SPXS Options History — May 2014

In May 2014, SPXS traded between $13880.00 and $15260.00. ATM implied volatility averaged 31.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 3.5% (HV 20d: 27.7%). Max pain ranged from $22500.00 to $23000.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2014-05-15: Highest Volume — 3 contracts
  • 2014-05-15: Largest IV spike — 38.3% change
  • 2014-05-06: Highest IV Rank — 41.8%
  • 2014-05-01: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14684.76$13880.00$15260.00$14920.00$13880.00
Max Pain$22785.71$22500.00$23000.00$23000.00$22500.00
ATM IV31.2%25.7%35.8%33.9%30.4%
Expected Move14.3%13.4%16.1%16.1%13.6%
HV 20d27.7%22.8%39.0%39.0%24.5%
HV 60d31.3%30.4%32.4%32.4%30.4%
IV Rank29.3%17.4%41.8%37.2%25.6%
IV Percentile18.8%2.4%48.0%33.3%11.9%
Term Structure2.3%-0.6%5.2%2.2%2.3%
VWIV51.4%45.5%60.6%52.1%47.5%
Skew 25d-10.7%-14.0%-7.4%-9.4%-8.4%
Skew 10d-21.0%-33.7%-10.7%-13.6%-16.7%
Call IV 25d39.7%33.3%46.0%39.2%34.1%
Put IV 25d29.0%25.7%32.0%29.8%25.7%
Bid-Ask Spread %30.9315.9167.2223.6637.60
Gamma HHI0.230.150.670.160.15
Net GEX477.7K320.9K1.2M354.2K437.7K
Net DEX-4.6M-7.5M-2.1M-4.3M-3.5M
Net VEX-56.1K-62.7K-47.7K-52.0K-61.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.022.170.250.07
Total Volume1.5240312
Total OI24.23820292029

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$14920.00$23000.0033.9%16.1%39.0%37.2%0.0%-9.4%2.2%354.2K-4.3M-52.0K0.2523.66N/AN/A10164
2014-05-02$14970.00$23000.0031.4%14.5%39.0%31.1%52.1%-7.4%5.2%422.2K-4.5M-51.5K0.0836.54N/AN/A10175
2014-05-05$14885.00$23000.0032.7%14.4%37.0%34.3%0.0%-12.8%2.1%489.5K-4.7M-50.9K0.0238.29N/AN/A20185
2014-05-06$15260.00$23000.0035.8%14.5%36.0%41.8%50.7%-12.6%0.5%595.5K-7.0M-54.7K0.0417.31N/AN/A20195
2014-05-07$15005.00$23000.0032.6%14.7%36.2%34.0%0.0%-14.0%-0.6%526.9K-5.7M-53.0K0.0516.69N/AN/A20185
2014-05-08$15050.00$23000.0033.4%14.4%34.3%36.0%46.5%-12.7%2.6%478.5K-5.2M-52.3K0.1317.78N/AN/A10185
2014-05-09$14975.00$23000.0027.9%14.5%24.9%22.7%57.8%-13.1%1.8%533.6K-5.6M-54.6K0.2816.67N/AN/A10195
2014-05-12$14550.00$23000.0028.2%14.3%23.6%23.4%45.5%-12.4%1.9%391.0K-2.1M-47.7K0.1317.89N/AN/A20195
2014-05-13$14515.00$23000.0026.7%14.3%22.8%19.8%0.0%-11.4%1.4%420.8K-2.8M-50.3K0.1618.77N/AN/A10205
2014-05-14$14705.00$23000.0025.7%14.2%22.9%17.4%60.6%-11.1%1.7%565.9K-4.2M-53.5K0.1215.91N/AN/A10215
2014-05-15$15100.00$23000.0035.5%13.4%23.0%41.1%0.0%-9.8%1.8%685.2K-7.5M-56.6K0.1055.02N/AN/A30215
2014-05-16$14925.00$23000.0034.6%15.8%23.2%36.2%50.4%-9.8%2.5%1.2M-4.7M-53.7K0.2336.31N/AN/A21215
2014-05-19$14760.00$22500.0033.9%14.2%23.2%34.4%58.0%-11.5%2.8%320.9K-4.9M-55.0K0.5920.03N/AN/A11164
2014-05-20$15050.00$22500.0033.4%14.1%24.0%33.1%45.5%-10.9%3.2%342.1K-5.9M-61.1K0.2817.90N/AN/A10175
2014-05-21$14680.00$22500.0030.6%14.1%25.4%26.1%48.7%-10.8%2.4%348.0K-4.8M-60.9K0.2721.16N/AN/A10185
2014-05-22$14565.00$22500.0030.4%14.1%25.4%25.6%52.5%-11.0%3.5%374.6K-4.5M-61.5K0.4528.41N/AN/A11185
2014-05-23$14390.00$22500.0031.4%13.6%23.9%28.1%0.0%-10.4%1.8%377.4K-4.0M-62.7K0.0766.06N/AN/A10196
2014-05-27$14115.00$22500.0029.1%13.9%24.4%22.5%50.0%-9.3%2.0%390.6K-3.5M-62.2K0.1360.56N/AN/A10216
2014-05-28$14145.00$22500.0028.8%14.1%24.2%21.7%54.2%-7.6%4.4%408.8K-3.6M-62.0K2.1719.75N/AN/A00216
2014-05-29$13935.00$22500.0029.4%14.2%24.5%23.2%47.5%-8.5%3.7%371.1K-2.8M-61.3K0.1067.22N/AN/A20216
2014-05-30$13880.00$22500.0030.4%13.6%24.5%25.6%0.0%-8.4%2.3%437.7K-3.5M-61.8K0.0737.60N/AN/A20236