SPXS Options History — November 2013

In November 2013, SPXS traded between $18000.00 and $20055.00. ATM implied volatility averaged 32.2%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 3.0% (HV 20d: 29.2%). Max pain ranged from $23500.00 to $25000.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2013-11-07: Highest Volume — 3 contracts
  • 2013-11-11: Largest IV spike — 24.8% change
  • 2013-11-13: Highest IV Rank — 41.9%
  • 2013-11-26: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18835.00$18000.00$20055.00$19680.00$18065.00
Max Pain$24625.00$23500.00$25000.00$25000.00$23500.00
ATM IV32.2%28.5%35.9%30.1%32.8%
Expected Move16.4%15.7%17.0%16.5%16.6%
HV 20d29.2%26.5%37.4%37.4%26.5%
HV 60d32.2%30.7%34.3%32.5%30.8%
IV Rank33.1%24.2%41.9%28.0%34.6%
IV Percentile21.2%4.4%42.9%6.7%26.6%
Term Structure2.5%-0.1%6.0%5.8%0.4%
VWIV58.6%55.7%64.7%60.3%64.7%
Skew 25d-9.4%-11.6%-7.5%-8.3%-8.9%
Skew 10d-17.4%-20.4%-13.4%-14.9%-15.7%
Call IV 25d39.4%35.0%44.5%35.0%38.9%
Put IV 25d30.1%26.7%33.5%26.7%30.0%
Bid-Ask Spread %14.756.6327.9924.489.97
Gamma HHI0.150.130.200.160.14
Net GEX352.4K211.0K570.7K546.7K314.4K
Net DEX-2.2M-6.3M1.3M-4.4M-1.9M
Net VEX-40.2K-44.7K-35.7K-42.7K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.040.670.130.25
Total Volume1.350311
Total OI20.2514242121

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$19680.00$25000.0030.1%16.5%37.4%28.0%60.3%-8.3%5.8%546.7K-4.4M-42.7K0.1324.48N/AN/A10174
2013-11-04$19455.00$25000.0030.1%15.9%35.5%28.1%61.2%-10.0%3.8%488.7K-2.9M-39.6K0.0827.03N/AN/A10174
2013-11-05$19630.00$25000.0031.1%15.7%32.2%30.4%0.0%-10.7%3.6%498.6K-3.9M-40.3K0.2822.80N/AN/A00174
2013-11-06$19330.00$25000.0031.7%16.6%32.1%31.8%0.0%-10.0%3.0%503.4K-2.4M-39.8K0.0813.76N/AN/A20174
2013-11-07$20055.00$25000.0033.7%16.2%28.6%36.8%55.7%-11.0%2.9%570.7K-6.3M-44.7K0.0411.16N/AN/A30174
2013-11-08$19250.00$25000.0028.5%16.4%31.0%24.2%0.0%-9.9%2.7%352.2K-2.3M-40.0K0.1321.34N/AN/A20174
2013-11-11$19245.00$25000.0035.5%16.3%31.0%41.1%0.0%-10.1%4.7%378.3K-2.1M-39.6K0.046.63N/AN/A10174
2013-11-12$19350.00$25000.0033.0%16.4%29.6%35.1%56.7%-10.3%3.2%374.2K-2.6M-39.8K0.427.40N/AN/A10184
2013-11-13$18885.00$25000.0035.9%16.6%27.4%41.9%56.6%-11.6%5.3%348.2K-801.8K-37.7K0.449.21N/AN/A10185
2013-11-14$18595.00$25000.0032.3%16.0%27.1%33.3%0.0%-9.2%1.0%266.2K640.6K-35.7K0.3222.49N/AN/A10185
2013-11-15$18345.00$25000.0032.9%16.4%26.7%34.8%0.0%-9.0%0.6%253.0K1.3M-36.4K0.4911.33N/AN/A11195
2013-11-18$18550.00$25000.0032.6%16.4%27.3%34.0%0.0%-9.7%1.7%211.0K-1.8M-37.1K0.678.96N/AN/A21113
2013-11-19$18670.00$25000.0033.5%16.6%27.1%36.2%0.0%-9.8%0.1%230.9K-2.7M-40.5K0.138.28N/AN/A20124
2013-11-20$18830.00$25000.0033.9%16.6%26.8%37.2%0.0%-9.2%6.0%279.9K-3.1M-41.5K0.1218.49N/AN/A10134
2013-11-21$18375.00$25000.0033.1%16.4%27.7%35.1%56.8%-8.9%-0.1%255.9K-2.2M-42.5K0.1310.50N/AN/A10144
2013-11-22$18105.00$23500.0030.7%16.3%27.8%29.5%56.8%-7.9%0.9%232.0K-1.1M-39.7K0.068.99N/AN/A20144
2013-11-25$18135.00$23500.0030.7%16.9%27.9%29.6%0.0%-7.5%0.9%316.9K-2.2M-42.0K0.0727.99N/AN/A10164
2013-11-26$18150.00$23500.0031.0%17.0%27.6%30.2%0.0%-7.6%1.0%323.5K-2.4M-42.7K0.0810.26N/AN/A10165
2013-11-27$18000.00$23500.0030.9%16.7%27.0%29.9%0.0%-7.6%1.6%304.2K-1.6M-40.8K0.0413.85N/AN/A00165
2013-11-29$18065.00$23500.0032.8%16.6%26.5%34.6%64.7%-8.9%0.4%314.4K-1.9M-40.7K0.259.97N/AN/A10165