SPXS Options History — February 2013

In February 2013, SPXS traded between $33600.00 and $36350.00. ATM implied volatility averaged 36.6%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 10.4% (HV 20d: 26.2%). Max pain ranged from $32500.00 to $32500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.13.

Notable Days

  • 2013-02-20: Highest Volume — 2 contracts
  • 2013-02-25: Largest IV spike — 45.6% change
  • 2013-02-25: Highest IV Rank — 91.3%
  • 2013-02-25: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34834.21$33600.00$36350.00$35025.00$34525.00
Max Pain$32500.00$32500.00$32500.00$32500.00$32500.00
ATM IV36.6%26.9%56.7%31.9%40.9%
Expected Move10.7%7.7%16.3%10.3%11.7%
HV 20d26.2%18.3%38.2%18.3%38.1%
HV 60d33.8%30.8%37.9%37.3%34.6%
IV Rank25.1%0.0%91.3%6.6%43.0%
IV Percentile28.6%0.0%99.4%6.1%50.3%
Term Structure1.1%-6.9%5.3%-0.0%-0.2%
VWIV38.5%34.1%51.0%35.7%44.4%
Skew 25d-13.6%-27.7%-9.1%-10.8%-10.7%
Skew 10d-16.1%-26.4%9.4%-26.4%-0.3%
Call IV 25d44.4%37.9%57.0%42.9%48.5%
Put IV 25d30.8%18.2%44.8%32.1%37.7%
Bid-Ask Spread %32.3913.1080.3229.5526.31
Gamma HHI0.350.230.540.270.23
Net GEX280.6K201.6K449.2K234.0K449.2K
Net DEX-120.4K-5.1M2.3M1.9M-3.2M
Net VEX-41.8K-53.8K-33.7K-35.2K-53.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.010.690.280.12
Total Volume0.6320201
Total OI8.474710810

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$35025.00$32500.0031.9%10.3%18.3%6.6%35.7%-10.8%-0.0%234.0K1.9M-35.2K0.2829.55N/AN/A0062
2013-02-04$36175.00$32500.0034.2%10.5%22.4%14.4%38.9%-11.7%1.3%321.8K-280.3K-41.7K0.0222.93N/AN/A1062
2013-02-05$35150.00$32500.0032.0%10.4%23.4%6.9%35.8%-12.2%2.3%255.9K1.6M-35.8K0.2117.19N/AN/A0062
2013-02-06$35025.00$32500.0031.0%10.1%23.0%3.4%41.9%-12.1%2.4%265.4K1.8M-35.2K0.1134.55N/AN/A0062
2013-02-07$35100.00$32500.0035.8%10.3%23.1%19.6%37.0%-11.9%3.2%292.6K952.3K-37.5K0.0627.48N/AN/A1062
2013-02-08$34575.00$32500.0034.9%10.0%22.5%16.6%35.1%-10.5%-0.2%215.4K2.0M-35.6K0.0426.84N/AN/A0062
2013-02-11$34575.00$32500.0034.1%9.8%22.6%14.0%34.1%-10.7%3.1%201.6K2.3M-33.7K0.0113.10N/AN/A1062
2013-02-12$34400.00$32500.0035.1%10.1%22.3%17.5%35.1%-10.4%2.6%246.3K1.5M-36.1K0.0280.32N/AN/A0072
2013-02-13$34325.00$32500.0034.9%10.0%22.3%16.6%36.0%-9.1%1.6%249.0K1.7M-35.6K0.6950.97N/AN/A0072
2013-02-14$34200.00$32500.0035.2%10.1%22.3%17.6%36.3%-11.1%1.2%217.2K1.9M-35.6K0.1122.75N/AN/A0072
2013-02-15$34325.00$32500.0034.3%9.8%21.9%14.6%34.5%-9.2%2.1%226.5K1.5M-37.7K0.0656.07N/AN/A1072
2013-02-19$33600.00$32500.0026.9%7.7%22.7%0.0%34.4%-11.6%5.3%226.4K1.3M-35.8K0.1226.69N/AN/A0052
2013-02-20$34850.00$32500.0038.3%11.0%26.7%35.1%38.5%-12.4%1.6%223.0K-691.8K-41.9K0.0246.65N/AN/A2052
2013-02-21$35400.00$32500.0037.9%10.9%27.4%33.7%37.9%-21.4%2.8%289.9K-3.2M-53.4K0.0922.29N/AN/A1062
2013-02-22$34375.00$32500.0038.9%11.2%29.1%36.9%39.8%-15.3%-0.9%339.0K-2.0M-50.1K0.2021.70N/AN/A0072
2013-02-25$36350.00$32500.0056.7%16.3%35.3%91.3%51.0%-12.2%-6.9%300.3K-5.1M-53.8K0.1139.76N/AN/A1072
2013-02-26$35575.00$32500.0041.3%11.8%36.2%44.0%46.6%-27.7%0.4%353.5K-3.8M-52.5K0.0725.48N/AN/A2072
2013-02-27$34300.00$32500.0041.5%11.9%38.2%44.6%38.5%-27.5%-1.2%423.9K-2.4M-52.8K0.1224.78N/AN/A1082
2013-02-28$34525.00$32500.0040.9%11.7%38.1%43.0%44.4%-10.7%-0.2%449.2K-3.2M-53.7K0.1226.31N/AN/A1082