SPXS Options History — March 2013

In March 2013, SPXS traded between $30800.00 and $34150.00. ATM implied volatility averaged 32.6%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 0.0% (HV 20d: 32.6%). Max pain ranged from $30000.00 to $35000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.09.

Notable Days

  • 2013-03-01: Highest Volume — 1 contracts
  • 2013-03-04: Largest IV drop — 43.8% change
  • 2013-03-22: Highest IV Rank — 46.2%
  • 2013-03-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31875.00$30800.00$34150.00$34150.00$30800.00
Max Pain$32500.00$30000.00$35000.00$32500.00$30000.00
ATM IV32.6%22.7%40.4%40.4%30.3%
Expected Move10.1%7.6%11.6%11.6%8.7%
HV 20d32.6%21.8%38.0%38.0%21.8%
HV 60d33.7%30.6%34.8%34.4%30.6%
IV Rank26.4%0.0%46.2%41.5%20.7%
IV Percentile18.2%0.0%50.0%50.0%5.4%
Term Structure4.4%0.6%9.0%1.5%5.1%
VWIV33.9%20.4%44.1%34.3%32.1%
Skew 25d-13.9%-28.0%-10.4%-25.9%-12.3%
Skew 10d-23.1%-30.3%-7.5%-7.5%-17.8%
Call IV 25d41.6%36.2%48.4%45.0%40.5%
Put IV 25d27.7%19.1%33.2%19.1%28.2%
Bid-Ask Spread %28.748.7288.8688.8618.22
Gamma HHI0.270.150.500.230.17
Net GEX413.3K250.1K660.5K464.0K341.2K
Net DEX-836.2K-2.7M736.7K-2.7M-1.6M
Net VEX-44.5K-52.3K-38.8K-50.5K-43.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.020.270.030.07
Total Volume0.550111
Total OI12.410141113

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$34150.00$32500.0040.4%11.6%38.0%41.5%34.3%-25.9%1.5%464.0K-2.7M-50.5K0.0388.86N/AN/A1092
2013-03-04$33600.00$35000.0022.7%10.3%37.0%0.0%31.8%-28.0%4.6%480.1K-2.7M-52.3K0.0715.54N/AN/A0092
2013-03-05$32675.00$35000.0030.3%10.3%35.7%20.6%36.1%-15.1%5.4%417.3K186.5K-43.5K0.0444.45N/AN/A1093
2013-03-06$32500.00$35000.0032.0%10.4%34.6%25.3%37.3%-13.1%4.7%497.3K-992.1K-47.0K0.0421.05N/AN/A0093
2013-03-07$32325.00$35000.0032.1%9.9%34.6%25.4%37.1%-13.4%6.3%528.8K-553.1K-44.9K0.0415.42N/AN/A00103
2013-03-08$31925.00$32500.0029.9%9.8%34.7%19.6%30.3%-15.0%6.7%557.5K232.4K-42.9K0.058.72N/AN/A10103
2013-03-11$31575.00$32500.0025.2%10.0%34.6%6.9%31.3%-10.4%5.6%530.4K466.8K-39.8K0.2672.65N/AN/A10103
2013-03-12$31725.00$32500.0027.4%10.3%34.7%12.8%34.3%-12.4%5.7%660.5K-850.4K-44.2K0.0515.97N/AN/A10113
2013-03-13$31650.00$32500.0030.9%10.3%34.7%22.3%34.1%-10.4%5.5%619.5K-370.8K-41.8K0.0416.92N/AN/A00113
2013-03-14$31150.00$32500.0026.6%7.6%34.9%10.7%29.2%-12.0%9.0%430.2K736.7K-38.8K0.0220.40N/AN/A00113
2013-03-15$31275.00$30000.0034.3%9.8%35.1%31.6%32.1%-10.9%6.9%477.7K-598.8K-43.2K0.2312.62N/AN/A00113
2013-03-18$31725.00$30000.0037.1%10.6%35.6%39.2%34.9%-12.6%2.1%250.1K-912.5K-44.3K0.1021.81N/AN/A1082
2013-03-19$31950.00$32500.0039.7%11.4%35.2%46.2%36.2%-12.1%0.6%261.2K-1.5M-47.5K0.0582.30N/AN/A1083
2013-03-20$31325.00$32500.0037.0%10.6%32.4%38.7%35.2%-13.2%3.7%261.8K-319.2K-44.1K0.1822.69N/AN/A0093
2013-03-21$32100.00$32500.0039.4%11.3%33.3%45.3%44.1%-12.6%1.6%289.0K-1.8M-47.4K0.2721.43N/AN/A0093
2013-03-22$31375.00$32500.0039.7%11.4%32.8%46.2%39.1%-13.1%2.4%270.6K-917.2K-46.4K0.0215.37N/AN/A1093
2013-03-25$31700.00$32500.0037.0%10.6%24.6%38.8%37.2%-13.3%2.9%301.6K-1.6M-46.8K0.0719.44N/AN/A0093
2013-03-26$30975.00$32500.0028.8%8.3%24.7%16.6%30.3%-11.9%3.9%310.1K101.5K-38.8K0.0821.19N/AN/A1093
2013-03-27$31000.00$30000.0030.3%8.7%22.2%20.5%20.4%-10.6%3.2%318.0K-988.7K-42.9K0.0619.80N/AN/A10103
2013-03-28$30800.00$30000.0030.3%8.7%21.8%20.7%32.1%-12.3%5.1%341.2K-1.6M-43.0K0.0718.22N/AN/A10103