SPXS Options History — January 2014

In January 2014, SPXS traded between $16545.00 and $18620.00. ATM implied volatility averaged 35.1%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 4.0% (HV 20d: 31.1%). Max pain ranged from $23500.00 to $25000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.24.

Notable Days

  • 2014-01-24: Highest Volume — 2 contracts
  • 2014-01-13: Largest IV spike — 55.7% change
  • 2014-01-31: Highest IV Rank — 74.6%
  • 2014-01-08: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17282.14$16545.00$18620.00$17065.00$18340.00
Max Pain$24714.29$23500.00$25000.00$25000.00$23500.00
ATM IV35.1%24.4%49.5%33.7%49.5%
Expected Move16.2%15.5%17.2%16.1%16.4%
HV 20d31.1%25.5%38.5%31.3%38.1%
HV 60d28.9%26.7%32.3%31.2%32.3%
IV Rank40.1%14.3%74.6%36.7%74.6%
IV Percentile40.2%2.4%96.0%38.1%96.0%
Term Structure3.1%-2.6%7.1%4.0%-2.6%
VWIV53.8%49.1%58.5%56.6%56.8%
Skew 25d-12.0%-18.0%-8.8%-11.9%-15.4%
Skew 10d-22.7%-41.3%-15.7%-24.0%-25.4%
Call IV 25d43.8%37.3%56.1%41.9%56.1%
Put IV 25d31.8%27.6%40.6%30.0%40.6%
Bid-Ask Spread %22.7611.3136.2314.0835.44
Gamma HHI0.230.120.430.270.12
Net GEX184.7K90.5K279.5K164.4K245.1K
Net DEX-243.2K-5.3M2.8M1.5M-5.0M
Net VEX-36.0K-49.7K-30.9K-31.0K-49.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.060.890.200.13
Total Volume0.8570211
Total OI1710211916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$17065.00$25000.0033.7%16.1%31.3%36.7%56.6%-11.9%4.0%164.4K1.5M-31.0K0.2014.08N/AN/A10145
2014-01-03$17085.00$25000.0031.5%16.4%31.2%31.4%53.3%-11.0%5.0%170.2K1.2M-31.9K0.2013.09N/AN/A00145
2014-01-06$17225.00$25000.0029.6%15.8%31.1%26.8%0.0%-11.7%4.5%210.2K863.0K-31.5K0.3619.83N/AN/A10155
2014-01-07$16915.00$25000.0029.0%16.1%29.7%25.3%56.0%-10.8%4.4%198.4K1.6M-30.9K0.8912.83N/AN/A00155
2014-01-08$16905.00$25000.0028.8%17.2%29.7%25.0%0.0%-11.3%4.6%214.5K1.6M-32.0K0.2920.37N/AN/A00155
2014-01-09$16860.00$25000.0030.2%16.4%29.3%28.3%55.6%-10.7%4.5%216.8K1.6M-32.0K0.4312.90N/AN/A10155
2014-01-10$16740.00$25000.0024.4%16.0%25.8%14.3%49.7%-11.2%7.1%201.3K1.8M-33.0K0.3620.26N/AN/A00155
2014-01-13$17390.00$25000.0038.0%16.4%29.7%46.9%57.5%-12.0%4.3%279.5K415.1K-33.9K0.1916.95N/AN/A10155
2014-01-14$16820.00$25000.0029.5%15.7%31.4%26.6%52.7%-8.8%5.9%237.3K2.0M-33.0K0.1336.23N/AN/A10155
2014-01-15$16545.00$25000.0028.6%15.6%31.2%24.6%49.4%-9.5%5.9%115.4K2.8M-32.9K0.3228.37N/AN/A10155
2014-01-16$16610.00$25000.0032.3%16.2%30.9%33.3%49.1%-10.6%5.8%111.6K2.8M-32.4K0.3532.60N/AN/A00156
2014-01-17$16825.00$25000.0033.1%15.5%25.9%35.2%0.0%-9.8%6.8%238.4K2.4M-33.2K0.0927.47N/AN/A10156
2014-01-21$16685.00$25000.0032.9%16.0%25.9%34.7%0.0%-10.4%2.0%90.5K-258.9K-32.3K0.1111.62N/AN/A1073
2014-01-22$16635.00$25000.0031.4%16.3%25.5%31.1%0.0%-9.7%3.4%100.2K-270.6K-32.1K0.1011.31N/AN/A0083
2014-01-23$17045.00$25000.0033.9%16.0%26.6%37.3%56.1%-10.6%2.1%115.1K-1.3M-34.9K0.2527.62N/AN/A1083
2014-01-24$18155.00$25000.0046.1%16.2%34.7%66.5%58.5%-18.0%-1.4%143.5K-2.8M-40.1K0.1221.47N/AN/A2084
2014-01-27$18410.00$25000.0044.4%16.3%34.2%62.5%49.2%-16.9%-0.5%179.9K-3.6M-43.2K0.1931.37N/AN/A2094
2014-01-28$18070.00$23500.0041.4%16.5%35.2%55.3%52.8%-15.7%-0.4%183.2K-3.4M-43.1K0.0627.93N/AN/A10104
2014-01-29$18620.00$23500.0047.0%16.7%36.4%68.5%0.0%-14.8%-0.8%229.9K-5.3M-46.7K0.0724.73N/AN/A20114
2014-01-30$17980.00$23500.0041.9%16.4%38.5%56.5%56.8%-11.7%0.2%232.4K-3.9M-46.2K0.1731.56N/AN/A10114
2014-01-31$18340.00$23500.0049.5%16.4%38.1%74.6%0.0%-15.4%-2.6%245.1K-5.0M-49.7K0.1335.44N/AN/A10124