SPXS Options History — August 2013

In August 2013, SPXS traded between $22350.00 and $25480.00. ATM implied volatility averaged 35.4%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 11.5% (HV 20d: 23.9%). Max pain ranged from $20000.00 to $25500.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2013-08-15: Highest Volume — 3 contracts
  • 2013-08-15: Largest IV spike — 110.9% change
  • 2013-08-30: Highest IV Rank — 69.9%
  • 2013-08-30: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23800.00$22350.00$25480.00$22475.00$25325.00
Max Pain$21800.00$20000.00$25500.00$20000.00$25000.00
ATM IV35.4%20.2%47.5%31.5%47.5%
Expected Move11.2%8.8%13.6%9.0%13.6%
HV 20d23.9%18.1%31.5%23.4%28.2%
HV 60d36.8%35.8%37.5%36.8%36.2%
IV Rank40.9%4.2%69.9%31.5%69.9%
IV Percentile39.2%0.4%88.1%9.9%88.1%
Term Structure2.3%-0.3%5.4%5.3%2.2%
VWIV40.5%30.6%50.0%32.8%48.5%
Skew 25d-14.9%-23.2%-8.6%-14.4%-14.9%
Skew 10d-13.0%-31.6%81.4%-23.1%-24.9%
Call IV 25d46.6%40.4%55.5%41.9%55.5%
Put IV 25d31.7%21.0%41.1%27.4%40.6%
Bid-Ask Spread %30.7419.0644.8639.8929.12
Gamma HHI0.230.130.360.240.13
Net GEX290.6K0594.1K352.6K134.2K
Net DEX-5.1M-10.2M0-4.4M-3.5M
Net VEX-29.1K-43.7K0-35.3K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.030.790.170.41
Total Volume0.6190310
Total OI11.524017165

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$22475.00$20000.0031.5%9.0%23.4%31.5%32.8%-14.4%5.3%352.6K-4.4M-35.3K0.1739.89N/AN/A10142
2013-08-02$22350.00$20000.0030.8%8.8%21.9%29.8%30.6%-14.3%5.4%350.4K-4.6M-34.4K0.1237.11N/AN/A10142
2013-08-05$22375.00$20000.0030.6%10.0%21.8%29.3%35.1%-8.6%2.3%353.9K-5.2M-34.1K0.1421.43N/AN/A00152
2013-08-06$22775.00$20000.0028.7%10.3%22.6%24.6%38.1%-18.1%2.1%398.2K-6.5M-38.2K0.0823.74N/AN/A10152
2013-08-07$23000.00$20000.0030.1%10.3%23.2%28.1%37.5%-18.7%1.9%428.1K-6.7M-39.2K0.4424.15N/AN/A00152
2013-08-08$22775.00$20000.0029.9%10.0%18.5%27.6%34.8%-20.4%2.5%423.8K-6.4M-38.9K0.3431.39N/AN/A00152
2013-08-09$22950.00$20000.0026.8%10.5%18.8%20.1%38.8%-23.2%2.1%437.4K-7.2M-39.9K0.1533.72N/AN/A00152
2013-08-12$23050.00$20000.0021.0%11.1%18.5%6.2%38.8%-19.4%-0.3%429.5K-7.5M-39.2K0.1731.39N/AN/A00152
2013-08-13$22825.00$20000.0022.8%10.2%18.1%10.6%38.9%-20.1%2.5%457.0K-6.5M-37.9K0.3237.22N/AN/A00152
2013-08-14$23175.00$20000.0020.2%10.1%19.0%4.2%40.3%-19.8%3.2%379.5K-7.6M-40.6K0.0332.71N/AN/A00152
2013-08-15$24200.00$20000.0042.5%12.2%23.7%57.9%40.9%-9.3%2.7%527.0K-9.9M-43.7K0.0631.76N/AN/A30152
2013-08-16$24350.00$20000.0040.4%11.6%23.5%52.8%40.1%-13.1%3.9%594.1K-9.9M-43.0K0.0328.68N/AN/A10152
2013-08-19$24850.00$20000.0041.6%11.9%24.1%55.6%40.4%-13.3%0.4%410.5K-10.2M-42.5K0.2531.38N/AN/A00132
2013-08-21$24935.00$0.0046.4%13.3%24.1%67.1%45.2%-10.2%0.5%0000.2132.27N/AN/A1000
2013-08-22$24295.00$25000.0040.6%11.6%26.2%53.2%42.1%-14.7%0.9%35.2K-710.3K-4.2K0.4619.06N/AN/A1010
2013-08-23$24025.00$25500.0037.3%10.7%26.5%45.2%40.0%-13.3%4.2%46.7K-1.1M-10.1K0.7944.86N/AN/A0021
2013-08-26$24300.00$25500.0041.1%11.8%26.6%54.4%40.1%-12.0%1.3%46.7K-1.2M-12.6K0.4228.65N/AN/A0021
2013-08-27$25480.00$25000.0046.4%13.3%31.0%67.2%47.6%-9.3%1.6%53.3K-1.9M-14.4K0.1130.88N/AN/A2021
2013-08-28$25220.00$25000.0043.4%12.5%31.3%60.1%48.7%-13.3%2.1%117.5K-3.0M-19.7K0.2829.24N/AN/A1041
2013-08-29$25070.00$25000.0044.6%12.8%31.5%62.8%50.0%-13.2%1.9%126.8K-3.1M-21.4K0.4126.87N/AN/A1041
2013-08-30$25325.00$25000.0047.5%13.6%28.2%69.9%48.5%-14.9%2.2%134.2K-3.5M-22.6K0.4129.12N/AN/A0041