SPXS Options History — May 2013

In May 2013, SPXS traded between $24825.00 and $29400.00. ATM implied volatility averaged 34.9%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.1% (HV 20d: 32.8%). Max pain ranged from $25000.00 to $27500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2013-05-01: Highest Volume — 1 contracts
  • 2013-05-14: Largest IV drop — 55.2% change
  • 2013-05-31: Highest IV Rank — 64.8%
  • 2013-05-31: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26264.77$24825.00$29400.00$29400.00$26500.00
Max Pain$25340.91$25000.00$27500.00$27500.00$25000.00
ATM IV34.9%18.4%45.1%40.3%45.1%
Expected Move10.5%8.7%12.9%11.6%12.9%
HV 20d32.8%24.1%43.7%42.3%30.2%
HV 60d33.6%31.4%35.2%34.3%32.8%
IV Rank37.2%0.0%64.8%47.9%64.8%
IV Percentile32.6%0.0%79.9%56.7%79.9%
Term Structure2.7%-0.2%5.4%0.9%2.9%
VWIV38.6%34.2%43.4%38.8%40.7%
Skew 25d-13.7%-23.8%-5.0%-7.3%-5.0%
Skew 10d-12.7%-31.3%60.1%-8.4%60.1%
Call IV 25d43.7%37.5%49.7%41.3%49.7%
Put IV 25d30.0%17.8%44.7%33.9%44.7%
Bid-Ask Spread %24.7414.6235.9526.3434.25
Gamma HHI0.280.210.400.210.25
Net GEX309.1K202.2K431.2K354.6K298.2K
Net DEX-1.5M-4.2M949.8K-4.1M-4.2M
Net VEX-44.4K-49.7K-39.5K-45.2K-49.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.030.680.030.05
Total Volume0.50110
Total OI14.22712161214

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$29400.00$27500.0040.3%11.6%42.3%47.9%38.8%-7.3%0.9%354.6K-4.1M-45.2K0.0326.34N/AN/A1093
2013-05-02$28625.00$27500.0030.5%8.7%43.0%21.1%36.5%-9.3%5.4%403.7K-3.5M-48.4K0.0617.31N/AN/A10103
2013-05-03$27725.00$27500.0031.9%9.2%43.7%25.1%34.4%-11.1%5.1%390.7K-1.8M-44.1K0.1028.98N/AN/A10113
2013-05-06$27500.00$25000.0032.9%10.5%43.4%27.6%39.6%-12.1%1.4%431.0K-2.2M-47.1K0.4135.95N/AN/A00113
2013-05-07$27075.00$25000.0032.0%10.8%43.5%25.1%36.5%-13.6%0.9%420.1K-1.4M-44.3K0.2816.71N/AN/A10123
2013-05-08$26700.00$25000.0035.5%11.0%42.0%34.7%37.3%-12.4%-0.2%402.0K-1.3M-45.8K0.2614.62N/AN/A00123
2013-05-09$26875.00$25000.0035.9%10.6%42.1%35.8%41.1%-10.9%1.8%431.2K-2.0M-46.7K0.4026.81N/AN/A10123
2013-05-10$26625.00$25000.0031.7%10.5%42.0%24.5%39.1%-14.6%3.5%409.3K-939.1K-44.4K0.4617.99N/AN/A00133
2013-05-13$26550.00$25000.0041.1%11.1%32.7%49.9%39.8%-10.8%2.5%394.2K-824.6K-45.0K0.0625.55N/AN/A00133
2013-05-14$25750.00$25000.0018.4%9.7%31.3%0.0%36.9%-18.7%2.6%278.2K404.4K-41.8K0.4029.38N/AN/A00133
2013-05-15$25325.00$25000.0023.7%9.9%25.0%13.0%34.2%-19.5%3.1%205.1K949.8K-39.5K0.2932.78N/AN/A00133
2013-05-16$25725.00$25000.0035.9%10.3%24.6%42.5%39.9%-16.2%3.6%208.6K-398.9K-43.3K0.3327.12N/AN/A00133
2013-05-17$24925.00$25000.0035.9%10.3%25.1%42.6%39.4%-23.8%3.3%219.7K522.9K-40.7K0.1127.15N/AN/A10133
2013-05-20$24875.00$25000.0037.5%10.8%25.2%46.5%38.9%-7.2%0.9%202.2K-639.2K-41.1K0.3221.55N/AN/A0093
2013-05-21$24825.00$25000.0035.9%10.3%24.1%42.5%35.2%-12.2%3.2%212.2K-448.6K-40.7K0.6822.34N/AN/A00103
2013-05-22$25375.00$25000.0035.9%10.3%26.4%42.4%35.6%-13.0%4.9%225.9K-1.3M-43.7K0.2328.89N/AN/A10103
2013-05-23$25500.00$25000.0037.0%10.6%26.7%45.3%39.2%-15.3%2.7%242.2K-2.1M-45.7K0.2416.69N/AN/A10103
2013-05-24$25650.00$25000.0036.1%10.4%26.8%43.1%38.7%-14.4%3.5%257.9K-2.4M-46.1K0.2721.31N/AN/A10103
2013-05-28$25225.00$25000.0038.0%10.9%26.7%47.7%40.7%-19.7%3.1%257.6K-1.3M-43.0K0.2422.11N/AN/A10103
2013-05-29$25675.00$25000.0037.2%10.7%28.0%45.8%43.4%-17.9%3.8%275.9K-2.4M-46.4K0.0927.58N/AN/A10113
2013-05-30$25400.00$25000.0039.1%11.2%25.8%50.4%42.7%-16.7%1.5%279.4K-1.8M-44.8K0.2222.93N/AN/A00113
2013-05-31$26500.00$25000.0045.1%12.9%30.2%64.8%40.7%-5.0%2.9%298.2K-4.2M-49.7K0.0534.25N/AN/A00113