SPXS Options History — April 2013

In April 2013, SPXS traded between $28700.00 and $31925.00. ATM implied volatility averaged 37.4%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 3.1% (HV 20d: 34.3%). Max pain ranged from $27500.00 to $30000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2013-04-15: Highest Volume — 2 contracts
  • 2013-04-15: Largest IV spike — 44.9% change
  • 2013-04-15: Highest IV Rank — 70.9%
  • 2013-04-15: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30330.68$28700.00$31925.00$31025.00$28700.00
Max Pain$28636.36$27500.00$30000.00$30000.00$27500.00
ATM IV37.4%28.7%48.8%31.0%33.0%
Expected Move10.8%8.2%14.0%8.9%9.5%
HV 20d34.3%22.1%43.3%22.2%43.0%
HV 60d31.2%26.6%35.0%26.6%34.6%
IV Rank39.9%16.2%70.9%22.6%28.1%
IV Percentile39.1%2.7%90.8%8.1%15.9%
Term Structure2.4%-1.5%6.1%4.3%3.2%
VWIV38.8%25.4%46.8%38.9%36.9%
Skew 25d-14.8%-23.3%-9.2%-12.4%-10.5%
Skew 10d-16.8%-36.1%42.1%-28.4%-16.0%
Call IV 25d44.8%37.0%56.2%41.4%43.6%
Put IV 25d30.0%21.6%38.5%29.0%33.1%
Bid-Ask Spread %23.9813.4441.4022.6027.89
Gamma HHI0.290.190.600.190.22
Net GEX435.7K224.0K744.2K359.1K328.2K
Net DEX-3.0M-8.2M-513.9K-3.2M-2.2M
Net VEX-45.3K-52.3K-40.0K-46.0K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.040.460.050.17
Total Volume0.8180200
Total OI13.6829171312

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$31025.00$30000.0031.0%8.9%22.2%22.6%38.9%-12.4%4.3%359.1K-3.2M-46.0K0.0522.60N/AN/A00103
2013-04-02$30575.00$30000.0028.7%8.2%22.1%16.2%37.4%-11.6%5.9%369.9K-2.0M-43.3K0.2220.73N/AN/A10103
2013-04-03$31525.00$30000.0041.3%11.8%23.7%50.5%39.1%-14.3%-1.5%450.8K-4.4M-48.0K0.0518.75N/AN/A10113
2013-04-04$31150.00$30000.0030.9%8.9%23.9%22.2%40.7%-11.3%3.7%454.4K-4.0M-48.8K0.0821.62N/AN/A00113
2013-04-05$31525.00$30000.0040.5%11.5%24.4%48.2%40.1%-16.9%2.0%490.9K-5.1M-50.0K0.1017.92N/AN/A10123
2013-04-08$30900.00$30000.0033.0%9.9%25.0%27.9%39.3%-21.6%3.8%491.9K-2.1M-44.7K0.0414.40N/AN/A00113
2013-04-09$30550.00$30000.0032.5%9.9%25.0%26.5%25.4%-23.3%4.1%466.6K-1.5M-44.2K0.1528.21N/AN/A10113
2013-04-10$29425.00$27500.0034.7%10.6%27.9%32.5%37.1%-13.5%2.7%405.9K-567.0K-42.0K0.0819.24N/AN/A10123
2013-04-11$29150.00$27500.0036.1%10.3%28.0%36.3%33.6%-13.3%4.5%474.6K-513.9K-40.0K0.0820.41N/AN/A10133
2013-04-12$29325.00$27500.0033.7%9.7%27.8%29.8%36.6%-12.4%6.1%532.5K-1.6M-44.4K0.1926.92N/AN/A10133
2013-04-15$31325.00$27500.0048.8%14.0%37.1%70.9%44.0%-13.6%-0.9%744.2K-8.2M-52.3K0.1530.70N/AN/A20143
2013-04-16$30025.00$27500.0037.0%10.6%39.5%38.7%40.3%-14.4%3.3%695.3K-2.6M-45.4K0.0421.16N/AN/A20143
2013-04-17$31350.00$27500.0047.7%13.7%42.7%67.9%46.8%-14.7%0.1%640.4K-5.6M-49.0K0.2421.02N/AN/A10133
2013-04-18$31925.00$30000.0047.7%13.7%42.6%67.9%45.1%-18.0%0.0%712.0K-6.4M-51.1K0.0538.33N/AN/A10133
2013-04-19$31075.00$30000.0035.2%10.1%42.7%33.9%40.7%-16.4%4.6%371.3K-3.3M-46.5K0.2818.09N/AN/A00133
2013-04-22$30675.00$30000.0036.9%10.6%42.2%38.6%41.9%-17.2%3.7%226.3K-2.5M-43.7K0.3833.23N/AN/A1072
2013-04-23$29725.00$27500.0036.9%10.6%43.3%38.4%40.8%-20.5%1.8%224.0K-1.1M-41.9K0.4641.40N/AN/A1072
2013-04-24$29675.00$27500.0037.4%10.7%42.7%39.9%36.5%-22.4%1.8%238.4K-1.2M-43.7K0.0917.41N/AN/A0082
2013-04-25$29300.00$27500.0040.8%11.7%42.8%49.2%40.0%-9.6%-0.9%239.1K-925.9K-41.9K0.0513.44N/AN/A2083
2013-04-26$29450.00$27500.0038.9%11.2%42.9%44.0%38.2%-9.3%-0.1%326.6K-3.8M-45.3K0.3022.97N/AN/A0093
2013-04-29$28900.00$27500.0039.9%11.4%43.1%46.7%33.6%-9.2%-0.3%342.9K-2.5M-43.0K0.0531.06N/AN/A1093
2013-04-30$28700.00$27500.0033.0%9.5%43.0%28.1%36.9%-10.5%3.2%328.2K-2.2M-41.7K0.1727.89N/AN/A0093