SPXS Options History — September 2013

In September 2013, SPXS traded between $21300.00 and $24985.00. ATM implied volatility averaged 38.8%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 8.9% (HV 20d: 29.9%). Max pain ranged from $23500.00 to $26500.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-09-23: Highest Volume — 3 contracts
  • 2013-09-12: Largest IV spike — 13.7% change
  • 2013-09-03: Highest IV Rank — 64.9%
  • 2013-09-30: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22826.25$21300.00$24985.00$24985.00$22885.00
Max Pain$25342.11$23500.00$26500.00$25000.00$26500.00
ATM IV38.8%34.6%45.4%45.4%44.2%
Expected Move14.1%11.1%16.6%13.0%16.6%
HV 20d29.9%24.7%33.6%28.8%26.0%
HV 60d31.0%27.0%35.9%35.9%27.4%
IV Rank48.9%39.0%64.9%64.9%61.9%
IV Percentile51.7%28.6%81.0%81.0%77.8%
Term Structure4.6%-0.2%8.6%1.5%-0.2%
VWIV46.9%42.2%57.0%47.8%53.5%
Skew 25d-11.8%-15.1%-9.1%-15.1%-14.1%
Skew 10d-20.3%-26.3%-15.7%-24.1%-26.3%
Call IV 25d46.5%41.2%54.7%54.7%52.7%
Put IV 25d34.7%31.8%39.8%39.5%38.6%
Bid-Ask Spread %26.2114.2452.3330.4921.68
Gamma HHI0.130.100.230.130.11
Net GEX218.4K122.8K411.4K142.8K411.4K
Net DEX-2.1M-6.3M963.9K-3.3M-6.3M
Net VEX-23.6K-30.3K-18.5K-22.7K-30.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.041.050.300.05
Total Volume1.10312
Total OI9.8513513

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$24985.00$25000.0045.4%13.0%28.8%64.9%47.8%-15.1%1.5%142.8K-3.3M-22.7K0.3030.49N/AN/A1041
2013-09-04$24345.00$25000.0042.7%12.2%30.8%58.2%45.6%-13.6%3.4%140.2K-2.5M-22.8K0.3947.89N/AN/A0052
2013-09-05$24310.00$25000.0041.9%12.0%30.5%56.4%43.7%-9.1%3.7%154.0K-2.3M-23.5K1.0552.33N/AN/A0052
2013-09-06$24250.00$24000.0039.8%12.0%30.4%51.2%47.8%-13.7%4.5%148.1K-2.2M-23.8K0.1715.10N/AN/A1052
2013-09-09$23495.00$23500.0040.8%12.1%32.5%53.7%44.5%-11.2%3.6%138.8K-1.4M-22.4K0.0914.24N/AN/A1062
2013-09-10$23000.00$23500.0036.1%11.7%33.4%42.4%44.3%-14.1%5.1%163.8K-1.3M-23.1K0.1026.52N/AN/A1072
2013-09-11$22765.00$23500.0034.6%11.2%33.6%39.0%43.8%-12.2%5.5%163.4K-796.3K-21.7K0.1230.00N/AN/A1072
2013-09-12$22920.00$23500.0039.4%11.3%33.5%50.4%45.5%-13.6%5.7%200.8K-1.4M-23.2K0.1329.71N/AN/A1072
2013-09-13$22790.00$23500.0038.8%11.1%33.1%49.0%42.2%-12.2%6.3%202.6K-1.1M-22.7K0.5846.11N/AN/A0072
2013-09-16$22380.00$0.0039.4%15.8%29.2%50.3%57.0%-11.9%4.9%155.7K-311.8K-21.1K0.2229.83N/AN/A1082
2013-09-17$22090.00$26500.0038.1%16.0%29.1%47.3%0.0%-12.7%6.6%187.1K-119.0K-20.6K0.0426.55N/AN/A1082
2013-09-18$21300.00$26500.0037.3%15.8%29.5%45.3%0.0%-9.4%8.5%122.8K963.9K-18.5K0.1921.55N/AN/A2082
2013-09-19$21395.00$26500.0035.6%15.8%29.6%41.2%0.0%-9.4%8.2%251.7K630.1K-19.0K0.3322.58N/AN/A1092
2013-09-20$21900.00$26500.0035.3%15.8%30.7%40.4%0.0%-9.4%8.6%260.2K-1.2M-21.5K0.2214.30N/AN/A20103
2013-09-23$22145.00$26500.0036.6%15.2%31.1%43.7%53.5%-10.1%2.8%223.8K-2.9M-24.3K0.0616.97N/AN/A3072
2013-09-24$22295.00$26500.0036.7%16.4%30.9%43.9%0.0%-10.4%5.0%291.6K-3.5M-26.7K0.1918.60N/AN/A10102
2013-09-25$22485.00$26500.0036.9%15.9%24.7%44.3%0.0%-10.2%3.5%319.0K-4.1M-27.2K0.3716.38N/AN/A10102
2013-09-26$22265.00$26500.0036.8%15.9%24.7%44.2%0.0%-10.3%2.6%321.8K-3.9M-27.3K0.0425.05N/AN/A10112
2013-09-27$22525.00$26500.0039.4%16.3%25.5%50.3%0.0%-13.0%1.8%368.7K-4.9M-29.8K0.0718.33N/AN/A10112
2013-09-30$22885.00$26500.0044.2%16.6%26.0%61.9%0.0%-14.1%-0.2%411.4K-6.3M-30.3K0.0521.68N/AN/A20112