SPXS Options History — June 2013

In June 2013, SPXS traded between $25250.00 and $29025.00. ATM implied volatility averaged 47.0%, placing in the 69.3% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 5.1% (HV 20d: 41.9%). Max pain ranged from $25000.00 to $25000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.15.

Notable Days

  • 2013-06-20: Highest Volume — 7 contracts
  • 2013-06-07: Largest IV drop — 29.0% change
  • 2013-06-24: Highest IV Rank — 100.0%
  • 2013-06-24: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26842.50$25250.00$29025.00$26025.00$27350.00
Max Pain$25000.00$25000.00$25000.00$25000.00$25000.00
ATM IV47.0%35.1%60.1%40.6%47.3%
Expected Move13.6%11.7%17.2%11.7%13.6%
HV 20d41.9%28.9%53.5%28.9%51.7%
HV 60d37.8%32.9%42.3%32.9%42.1%
IV Rank69.3%40.7%100.0%54.0%69.4%
IV Percentile81.1%27.4%100.0%60.9%83.1%
Term Structure1.5%-2.7%4.4%-0.2%2.8%
VWIV49.3%39.3%61.8%46.1%40.1%
Skew 25d-19.0%-31.0%-10.1%-14.9%-10.7%
Skew 10d-30.8%-44.0%1.3%-21.3%1.3%
Call IV 25d57.5%50.9%67.5%50.9%53.4%
Put IV 25d38.4%23.8%50.5%36.0%42.8%
Bid-Ask Spread %23.329.2930.3828.2129.76
Gamma HHI0.270.230.390.250.23
Net GEX426.8K302.0K737.9K302.0K530.0K
Net DEX-7.0M-12.4M-3.2M-3.5M-9.4M
Net VEX-52.1K-64.6K-46.1K-48.4K-56.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.040.470.220.08
Total Volume1.50710
Total OI16.114191419

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$26025.00$25000.0040.6%11.7%28.9%54.0%46.1%-14.9%-0.2%302.0K-3.5M-48.4K0.2228.21N/AN/A10113
2013-06-04$26450.00$25000.0047.4%13.6%29.6%70.5%39.3%-12.7%-1.5%324.0K-4.5M-50.3K0.0426.84N/AN/A10113
2013-06-05$27575.00$25000.0047.4%13.6%32.9%70.4%45.5%-10.1%-1.8%351.8K-7.5M-54.2K0.4727.41N/AN/A11123
2013-06-06$26825.00$25000.0049.5%14.2%34.0%75.7%47.1%-13.3%-1.5%340.3K-6.2M-52.5K0.1127.37N/AN/A10123
2013-06-07$25800.00$25000.0035.1%11.9%36.6%40.7%46.6%-31.0%4.0%334.8K-3.5M-48.9K0.2018.76N/AN/A10123
2013-06-10$25775.00$25000.0042.2%12.0%36.5%57.8%45.4%-27.4%4.0%364.0K-3.9M-47.9K0.0818.51N/AN/A10123
2013-06-11$26550.00$25000.0045.0%14.1%38.2%64.7%50.6%-19.1%3.3%399.9K-6.0M-50.1K0.1321.07N/AN/A10123
2013-06-12$27200.00$25000.0051.1%14.7%37.3%79.6%54.6%-19.1%1.4%415.9K-7.7M-52.9K0.1017.83N/AN/A10123
2013-06-13$26000.00$25000.0042.7%12.2%40.5%59.1%50.1%-20.9%3.8%387.6K-4.4M-47.0K0.1320.12N/AN/A10133
2013-06-14$26425.00$25000.0050.0%14.3%40.5%76.9%49.9%-21.0%2.4%413.6K-5.6M-49.0K0.1024.38N/AN/A00133
2013-06-17$25850.00$25000.0044.8%12.9%39.6%64.2%50.3%-29.0%4.0%412.8K-4.1M-46.2K0.2021.24N/AN/A10133
2013-06-18$25250.00$25000.0044.1%12.6%40.6%62.4%51.2%-21.1%4.4%389.0K-3.2M-46.1K0.2021.94N/AN/A10133
2013-06-19$26200.00$25000.0043.0%12.3%42.6%59.8%48.0%-20.5%3.8%405.9K-5.8M-47.3K0.1629.97N/AN/A10143
2013-06-20$28225.00$25000.0055.3%15.8%49.3%89.6%61.8%-19.2%-2.7%543.2K-12.4M-49.9K0.1030.38N/AN/A61133
2013-06-21$27950.00$25000.0050.8%14.6%49.6%78.8%54.6%-18.0%0.4%737.9K-12.4M-58.8K0.1021.06N/AN/A20163
2013-06-24$29025.00$25000.0060.1%17.2%50.9%100.0%56.2%-17.0%-2.2%444.8K-12.0M-60.9K0.079.29N/AN/A50142
2013-06-25$28150.00$25000.0047.7%13.7%52.0%70.2%52.0%-21.9%2.7%505.4K-11.1M-64.6K0.2221.92N/AN/A10152
2013-06-26$27350.00$25000.0048.9%14.0%53.2%73.3%48.0%-19.6%0.7%465.9K-8.9M-56.1K0.1723.40N/AN/A10152
2013-06-27$26875.00$25000.0047.3%13.6%53.5%69.3%47.6%-14.3%2.6%467.5K-8.0M-54.7K0.1026.93N/AN/A10163
2013-06-28$27350.00$25000.0047.3%13.6%51.7%69.4%40.1%-10.7%2.8%530.0K-9.4M-56.1K0.0829.76N/AN/A00163