SPXS Options History — February 2014

In February 2014, SPXS traded between $15905.00 and $19540.00. ATM implied volatility averaged 39.1%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 6.0% (HV 20d: 45.1%). Max pain ranged from $23500.00 to $23500.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.23.

Notable Days

  • 2014-02-03: Highest Volume — 4 contracts
  • 2014-02-07: Largest IV drop — 24.0% change
  • 2014-02-03: Highest IV Rank — 93.4%
  • 2014-02-04: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17167.37$15905.00$19540.00$19540.00$15905.00
Max Pain$23500.00$23500.00$23500.00$23500.00$23500.00
ATM IV39.1%31.6%57.3%57.3%35.9%
Expected Move15.9%14.5%17.4%16.8%14.8%
HV 20d45.1%36.6%49.3%43.5%36.6%
HV 60d35.1%34.1%35.4%34.9%35.3%
IV Rank49.6%31.6%93.4%93.4%41.9%
IV Percentile59.2%20.6%99.2%99.2%47.6%
Term Structure1.2%-3.2%4.1%-3.2%2.6%
VWIV51.5%38.1%63.3%57.4%43.5%
Skew 25d-12.9%-20.1%-9.2%-20.1%-10.7%
Skew 10d-27.6%-41.8%-8.0%-25.9%-26.6%
Call IV 25d47.9%41.1%70.3%70.3%41.1%
Put IV 25d35.0%29.7%50.1%50.1%30.4%
Bid-Ask Spread %19.8010.2542.6415.9215.03
Gamma HHI0.150.110.550.120.12
Net GEX274.7K168.7K710.2K253.5K193.4K
Net DEX-2.1M-8.4M808.5K-8.4M808.5K
Net VEX-47.3K-57.8K-42.0K-52.9K-42.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.060.650.190.13
Total Volume1.2110441
Total OI19.94716241620

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$19540.00$23500.0057.3%16.8%43.5%93.4%57.4%-20.1%-3.2%253.5K-8.4M-52.9K0.1915.92N/AN/A31124
2014-02-04$19145.00$23500.0046.9%17.4%44.6%68.3%63.3%-15.1%4.0%293.0K-7.7M-56.3K0.0639.48N/AN/A10135
2014-02-05$19235.00$23500.0049.1%16.6%43.7%73.6%0.0%-14.0%4.1%317.4K-8.4M-57.8K0.1937.20N/AN/A10135
2014-02-06$18480.00$23500.0045.3%16.4%46.7%64.4%0.0%-14.2%0.7%315.3K-6.4M-55.3K0.0724.71N/AN/A20145
2014-02-07$17745.00$23500.0034.4%16.3%49.3%38.4%45.5%-14.8%-0.0%301.4K-4.1M-52.3K0.4119.75N/AN/A10145
2014-02-10$17660.00$23500.0035.3%15.6%49.3%40.6%53.9%-13.2%0.2%295.6K-3.4M-49.8K0.3014.08N/AN/A00155
2014-02-11$17075.00$23500.0033.3%15.8%49.0%35.6%57.1%-14.1%0.7%209.0K-1.0M-45.3K0.1818.01N/AN/A20155
2014-02-12$17025.00$23500.0031.6%15.6%47.5%31.6%0.0%-11.7%0.5%278.9K-1.4M-46.6K0.0913.40N/AN/A10165
2014-02-13$16790.00$23500.0038.0%16.0%47.4%47.0%44.1%-12.3%-0.3%281.6K-1.1M-46.0K0.6514.38N/AN/A10165
2014-02-14$16525.00$23500.0035.6%16.5%47.8%41.3%0.0%-13.6%1.2%208.6K617.9K-42.9K0.4142.64N/AN/A10165
2014-02-18$16440.00$23500.0036.9%15.7%47.5%44.3%56.2%-12.6%0.9%231.9K473.3K-44.4K0.0710.25N/AN/A10166
2014-02-19$16765.00$23500.0040.6%15.5%48.0%53.4%54.1%-13.7%1.0%304.1K-365.6K-45.5K0.1118.16N/AN/A10176
2014-02-20$16475.00$23500.0037.4%16.0%48.4%45.6%0.0%-11.9%2.9%311.7K370.2K-42.0K0.1216.49N/AN/A10176
2014-02-21$16515.00$23500.0036.2%15.6%47.5%42.7%0.0%-10.9%2.4%710.2K-308.8K-43.5K0.2413.41N/AN/A10186
2014-02-24$16300.00$23500.0036.8%15.7%41.0%44.1%53.0%-9.2%2.5%168.7K433.0K-42.9K0.3016.42N/AN/A10135
2014-02-25$16275.00$23500.0037.8%15.8%40.4%46.6%0.0%-10.0%0.0%178.8K180.8K-43.7K0.2018.40N/AN/A10135
2014-02-26$16260.00$23500.0039.1%15.5%40.2%49.6%38.1%-10.1%0.5%179.2K-36.2K-44.6K0.2317.78N/AN/A10145
2014-02-27$16025.00$23500.0035.0%14.5%38.1%39.8%0.0%-12.5%1.7%187.2K239.8K-44.3K0.3410.76N/AN/A10145
2014-02-28$15905.00$23500.0035.9%14.8%36.6%41.9%43.5%-10.7%2.6%193.4K808.5K-42.8K0.1315.03N/AN/A10146