/A0074
2013-01-07$39100.00$40000.0031.7%10.9%44.7%4.7%39.7%-9.4%5.3%94.6K7.6M-38.4K0.0725.06N/AN/A1074
2013-01-08$39375.00$37500.0031.3%11.0%44.9%3.2%40.8%-10.4%6.5%198.3K6.5M-41.2K0.0521.88N/AN/A0084
2013-01-09$39075.00$37500.0033.1%11.0%44.9%9.3%37.2%-9.8%6.3%205.5K6.6M-40.3K0.1720.19N/AN/A0084
2013-01-10$38200.00$37500.0033.4%9.6%45.1%10.3%36.5%-11.2%7.1%126.4K7.6M-39.3K0.0719.64N/AN/A1084
2013-01-11$38125.00$37500.0033.9%9.7%45.1%12.1%35.5%-8.2%6.4%135.9K8.1M-35.2K0.1316.29N/AN/A0084
2013-01-14$38275.00$37500.0035.2%10.1%44.4%16.5%36.0%-10.9%5.5%166.4K7.0M-39.4K0.1820.20N/AN/A0094
2013-01-15$38175.00$37500.0034.5%9.9%43.9%14.2%41.2%-8.4%6.4%91.3K7.3M-38.6K0.1534.21N/AN/A0094
2013-01-16$38175.00$37500.0033.6%9.6%42.5%11.1%36.3%-9.5%7.7%145.6K7.4M-37.7K0.2532.39N/AN/A0094
2013-01-17$37450.00$37500.0034.9%10.0%41.5%15.7%34.7%-9.1%6.2%43.9K7.9M-37.3K0.3321.21N/AN/A1094
2013-01-18$37175.00$37500.0032.4%9.3%40.3%6.8%31.2%-10.0%7.1%-2.4K8.4M-38.7K0.1630.39N/AN/A0094
2013-01-22$36600.00$37500.0031.7%9.1%40.3%4.5%31.7%-10.2%5.5%159.2K2.1M-35.8K0.0420.96N/AN/A1042
2013-01-23$36425.00$35000.0033.6%9.6%38.5%10.9%33.1%-8.6%2.9%157.3K2.1M-35.8K0.0319.16N/AN/A1042
2013-01-24$36400.00$35000.0034.5%9.9%38.0%14.2%34.4%0.9%3.2%217.1K1.4M-36.2K0.1233.27N/AN/A0052
2013-01-25$35800.00$35000.0030.0%8.6%37.4%0.0%37.1%-15.6%4.3%222.4K1.4M-37.4K0.0519.93N/AN/A0052
2013-01-28$35900.00$35000.0031.0%8.9%37.4%3.4%34.3%-12.2%4.1%230.5K868.1K-38.9K0.1583.60N/AN/A0052
2013-01-29$35475.00$35000.0031.6%9.0%33.6%5.4%34.5%-12.8%4.8%231.7K1.2M-39.0K0.0333.38N/AN/A0052
2013-01-30$35825.00$35000.0032.0%9.2%30.3%7.0%35.5%-13.8%5.1%263.5K730.5K-39.5K0.1133.26N/AN/A0062
2013-01-31$36100.00$35000.0034.0%9.7%16.1%13.7%39.3%-11.0%1.0%287.3K466.0K-39.5K0.0586.20N/AN/A0062