SPXS Options History — June 2014

In June 2014, SPXS traded between $12945.00 and $13825.00. ATM implied volatility averaged 28.2%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 8.5% (HV 20d: 19.6%). Max pain ranged from $20000.00 to $22500.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2014-06-05: Highest Volume — 8 contracts
  • 2014-06-12: Largest IV spike — 17.3% change
  • 2014-06-16: Highest IV Rank — 30.7%
  • 2014-06-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13295.71$12945.00$13825.00$13810.00$12980.00
Max Pain$22142.86$20000.00$22500.00$22500.00$20000.00
ATM IV28.2%24.3%32.4%32.0%26.4%
Expected Move13.9%13.5%14.7%14.7%14.3%
HV 20d19.6%16.4%24.4%24.3%17.3%
HV 60d29.1%28.0%30.5%30.4%28.0%
IV Rank20.2%10.2%30.7%29.8%16.7%
IV Percentile8.3%1.2%27.8%21.4%3.2%
Term Structure6.4%1.9%11.5%1.9%4.7%
VWIV48.6%22.7%68.2%53.4%41.6%
Skew 25d-10.4%-15.2%-7.0%-7.0%-11.8%
Skew 10d-20.4%-25.9%-12.4%-13.9%-24.4%
Call IV 25d34.8%29.4%39.9%33.7%34.4%
Put IV 25d24.4%19.9%28.4%26.7%22.7%
Bid-Ask Spread %23.6613.8463.3816.8731.84
Gamma HHI0.380.150.560.150.45
Net GEX729.4K497.2K927.4K497.2K914.6K
Net DEX-4.6M-8.0M-1.2M-4.4M-4.4M
Net VEX-72.0K-83.6K-65.2K-65.2K-67.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.013.020.053.02
Total Volume1.8570821
Total OI42.38131503145

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$13810.00$22500.0032.0%14.7%24.3%29.8%0.0%-7.0%1.9%497.2K-4.4M-65.2K0.0516.87N/AN/A20256
2014-06-03$13825.00$22500.0029.9%14.6%24.4%24.4%0.0%-7.3%3.7%545.2K-5.8M-68.9K1.2820.24N/AN/A11266
2014-06-04$13740.00$22500.0028.7%14.0%21.9%21.3%53.4%-15.2%3.7%551.0K-5.3M-68.6K0.5154.67N/AN/A21277
2014-06-05$13475.00$22500.0028.2%13.6%22.1%20.3%0.0%-8.4%3.2%506.6K-3.8M-68.5K0.1920.70N/AN/A71288
2014-06-06$13275.00$22500.0026.0%13.7%22.1%14.6%55.6%-10.4%8.4%603.3K-3.2M-72.3K0.1927.51N/AN/A20319
2014-06-09$13230.00$22500.0026.9%13.9%22.2%17.0%47.6%-9.8%6.2%604.1K-2.9M-70.8K0.4018.27N/AN/A10329
2014-06-10$13235.00$22500.0025.7%13.6%20.6%13.9%44.3%-8.8%8.4%625.3K-2.8M-70.1K0.8328.83N/AN/A11339
2014-06-11$13355.00$22500.0026.8%13.5%21.1%16.5%50.1%-9.6%7.1%659.8K-4.8M-76.9K0.0618.83N/AN/A203310
2014-06-12$13645.00$22500.0031.4%13.7%22.2%28.1%23.3%-10.6%7.1%816.2K-8.0M-80.9K0.1618.73N/AN/A203510
2014-06-13$13525.00$22500.0031.3%13.8%19.2%28.0%51.8%-12.6%8.5%821.6K-7.5M-83.6K0.1014.83N/AN/A103510
2014-06-16$13485.00$22500.0032.4%13.7%19.1%30.7%0.0%-12.0%7.8%807.4K-6.3M-78.2K0.0120.50N/AN/A103610
2014-06-17$13385.00$22500.0031.4%13.9%19.0%28.1%0.0%-11.4%7.7%789.1K-5.6M-77.9K0.1213.84N/AN/A203610
2014-06-18$13075.00$22500.0027.9%13.6%17.7%19.4%68.2%-13.7%9.2%692.0K-2.3M-68.6K0.1663.38N/AN/A203710
2014-06-19$13035.00$22500.0024.3%13.8%16.5%10.2%51.7%-8.3%11.5%792.0K-1.2M-68.9K0.0218.69N/AN/A203810
2014-06-20$12945.00$22500.0026.5%13.7%16.4%15.9%60.7%-9.7%9.7%753.7K-2.2M-68.7K0.4519.45N/AN/A004010
2014-06-23$12965.00$22500.0026.6%13.7%16.5%16.2%0.0%-9.1%5.7%757.3K-3.4M-68.0K0.0521.12N/AN/A10339
2014-06-24$13195.00$22500.0026.4%14.0%17.5%15.7%51.1%-8.4%5.5%871.7K-6.2M-72.3K0.1718.08N/AN/A20349
2014-06-25$13035.00$22500.0028.6%14.2%17.6%21.1%54.2%-12.6%4.0%868.9K-5.9M-73.1K0.0615.44N/AN/A10359
2014-06-26$13035.00$20000.0027.1%14.2%17.2%18.6%22.7%-10.3%4.8%927.4K-5.9M-71.5K0.0517.25N/AN/A10369
2014-06-27$12960.00$20000.0026.8%14.1%17.2%17.9%52.7%-10.8%4.7%912.6K-5.5M-70.7K0.0517.83N/AN/A10369
2014-06-30$12980.00$20000.0026.4%14.3%17.3%16.7%41.6%-11.8%4.7%914.6K-4.4M-67.7K3.0231.84N/AN/A01369