SPXS Options History — April 2014

In April 2014, SPXS traded between $14910.00 and $16720.00. ATM implied volatility averaged 37.0%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 0.3% (HV 20d: 36.7%). Max pain ranged from $23000.00 to $23500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2014-04-11: Highest Volume — 4 contracts
  • 2014-04-10: Largest IV spike — 37.9% change
  • 2014-04-14: Highest IV Rank — 69.1%
  • 2014-04-10: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15476.19$14910.00$16720.00$15080.00$14910.00
Max Pain$23214.29$23000.00$23500.00$23500.00$23000.00
ATM IV37.0%29.4%47.2%29.4%34.8%
Expected Move15.0%13.9%15.9%15.5%14.9%
HV 20d36.7%27.0%41.1%27.0%39.1%
HV 60d36.8%32.5%39.3%35.4%32.5%
IV Rank44.5%26.3%69.1%26.3%39.4%
IV Percentile48.9%5.6%90.1%5.6%39.3%
Term Structure3.5%-2.1%7.3%6.6%2.2%
VWIV52.4%26.6%64.9%44.8%46.3%
Skew 25d-12.8%-18.9%-7.4%-9.5%-16.4%
Skew 10d-26.0%-32.5%-19.1%-24.0%-25.4%
Call IV 25d44.2%34.8%55.7%36.8%41.0%
Put IV 25d31.4%23.6%40.5%27.3%24.5%
Bid-Ask Spread %30.3012.0244.4317.4130.81
Gamma HHI0.180.080.550.160.16
Net GEX343.6K147.8K548.0K287.7K293.0K
Net DEX-2.8M-7.7M492.9K-183.0K-3.2M
Net VEX-48.0K-52.0K-44.0K-46.2K-48.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.020.630.080.05
Total Volume1.7620422
Total OI22.85715282419

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$15080.00$23500.0029.4%15.5%27.0%26.3%0.0%-9.5%6.6%287.7K-183.0K-46.2K0.0817.41N/AN/A20186
2014-04-02$14935.00$23500.0030.3%14.7%27.1%28.6%0.0%-13.0%4.7%288.0K146.6K-45.8K0.0815.90N/AN/A10196
2014-04-03$14995.00$23500.0031.4%15.0%27.1%31.2%0.0%-8.5%5.8%318.4K298.3K-44.4K0.1130.36N/AN/A10196
2014-04-04$15500.00$23500.0035.0%14.4%29.7%39.9%44.8%-7.4%6.1%400.1K-1.8M-48.5K0.0720.87N/AN/A30206
2014-04-07$16025.00$23500.0041.3%14.6%31.9%55.1%56.9%-13.2%4.6%465.1K-4.6M-49.7K0.0837.95N/AN/A30206
2014-04-08$15830.00$23500.0037.4%14.8%31.9%45.7%64.9%-15.8%1.7%433.5K-3.4M-48.6K0.4129.73N/AN/A10196
2014-04-09$15305.00$23500.0033.7%14.3%34.1%36.6%61.9%-16.2%2.0%360.4K-918.4K-46.8K0.6321.46N/AN/A11207
2014-04-10$16290.00$23500.0046.4%15.9%39.3%67.2%52.9%-14.6%-0.3%444.6K-5.2M-47.7K0.3140.76N/AN/A21206
2014-04-11$16720.00$23500.0045.5%15.7%40.3%64.9%56.8%-16.4%0.4%468.6K-7.7M-50.0K0.0244.16N/AN/A40207
2014-04-14$16320.00$23000.0047.2%15.8%40.1%69.1%0.0%-14.0%-2.1%548.0K-6.5M-49.5K0.4631.42N/AN/A10217
2014-04-15$15975.00$23000.0041.6%15.3%39.9%55.7%0.0%-18.9%7.3%515.3K-4.1M-48.5K0.3242.70N/AN/A21217
2014-04-16$15475.00$23000.0038.4%14.7%41.1%48.0%57.1%-11.8%3.2%343.3K-212.0K-46.9K0.3416.42N/AN/A10207
2014-04-17$15415.00$23000.0035.1%14.6%40.7%40.2%0.0%-11.9%3.7%521.4K492.9K-46.2K0.2412.02N/AN/A10217
2014-04-21$15240.00$23000.0033.5%14.6%40.6%36.3%40.8%-13.0%4.8%147.8K-2.1M-45.7K0.0942.80N/AN/A10114
2014-04-22$15045.00$23000.0034.2%14.8%40.5%37.9%53.5%-11.3%4.2%152.6K-1.6M-44.0K0.0836.36N/AN/A20114
2014-04-23$15150.00$23000.0034.3%15.0%40.3%38.0%62.2%-11.4%4.2%216.3K-3.1M-49.3K0.1521.04N/AN/A00134
2014-04-24$15055.00$23000.0034.8%15.1%39.4%39.3%56.2%-9.7%3.7%222.3K-3.2M-50.5K0.0223.30N/AN/A10134
2014-04-25$15410.00$23000.0037.0%15.4%40.4%44.6%26.6%-10.9%3.1%279.6K-4.8M-52.0K0.0944.30N/AN/A30144
2014-04-28$15265.00$23000.0039.3%13.9%40.3%50.0%46.3%-10.7%4.0%255.8K-4.4M-51.7K0.1632.11N/AN/A10144
2014-04-29$15060.00$23000.0035.6%15.4%39.6%41.2%0.0%-14.7%3.4%253.3K-3.2M-48.5K0.0344.43N/AN/A10154
2014-04-30$14910.00$23000.0034.8%14.9%39.1%39.4%0.0%-16.4%2.2%293.0K-3.2M-48.0K0.0530.81N/AN/A20154