SPXS Options History — July 2014

In July 2014, SPXS traded between $12365.00 and $13435.00. ATM implied volatility averaged 29.0%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 7.5% (HV 20d: 21.6%). Max pain ranged from $19000.00 to $20000.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.16.

Notable Days

  • 2014-07-17: Highest Volume — 8 contracts
  • 2014-07-31: Largest IV spike — 51.6% change
  • 2014-07-31: Highest IV Rank — 68.4%
  • 2014-07-24: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12666.59$12365.00$13435.00$12715.00$13435.00
Max Pain$19727.27$19000.00$20000.00$20000.00$19000.00
ATM IV29.0%20.8%45.7%22.4%45.7%
Expected Move14.6%14.0%15.7%14.4%15.0%
HV 20d21.6%17.9%31.1%18.3%31.1%
HV 60d22.5%20.2%27.2%27.2%24.6%
IV Rank23.8%1.8%68.4%6.0%68.4%
IV Percentile20.6%0.4%94.0%0.8%94.0%
Term Structure5.1%-1.1%8.9%6.2%-1.1%
VWIV48.3%33.9%65.6%42.8%47.1%
Skew 25d-12.1%-16.0%-9.4%-11.8%-11.5%
Skew 10d-22.5%-30.8%-2.2%-23.4%-2.2%
Call IV 25d36.8%25.0%50.2%29.8%50.2%
Put IV 25d24.7%14.9%38.7%18.0%38.7%
Bid-Ask Spread %31.2117.4387.4418.7139.36
Gamma HHI0.270.090.410.380.09
Net GEX626.6K307.1K1.0M724.8K369.4K
Net DEX-3.4M-13.4M822.8K-1.3M-13.4M
Net VEX-65.1K-79.4K-57.4K-65.3K-79.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.160.011.210.110.23
Total Volume2.9550817
Total OI47.13633604749

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$12715.00$20000.0022.4%14.4%18.3%6.0%0.0%-11.8%6.2%724.8K-1.3M-65.3K0.1118.71N/AN/A103710
2014-07-02$12685.00$20000.0021.5%14.1%18.3%3.5%42.8%-11.1%6.0%798.0K-1.8M-66.5K0.0534.67N/AN/A103711
2014-07-03$12490.00$20000.0020.8%14.2%17.9%1.8%65.3%-10.2%6.7%514.4K822.8K-60.0K0.1118.74N/AN/A103811
2014-07-07$12625.00$20000.0023.3%14.0%18.1%8.3%0.0%-10.5%6.6%781.5K-1.1M-63.2K0.0618.30N/AN/A103811
2014-07-08$12855.00$20000.0030.5%14.0%19.5%27.7%43.5%-10.5%5.5%1.0M-3.9M-66.9K0.0719.42N/AN/A203911
2014-07-09$12690.00$20000.0022.3%14.1%19.9%5.7%0.0%-10.3%6.0%901.3K-1.7M-61.4K0.0164.02N/AN/A103911
2014-07-10$12855.00$20000.0032.1%14.1%20.2%32.1%0.0%-16.0%6.3%1.0M-3.4M-66.6K0.1723.13N/AN/A104011
2014-07-11$12785.00$20000.0032.9%14.3%18.2%34.2%33.9%-12.4%4.8%1.0M-3.6M-67.4K0.1119.10N/AN/A004011
2014-07-14$12595.00$20000.0029.4%14.2%18.6%24.7%49.9%-13.5%6.2%401.9K183.0K-59.2K0.0417.43N/AN/A104011
2014-07-15$12665.00$20000.0029.5%14.4%18.9%25.0%43.6%-15.3%3.0%546.3K-83.9K-57.4K1.2120.38N/AN/A114111
2014-07-16$12520.00$20000.0029.2%14.3%19.1%24.2%0.0%-11.9%5.8%482.0K230.3K-60.9K0.0717.79N/AN/A204112
2014-07-17$12945.00$20000.0037.3%15.6%21.6%45.9%55.7%-13.6%3.2%914.0K-2.3M-61.4K0.0338.56N/AN/A804212
2014-07-18$12555.00$20000.0026.9%14.5%24.1%18.1%40.3%-13.2%8.9%893.4K-3.8M-58.6K0.1122.87N/AN/A714812
2014-07-21$12625.00$20000.0029.6%14.5%24.2%25.2%0.0%-12.6%4.4%307.1K-3.0M-66.9K0.4519.86N/AN/A212310
2014-07-22$12460.00$20000.0029.1%14.4%24.5%24.1%65.6%-12.8%3.5%314.1K-1.5M-66.8K0.0120.08N/AN/A502410
2014-07-23$12365.00$20000.0029.6%14.5%23.5%25.4%50.0%-13.5%4.9%473.4K-5.8M-69.0K0.0718.88N/AN/A102910
2014-07-24$12375.00$19000.0028.6%15.7%23.3%22.8%56.5%-14.4%5.8%500.4K-4.8M-62.2K0.1033.49N/AN/A402910
2014-07-25$12530.00$19000.0028.5%14.6%23.9%22.4%52.9%-12.7%6.4%504.1K-7.6M-70.9K0.0217.63N/AN/A803310
2014-07-28$12540.00$19000.0028.4%15.5%23.8%22.2%34.5%-10.0%7.8%405.4K-4.5M-64.3K0.1387.44N/AN/A203310
2014-07-29$12685.00$19000.0030.8%14.6%24.3%28.5%55.2%-9.4%3.1%437.9K-4.7M-63.4K0.2047.29N/AN/A203411
2014-07-30$12670.00$19000.0030.1%15.5%23.1%26.7%36.9%-9.7%2.9%486.5K-8.1M-75.4K0.0569.48N/AN/A403611
2014-07-31$13435.00$19000.0045.7%15.0%31.1%68.4%47.1%-11.5%-1.1%369.4K-13.4M-79.4K0.2339.36N/AN/A613811