SPXS Options History — March 2014

In March 2014, SPXS traded between $15350.00 and $16245.00. ATM implied volatility averaged 36.9%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 8.6% (HV 20d: 28.3%). Max pain ranged from $23500.00 to $23500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2014-03-04: Highest Volume — 3 contracts
  • 2014-03-13: Largest IV spike — 23.6% change
  • 2014-03-14: Highest IV Rank — 60.1%
  • 2014-03-14: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15679.52$15350.00$16245.00$16215.00$15390.00
Max Pain$23500.00$23500.00$23500.00$23500.00$23500.00
ATM IV36.9%33.4%43.5%40.1%34.1%
Expected Move14.9%14.2%15.4%14.9%14.7%
HV 20d28.3%23.0%36.6%36.6%30.6%
HV 60d35.5%34.7%36.5%35.5%35.2%
IV Rank44.3%36.1%60.1%52.1%37.6%
IV Percentile52.4%31.7%82.1%69.8%34.9%
Term Structure4.0%0.2%9.3%1.3%4.1%
VWIV53.0%22.4%65.0%54.9%22.4%
Skew 25d-12.9%-19.4%-8.3%-13.8%-12.3%
Skew 10d-25.5%-33.6%-6.4%-25.4%-24.0%
Call IV 25d44.9%39.1%56.2%50.4%41.0%
Put IV 25d32.0%28.8%37.0%36.5%28.8%
Bid-Ask Spread %21.067.4446.7516.2442.23
Gamma HHI0.150.110.250.120.13
Net GEX277.3K174.1K432.7K245.4K240.0K
Net DEX-672.5K-4.0M1.7M-745.7K-427.9K
Net VEX-47.5K-53.6K-40.8K-46.2K-45.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.010.740.080.06
Total Volume1.3330322
Total OI24.14321272123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$16215.00$23500.0040.1%14.9%36.6%52.1%54.9%-13.8%1.3%245.4K-745.7K-46.2K0.0816.24N/AN/A20156
2014-03-04$15490.00$23500.0035.0%14.8%28.8%39.8%50.6%-9.3%1.5%180.8K1.7M-40.8K0.2512.65N/AN/A21166
2014-03-05$15500.00$23500.0034.2%14.9%28.9%37.8%54.6%-10.1%3.1%231.2K974.0K-45.6K0.1717.97N/AN/A10176
2014-03-06$15365.00$23500.0035.1%14.9%28.3%40.1%53.2%-8.3%1.6%212.7K895.8K-46.3K0.1114.63N/AN/A20176
2014-03-07$15350.00$23500.0034.8%14.9%26.4%39.2%62.7%-14.2%4.8%259.2K208.6K-47.8K0.1211.15N/AN/A10186
2014-03-10$15360.00$23500.0035.5%15.0%23.8%41.0%51.9%-12.4%6.3%262.1K634.8K-46.1K0.097.44N/AN/A10196
2014-03-11$15600.00$23500.0034.5%15.0%25.1%38.6%0.0%-11.7%6.9%306.2K8.6K-46.7K0.0115.92N/AN/A10196
2014-03-12$15595.00$23500.0033.4%15.1%23.0%36.1%0.0%-13.6%6.8%343.3K-822.0K-49.3K0.0710.74N/AN/A10196
2014-03-13$16100.00$23500.0041.3%14.5%26.4%55.0%0.0%-13.8%1.2%418.3K-3.0M-52.5K0.0724.96N/AN/A20206
2014-03-14$16245.00$23500.0043.5%15.4%26.4%60.1%0.0%-19.4%3.7%421.7K-4.0M-53.6K0.1116.20N/AN/A20206
2014-03-17$15820.00$23500.0041.6%15.1%27.4%55.7%46.2%-16.8%3.1%432.7K-1.6M-49.4K0.7415.13N/AN/A10206
2014-03-18$15445.00$23500.0038.6%15.1%28.4%48.5%54.4%-17.3%5.0%291.1K-108.9K-48.5K0.1112.87N/AN/A10206
2014-03-19$15710.00$23500.0037.3%14.5%28.2%45.3%50.8%-10.4%3.9%375.2K-602.4K-47.7K0.2446.75N/AN/A10216
2014-03-20$15435.00$23500.0036.0%14.2%28.2%42.1%65.0%-14.1%7.5%214.5K483.0K-45.7K0.2019.48N/AN/A10206
2014-03-21$15605.00$23500.0033.4%15.1%28.6%36.1%0.0%-12.5%9.3%174.1K-131.4K-46.3K0.3311.59N/AN/A10216
2014-03-24$15800.00$23500.0037.9%15.1%28.8%46.7%0.0%-12.8%3.6%207.8K-990.0K-47.5K0.1915.42N/AN/A20166
2014-03-25$15565.00$23500.0035.4%14.8%29.2%40.7%0.0%-12.2%2.9%222.1K-903.7K-47.3K0.4045.44N/AN/A00166
2014-03-26$15910.00$23500.0035.3%15.1%30.4%40.5%55.7%-9.5%5.2%263.4K-1.6M-47.9K0.1315.22N/AN/A10166
2014-03-27$15995.00$23500.0037.8%15.0%30.1%46.6%57.0%-12.6%1.4%261.7K-2.3M-49.6K0.1837.40N/AN/A10176
2014-03-28$15775.00$23500.0039.7%14.8%30.4%51.1%62.6%-13.4%0.2%260.7K-1.7M-47.9K0.1432.84N/AN/A10176
2014-03-31$15390.00$23500.0034.1%14.7%30.6%37.6%22.4%-12.3%4.1%240.0K-427.9K-45.3K0.0642.23N/AN/A20176