SPXS Options History — October 2013

In October 2013, SPXS traded between $19350.00 and $23935.00. ATM implied volatility averaged 39.4%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 3.2% (HV 20d: 36.2%). Max pain ranged from $25000.00 to $26500.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-10-08: Highest Volume — 3 contracts
  • 2013-10-16: Largest IV drop — 20.1% change
  • 2013-10-08: Highest IV Rank — 93.7%
  • 2013-10-08: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21306.52$19350.00$23935.00$22350.00$19830.00
Max Pain$25630.43$25000.00$26500.00$26500.00$25000.00
ATM IV39.4%32.0%57.5%40.1%33.3%
Expected Move16.5%15.7%17.7%16.0%16.6%
HV 20d36.2%25.8%41.0%26.7%37.8%
HV 60d30.8%26.8%33.1%27.1%32.6%
IV Rank50.4%32.7%93.7%52.2%35.8%
IV Percentile50.8%18.7%99.2%59.5%25.8%
Term Structure2.6%-1.4%5.9%2.0%5.9%
VWIV59.3%54.7%62.5%60.0%60.8%
Skew 25d-12.8%-18.6%-7.0%-12.3%-8.1%
Skew 10d-24.8%-40.8%-12.1%-23.1%-12.1%
Call IV 25d46.8%36.5%65.0%48.3%36.8%
Put IV 25d33.9%20.3%47.2%35.9%28.7%
Bid-Ask Spread %16.6610.0726.2819.5326.28
Gamma HHI0.110.090.320.090.15
Net GEX360.3K-63.2K668.9K409.2K520.3K
Net DEX-3.2M-11.6M3.5M-5.1M-4.7M
Net VEX-37.0K-45.8K-30.0K-30.0K-42.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.020.910.070.24
Total Volume1.6960301
Total OI1813241420

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$22350.00$26500.0040.1%16.0%26.7%52.2%0.0%-12.3%2.0%409.2K-5.1M-30.0K0.0719.53N/AN/A00122
2013-10-02$22440.00$26500.0042.6%16.1%25.8%58.0%0.0%-15.3%0.4%406.5K-5.2M-31.1K0.2324.54N/AN/A10122
2013-10-03$23045.00$26500.0044.8%16.8%28.0%63.3%60.0%-15.6%1.7%506.9K-7.5M-36.0K0.0817.20N/AN/A20132
2013-10-04$22535.00$26500.0042.5%17.2%28.8%57.9%61.6%-15.8%1.8%464.2K-5.7M-34.1K0.2115.34N/AN/A10142
2013-10-07$23095.00$26500.0050.5%17.2%28.5%77.0%60.4%-18.3%-1.4%547.7K-8.2M-35.9K0.1818.08N/AN/A20143
2013-10-08$23935.00$26500.0057.5%17.7%30.2%93.7%62.5%-17.7%-1.3%627.5K-11.6M-41.6K0.4219.50N/AN/A21153
2013-10-09$23870.00$26500.0051.6%17.2%29.9%79.6%60.0%-17.7%-0.1%668.9K-11.2M-45.8K0.4916.67N/AN/A11163
2013-10-10$22300.00$26500.0045.0%17.1%38.9%63.7%0.0%-15.6%3.1%456.5K-3.9M-41.6K0.2316.86N/AN/A20164
2013-10-11$21880.00$26500.0041.6%16.6%39.4%55.6%60.5%-16.3%5.8%389.4K-2.6M-39.8K0.1618.27N/AN/A20164
2013-10-14$21610.00$26000.0041.8%16.8%39.1%56.1%54.8%-17.1%4.3%300.6K-1.1M-37.2K0.4114.69N/AN/A21164
2013-10-15$22075.00$25000.0047.8%16.9%39.7%70.4%0.0%-16.1%1.1%446.1K-3.5M-41.5K0.1812.34N/AN/A20174
2013-10-16$21170.00$25000.0038.1%16.3%40.4%47.4%0.0%-13.3%-0.4%254.8K924.2K-35.5K0.0513.19N/AN/A30185
2013-10-17$20725.00$25000.0032.9%16.0%41.0%34.9%0.0%-18.6%3.7%148.2K2.6M-33.4K0.4519.30N/AN/A21185
2013-10-18$20325.00$25000.0033.0%16.0%40.4%35.1%54.7%-10.6%3.8%-63.2K3.5M-32.5K0.9110.07N/AN/A11195
2013-10-21$20315.00$25000.0032.9%15.7%40.0%34.7%58.3%-9.8%4.4%159.1K56.1K-33.9K0.0321.11N/AN/A2094
2013-10-22$19945.00$25000.0032.6%16.0%40.1%34.0%0.0%-8.5%4.7%144.6K674.5K-32.3K0.0411.43N/AN/A10104
2013-10-23$20200.00$25000.0032.2%16.1%40.3%33.1%58.7%-8.7%4.1%229.4K-993.5K-36.2K0.0911.82N/AN/A10114
2013-10-24$20015.00$25000.0032.7%16.0%40.3%34.4%0.0%-8.5%3.2%282.4K-1.5M-36.3K0.0711.37N/AN/A00124
2013-10-25$19770.00$25000.0033.0%16.0%39.9%35.1%60.8%-8.6%2.8%282.9K-984.8K-35.4K0.0210.28N/AN/A20124
2013-10-28$19665.00$25000.0032.0%16.2%39.0%32.7%0.0%-8.3%3.1%348.1K-2.2M-39.1K0.4123.92N/AN/A10144
2013-10-29$19350.00$25000.0034.3%16.2%38.7%38.2%0.0%-7.4%2.6%368.1K-1.8M-38.7K0.1915.51N/AN/A10154
2013-10-30$19605.00$25000.0033.3%16.0%39.2%35.7%0.0%-7.0%4.3%389.8K-2.8M-40.3K0.0415.85N/AN/A20154
2013-10-31$19830.00$25000.0033.3%16.6%37.8%35.8%0.0%-8.1%5.9%520.3K-4.7M-42.6K0.2426.28N/AN/A10164