SPXS Options History — December 2013

In December 2013, SPXS traded between $16610.00 and $18880.00. ATM implied volatility averaged 34.8%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 8.0% (HV 20d: 26.8%). Max pain ranged from $23500.00 to $25500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.34.

Notable Days

  • 2013-12-04: Highest Volume — 3 contracts
  • 2013-12-16: Largest IV drop — 14.9% change
  • 2013-12-13: Highest IV Rank — 59.4%
  • 2013-12-04: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17890.95$16610.00$18880.00$18175.00$16610.00
Max Pain$25190.48$23500.00$25500.00$23500.00$25500.00
ATM IV34.8%29.1%43.1%33.9%32.5%
Expected Move16.4%15.7%17.0%17.0%16.4%
HV 20d26.8%21.1%30.3%26.7%29.7%
HV 60d31.4%30.3%32.5%30.9%31.1%
IV Rank39.4%25.8%59.4%37.2%33.9%
IV Percentile39.4%6.0%80.2%34.9%27.4%
Term Structure3.9%-5.4%8.5%-0.1%3.3%
VWIV58.3%49.5%65.7%60.8%57.8%
Skew 25d-10.9%-13.7%-8.7%-9.4%-9.6%
Skew 10d-21.0%-26.5%-13.4%-17.3%-25.7%
Call IV 25d42.1%33.8%49.5%40.2%39.3%
Put IV 25d31.3%25.1%36.0%30.9%29.7%
Bid-Ask Spread %16.158.3432.4628.1311.75
Gamma HHI0.180.130.410.140.24
Net GEX311.2K70.4K553.9K339.4K125.2K
Net DEX-1.2M-6.3M3.2M-2.3M2.1M
Net VEX-38.2K-47.1K-28.0K-41.8K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.170.130.14
Total Volume1.0480311
Total OI22.47616262119

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$18175.00$23500.0033.9%17.0%26.7%37.2%60.8%-9.4%-0.1%339.4K-2.3M-41.8K0.1328.13N/AN/A10165
2013-12-03$18385.00$23500.0036.2%16.5%27.1%42.6%65.7%-10.7%0.4%392.5K-3.7M-45.5K0.3024.00N/AN/A10175
2013-12-04$18435.00$25500.0037.1%17.0%26.8%45.0%64.8%-9.2%-1.9%400.1K-3.7M-45.3K0.2932.46N/AN/A21175
2013-12-05$18640.00$25500.0037.7%16.6%26.9%46.3%0.0%-9.5%-5.4%410.6K-4.2M-46.0K0.0011.92N/AN/A10185
2013-12-06$18040.00$25500.0034.7%16.3%24.9%39.0%0.0%-10.9%8.5%367.1K-1.5M-41.7K0.3114.27N/AN/A10195
2013-12-09$17900.00$25500.0034.5%16.3%21.1%38.6%0.0%-11.4%6.0%370.2K-853.6K-39.8K0.578.89N/AN/A00195
2013-12-10$18065.00$25500.0035.9%16.2%21.5%42.0%0.0%-9.6%6.9%391.9K-1.7M-41.4K0.2612.23N/AN/A00196
2013-12-11$18685.00$25500.0041.2%16.4%25.1%54.7%0.0%-12.6%6.6%485.4K-5.2M-45.3K0.0511.59N/AN/A20196
2013-12-12$18865.00$25500.0042.4%16.7%23.9%57.5%0.0%-11.6%3.5%503.5K-5.7M-46.7K0.1311.86N/AN/A10206
2013-12-13$18880.00$25500.0043.1%16.7%23.2%59.4%0.0%-12.8%3.2%516.6K-6.3M-47.1K1.179.23N/AN/A00206
2013-12-16$18520.00$25500.0036.7%16.4%23.7%43.9%57.4%-12.5%4.6%476.5K-4.1M-42.8K0.368.34N/AN/A10206
2013-12-17$18715.00$25000.0035.7%16.8%23.7%41.6%64.2%-13.7%5.0%553.9K-4.9M-43.3K0.0713.28N/AN/A10206
2013-12-18$17740.00$25000.0033.7%16.2%30.3%36.7%56.8%-11.6%5.3%333.2K433.7K-36.8K0.8720.75N/AN/A21206
2013-12-19$17780.00$25000.0032.1%16.4%30.1%32.8%56.2%-13.0%7.9%250.9K1.9M-33.2K0.5018.32N/AN/A10196
2013-12-20$17495.00$25000.0032.3%16.5%29.4%33.4%0.0%-12.1%6.7%175.4K3.2M-30.5K0.389.52N/AN/A10196
2013-12-23$17205.00$25000.0030.1%15.7%29.6%28.0%63.3%-9.6%5.0%85.4K2.1M-28.7K0.7125.06N/AN/A10124
2013-12-24$17080.00$25500.0030.1%16.3%29.6%28.1%56.1%-11.1%4.8%73.1K2.3M-29.7K0.1415.90N/AN/A10125
2013-12-26$16830.00$25500.0029.1%16.1%29.8%25.8%49.5%-8.7%5.5%70.4K2.8M-28.0K0.319.66N/AN/A10135
2013-12-27$16825.00$25500.0030.6%15.7%29.8%29.1%55.5%-10.2%3.8%92.2K2.6M-28.3K0.4718.63N/AN/A10135
2013-12-30$16840.00$25500.0031.7%16.1%29.7%31.9%50.1%-8.8%3.4%122.2K2.2M-29.3K0.0523.41N/AN/A00135
2013-12-31$16610.00$25500.0032.5%16.4%29.7%33.9%57.8%-9.6%3.3%125.2K2.1M-30.5K0.1411.75N/AN/A10145