SPXS Options History — July 2013

In July 2013, SPXS traded between $22950.00 and $26800.00. ATM implied volatility averaged 37.6%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.6% (HV 20d: 38.2%). Max pain ranged from $20000.00 to $27500.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.21.

Notable Days

  • 2013-07-26: Highest Volume — 3 contracts
  • 2013-07-16: Largest IV spike — 28.8% change
  • 2013-07-01: Highest IV Rank — 70.2%
  • 2013-07-01: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24164.77$22950.00$26800.00$26700.00$23250.00
Max Pain$22727.27$20000.00$27500.00$25000.00$20000.00
ATM IV37.6%31.3%47.6%47.6%34.6%
Expected Move10.9%9.0%13.7%13.7%9.9%
HV 20d38.2%21.5%52.1%52.1%21.5%
HV 60d38.8%36.3%42.2%42.2%36.3%
IV Rank46.0%30.8%70.2%70.2%39.0%
IV Percentile39.3%8.7%84.8%84.8%25.8%
Term Structure3.2%-1.4%6.0%1.7%2.7%
VWIV40.1%31.6%48.8%48.8%37.7%
Skew 25d-13.0%-23.8%-6.3%-14.9%-11.4%
Skew 10d-12.4%-40.9%47.9%-30.8%-4.8%
Call IV 25d45.6%36.3%54.8%54.8%44.4%
Put IV 25d32.5%26.2%39.9%39.9%33.0%
Bid-Ask Spread %32.1721.6942.9128.7742.91
Gamma HHI0.320.220.530.240.25
Net GEX346.6K162.5K532.4K510.5K392.1K
Net DEX-3.3M-8.8M-3.9K-8.2M-5.6M
Net VEX-36.6K-54.2K-27.2K-52.5K-40.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.011.070.090.13
Total Volume0.7730311
Total OI17.81810222015

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$26700.00$25000.0047.6%13.7%52.1%70.2%48.8%-14.9%1.7%510.5K-8.2M-52.5K0.0928.77N/AN/A10173
2013-07-02$26800.00$25000.0046.6%13.3%51.8%67.5%43.8%-13.7%1.6%532.4K-8.8M-54.2K1.0726.38N/AN/A00173
2013-07-03$26700.00$25000.0047.4%13.6%49.5%69.6%43.0%-15.7%0.8%526.2K-8.1M-51.9K0.9626.79N/AN/A00173
2013-07-05$25875.00$27500.0035.8%12.0%49.7%41.8%46.4%-21.6%3.5%482.7K-5.0M-44.2K0.2338.28N/AN/A10173
2013-07-08$25475.00$25000.0038.1%11.2%48.1%47.2%46.7%-23.8%6.0%491.3K-4.1M-42.0K0.4426.73N/AN/A10173
2013-07-09$24925.00$25000.0039.6%11.5%48.7%50.7%41.1%-12.8%3.8%462.2K-2.7M-39.4K0.1123.46N/AN/A10183
2013-07-10$24850.00$25000.0037.8%11.4%47.2%46.5%40.5%-12.3%3.6%502.2K-3.0M-39.5K0.1341.09N/AN/A00183
2013-07-11$23825.00$25000.0043.5%12.5%48.0%60.3%44.9%-15.7%1.5%364.4K-237.6K-33.3K0.2036.69N/AN/A10183
2013-07-12$23800.00$22500.0044.6%12.8%45.8%62.8%38.7%-13.1%-1.0%407.2K-1.0M-33.5K0.1321.69N/AN/A00193
2013-07-15$23500.00$22500.0035.5%10.2%45.2%41.0%45.5%-16.7%4.3%260.6K-3.9K-30.2K0.0923.14N/AN/A00193
2013-07-16$23775.00$22500.0045.7%13.1%45.2%65.5%44.5%-13.8%-1.4%351.8K-731.1K-31.6K0.3233.47N/AN/A10192
2013-07-17$23600.00$22500.0036.4%10.4%44.6%43.1%44.4%-12.4%6.0%257.2K-451.0K-30.3K0.3032.84N/AN/A00193
2013-07-18$23200.00$22500.0035.5%10.2%42.2%41.0%42.6%-11.9%5.1%164.8K-150.2K-28.9K0.0428.28N/AN/A10192
2013-07-19$23075.00$22500.0035.3%10.1%29.7%40.6%37.2%-12.7%3.4%172.8K-419.8K-27.7K0.0526.02N/AN/A10192
2013-07-22$22950.00$22500.0032.6%9.3%29.7%33.9%32.7%-11.6%2.9%162.5K-1.1M-27.2K0.0434.66N/AN/A1082
2013-07-23$23100.00$20000.0031.3%9.0%24.7%31.0%32.8%-10.9%5.6%203.6K-2.1M-28.1K0.1131.05N/AN/A1092
2013-07-24$23325.00$20000.0031.3%9.0%24.7%30.8%33.5%-7.7%4.8%219.9K-3.2M-31.1K0.1038.31N/AN/A1092
2013-07-25$23175.00$20000.0031.9%9.1%23.6%32.3%31.6%-9.9%3.1%237.9K-3.6M-32.6K0.0733.78N/AN/A10102
2013-07-26$23100.00$20000.0032.7%9.4%23.5%34.2%35.8%-6.3%2.6%227.1K-3.5M-31.4K0.0136.40N/AN/A30102
2013-07-29$23325.00$20000.0031.5%9.0%22.5%31.5%33.2%-9.6%5.7%347.2K-5.0M-37.4K0.0434.96N/AN/A00122
2013-07-30$23300.00$20000.0031.6%9.1%21.8%31.6%37.8%-8.1%4.6%347.7K-5.0M-37.5K0.0242.01N/AN/A10132
2013-07-31$23250.00$20000.0034.6%9.9%21.5%39.0%37.7%-11.4%2.7%392.1K-5.6M-40.2K0.1342.91N/AN/A10132